Economics & Finance · Interdisciplinary & Society
Trading & Market Microstructure
The newest papers in Trading & Market Microstructure that ReadSearch has read, newest first. Each links to its own page, with its authors, date, where it was published and the original.
97 papers, from 5 September 2026 to 4 November 2026: 97 arXiv preprints.
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Newest papers
Hard to Fool: A Bounded LLM Research Loop for Quantitative Finance, and What Two Dozen Campaigns Found
Agentic research loops that let a language model propose a change, run a fixed experiment and keep whatever improves the metric work well in machine learning.Beyond Anonymous Order Flow: Wallet Identity as a Feature for Short-Horizon Return Prediction
Conventional public order-book data summarize trading without identifying the accounts behind it.AIDA: An AI Outage Registry with Evidence from On-Chain MEV
Generative AI coding tools have lowered the cost of writing trading software, but no systematic dataset records when these services fail.Learning AI Agents, Market Makers, and Stress in Automated Markets
Automated markets increasingly route order flow from learning trading agents through automated market makers (AMMs).Non-Convex Market Makers: Coherence without Convexity, Friction, and Parallel Composition
Cost-function market makers are always assumed convex, and convexity is not what makes them coherent.Reading the Count: Prediction Markets and Brazil's 2026 Presidential Election
We rebuild the public count of Brazil's 2026 presidential runoff minute by minute from the electoral court's section-level records and compare it with every trade on Kalshi and Polymarket.Early-Buyer Groups and Fast-Wallet Teams on a Bonding-Curve Launchpad: A Prospective Measurement Study of pump.fun on Solana
We study coordinated groups of wallets on a bonding-curve launchpad (pump.fun on Solana), using a complete record of 200\,443 token launches, 15\,854\,121 curve trades and 51\,025\,958 SOL transfers…Calibration of Passive Market Impact with a Queue-Sensitive Propagator Model
We develop a framework for calibrating passive market impact, defined as the price response to liquidity-providing limit orders, in contrast to the impact of liquidity-consuming market orders.Depositing More Should Not Earn Less: Supplier Income Monotonicity and Rate Curve Design in Pooled Lending Markets
In utilization dependent interest rate models, adding liquidity can reduce a supplier's total interest income even as the supplier's balance increases.Optimal Order Placement under a State-Dependent Hawkes Process Limit Order Book model
We study optimal quote placement for a market maker facing order flow modeled by a state-dependent Hawkes process.Do Round Numbers Hold Prices? Occupation Densities and Depth-Conditioned Hazards in the Limit Order Book
Prices cluster at round numbers, a pattern often interpreted as evidence that these levels act as price barriers.Fuji: The Shape, Composition, and Spread of Demand Bursts on Robinhood Chain
Demand on blockchain-based marketplaces arrives in bursts and at a high rate.FinLLM-KG: Knowledge Graph-Enhanced LLMs for Financial Sentiment Analysis in Algorithmic Trading
Recent advances in Generative AI have substantially improved financial sentiment analysis through post-trained financial large language models (LLMs).Event definition and the branching ratio: Hawkes estimates of price-change clustering in the consolidated quote feed
Hawkes models of price changes in the consolidated US quote feed find a sub-millisecond kernel component and a branching ratio near criticality.Decorrelating the Advice Layer: A Calibrated Fragility Metric and Tested Mitigations for Synchronized Liquidation in Agentic Wealth Management
Conversational AI agents are turning wealth management into a continuous loop of market analysis, allocation, risk checks and execution, run for millions of clients on a handful of foundation models.Tracking High-Frequency Trading Activity in China and Its Effects on Market Quality
We develop a new order-level proxy for high-frequency trading (HFT) activity based on precise order placement and study its effects on market quality.Equilibria and Learning in Competitive Market Making
We propose a market-making game played among $N \ge 2$ strategic market makers and a single non-strategic representative trader.Intraday Forecasting Ability and Liquidity Provision of Institutional Traders
This study uses a high-frequency dataset from a stock exchange to examine how forecasting ability and liquidity provision relate to institutional traders' proprietary intraday profitability.Optimal Size in Market Making under State-Dependent Hawkes Process
We study market making with a parametric model of executed volume that accounts for quote placement and state-dependent order flow.Dynamics of the Liquidity Profile in Concentrated Liquidity Provision: An SPIDE Approach
We model the dynamics of the liquidity profile in Uniswap~V3 and other concentrated-liquidity automated market makers with a stochastic partial integro-differential equation (SPIDE).