Trading and Market Microstructure

Authors and titles for recent submissions

• Fri, 3 Oct 2025
• Thu, 2 Oct 2025
• Wed, 1 Oct 2025
• Tue, 30 Sep 2025
• Mon, 29 Sep 2025

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Fri, 3 Oct 2025 (showing 2 of 2 entries )

[1] arXiv:2510.01814 (cross-list from q-fin.TR) [cn-pdf, pdf, html, other]

Title: Mean-field theory of the Santa Fe model revisited: a systematic derivation from an exact BBGKY hierarchy for the zero-intelligence limit-order book model Show Chinese title

Title: 平均场理论重新审视圣塔菲模型：从零智能限价订单簿模型的精确BBGKY层次结构系统推导

Taiki Wakatsuki, Kiyoshi Kanazawa

Comments: 40 pages, 10 figures

Subjects: Trading and Market Microstructure (q-fin.TR) ; Statistical Mechanics (cond-mat.stat-mech) ; Computational Finance (q-fin.CP) ; General Finance (q-fin.GN) ; Mathematical Finance (q-fin.MF)

[2] arXiv:2510.01956 (cross-list from q-fin.PR) [cn-pdf, pdf, html, other]

Title: Rolling intrinsic for battery valuation in day-ahead and intraday markets Show Chinese title

Title: 日前和日内市场的电池估值滚动内在值

Daniel Oeltz, Tobias Pfingsten

Subjects: Pricing of Securities (q-fin.PR) ; Computational Finance (q-fin.CP) ; Trading and Market Microstructure (q-fin.TR)

Thu, 2 Oct 2025

No updates for this time period.

Wed, 1 Oct 2025

No updates for this time period.

Tue, 30 Sep 2025 (showing 1 of 1 entries )

[3] arXiv:2509.22985 (cross-list from q-fin.RM) [cn-pdf, pdf, html, other]

Title: Forecasting Liquidity Withdraw with Machine Learning Models Show Chinese title

Title: 使用机器学习模型预测流动性提取

Haochuan (Kevin)Wang

Subjects: Risk Management (q-fin.RM) ; Computational Finance (q-fin.CP) ; Trading and Market Microstructure (q-fin.TR)

Mon, 29 Sep 2025 (showing 1 of 1 entries )

[4] arXiv:2509.21337 (cross-list from q-fin.TR) [cn-pdf, pdf, other]

Title: Optimized Operation of Standalone Battery Energy Storage Systems in the Cross-Market Energy Arbitrage Business Show Chinese title

Title: 独立电池储能系统在跨市场能源套利业务中的优化运行

Luis van Sandbergen

Comments: Originally submitted in August 2024 as part of the Discovery-led Project course from Ruhr West University of Applied Sciences in cooperation with Iqony GmbH; revised and updated for arXiv

Subjects: Trading and Market Microstructure (q-fin.TR) ; Systems and Control (eess.SY)