Trading and Market Microstructure

Authors and titles for April 2023

[1] arXiv:2304.02180 (cross-list from q-fin.TR) [cn-pdf, pdf, other]

Title: Optimal Trading in Automatic Market Makers with Deep Learning Show Chinese title

Title: 带有深度学习的自动做市商中的最优交易

Sebastian Jaimungal, Yuri F. Saporito, Max O. Souza, Yuri Thamsten

Subjects: Trading and Market Microstructure (q-fin.TR)

[2] arXiv:2304.05115 (cross-list from q-fin.TR) [cn-pdf, pdf, other]

Title: Towards systematic intraday news screening: a liquidity-focused approach Show Chinese title

Title: 面向系统性日内新闻筛选：一种流动性关注的方法

Jianfei Zhang, Mathieu Rosenbaum

Subjects: Trading and Market Microstructure (q-fin.TR) ; Machine Learning (cs.LG) ; Computational Finance (q-fin.CP)

[3] arXiv:2304.06037 (cross-list from q-fin.TR) [cn-pdf, pdf, html, other]

Title: Quantitative Trading using Deep Q Learning Show Chinese title

Title: 基于深度Q学习的量化交易

Soumyadip Sarkar

Subjects: Trading and Market Microstructure (q-fin.TR) ; Machine Learning (cs.LG) ; General Finance (q-fin.GN)

[4] arXiv:2304.13985 (cross-list from q-fin.TR) [cn-pdf, pdf, html, other]

Title: The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper Show Chinese title

Title: 高频预期交易的影响：知情交易者与套利者的比较

Ziyi Xu, Xue Cheng

Subjects: Trading and Market Microstructure (q-fin.TR) ; General Economics (econ.GN) ; Mathematical Finance (q-fin.MF)

[5] arXiv:2304.02472 (cross-list from q-fin.RM) [cn-pdf, pdf, html, other]

Title: Learning to Predict Short-Term Volatility with Order Flow Image Representation Show Chinese title

Title: 学习使用订单流图像表示预测短期波动性

Artem Lensky, Mingyu Hao

Subjects: Risk Management (q-fin.RM) ; Machine Learning (cs.LG) ; Trading and Market Microstructure (q-fin.TR)

[6] arXiv:2304.07108 (cross-list from q-fin.MF) [cn-pdf, pdf, html, other]

Title: Mean-field equilibrium price formation with exponential utility Show Chinese title

Title: 具有指数效用的均场均衡价格形成

Masaaki Fujii, Masashi Sekine

Comments: Forthcoming in Stochastics and Dynamics. 30 pages

Subjects: Mathematical Finance (q-fin.MF) ; General Economics (econ.GN) ; Trading and Market Microstructure (q-fin.TR)

[7] arXiv:2304.08590 (cross-list from econ.GN) [cn-pdf, pdf, other]

Title: Risks and opportunities in arbitrage and market-making in blockchain-based currency markets. Part 1 : Risks Show Chinese title

Title: 套利和区块链货币市场中的风险与机遇。 第一部分：风险

Vittorio Astarita

Subjects: General Economics (econ.GN) ; Trading and Market Microstructure (q-fin.TR)

[8] arXiv:2304.09840 (cross-list from cs.LG) [cn-pdf, pdf, other]

Title: Optimum Output Long Short-Term Memory Cell for High-Frequency Trading Forecasting Show Chinese title

Title: 用于高频交易预测的最优输出长短期记忆单元

Adamantios Ntakaris, Moncef Gabbouj, Juho Kanniainen

Subjects: Machine Learning (cs.LG) ; Computational Engineering, Finance, and Science (cs.CE) ; Trading and Market Microstructure (q-fin.TR)

[9] arXiv:2304.11010 (cross-list from q-fin.MF) [cn-pdf, pdf, other]

Title: Invariance properties of maximal extractable value Show Chinese title

Title: 最大可提取价值的不变性性质

Alan Guo

Comments: 39 pages

Subjects: Mathematical Finance (q-fin.MF) ; Trading and Market Microstructure (q-fin.TR)

[10] arXiv:2304.11883 (cross-list from q-fin.ST) [cn-pdf, pdf, other]

Title: Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data Show Chinese title

Title: 基于递归神经网络的高频率金融数据霍克斯模型参数估计

Kyungsub Lee

Comments: To appear in Finance Research Letters

Subjects: Statistical Finance (q-fin.ST) ; Trading and Market Microstructure (q-fin.TR) ; Machine Learning (stat.ML)