Trading and Market Microstructure

Authors and titles for recent submissions

• Fri, 21 Jun 2024
• Wed, 19 Jun 2024
• Tue, 18 Jun 2024
• Mon, 17 Jun 2024
• Fri, 14 Jun 2024

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Fri, 21 Jun 2024 (showing 2 of 2 entries )

[1] arXiv:2406.14537 (cross-list from cs.LG) [pdf, html, other]

Title: MacroHFT: Memory Augmented Context-aware Reinforcement Learning On High Frequency Trading

Chuqiao Zong, Chaojie Wang, Molei Qin, Lei Feng, Xinrun Wang, Bo An

Comments: Accepted to KDD 2024

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

[2] arXiv:2406.13794 (cross-list from eess.SY) [pdf, html, other]

Title: Adaptive Curves for Optimally Efficient Market Making

Viraj Nadkarni, Sanjeev Kulkarni, Pramod Viswanath

Subjects: Systems and Control (eess.SY); Computational Engineering, Finance, and Science (cs.CE); Trading and Market Microstructure (q-fin.TR)

Wed, 19 Jun 2024 (showing 1 of 1 entries )

[3] arXiv:2406.12098 [pdf, html, other]

Title: Circular transformation of the European steel industry renders scrap metal a strategic resource

Peter Klimek, Maximilian Hess, Markus Gerschberger, Stefan Thurner

Subjects: Trading and Market Microstructure (q-fin.TR); Physics and Society (physics.soc-ph)

Tue, 18 Jun 2024 (showing 1 of 1 entries )

[4] arXiv:2406.10695 (cross-list from q-fin.PM) [pdf, html, other]

Title: Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market

Adam Korniejczuk, Robert Ślepaczuk

Comments: 33 pages, 18 tables, 16 figures

Subjects: Portfolio Management (q-fin.PM); Trading and Market Microstructure (q-fin.TR); Machine Learning (stat.ML)

Mon, 17 Jun 2024

No updates for this time period.

Fri, 14 Jun 2024

No updates for this time period.