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, page 2
Speculative Imbalance Positions by Non-Physical Traders: Impacts on Electricity System Balancing in Great Britain
The electricity system in Great Britain (GB) allows participants to deliberately produce or consume a different volume to their traded position and has incentivised this practice with a single…Understanding the Inner Workings of a State-Space Foundation Model for Limit Order Books
Autoregressive foundation models offer state-of-the-art capabilities to simulate the market by generating the message flow of limit order books (LOBs).Topological Compression of Prediction Market Belief States for Event Forecasting
Topological Data Analysis (TDA) and Persistent Homology (PH) have been utilized in numerous fields$-$from protein modeling to financial analysis$-$to understand the underlying structure of data.The Control Layer Behind Rule-Following Agents Trading Across Market Conditions
Trading discipline often fails people.Cooperative Multi-Agent Reinforcement Learning for Market Making on Prediction-Market Order Books
A market maker provides liquidity by quoting prices to buy and sell an asset, earning the spread while managing inventory risk.LOB-Impact Benchmark: Emergent Market Impact in Generative Limit Order Book Models
Realistic market impact is essential for generative limit order book (LOB) models to serve as world models for trading agents.Probabilistic Limit Order Book Forecasting with Conditional Diffusion Models
Modeling limit order book (LOB) dynamics is central to market forecasting and execution-strategy evaluation.Basis-Only Funding Is Not Dividend Fair: Settlement Design in Crypto Equity Perpetuals
Crypto venues increasingly list perpetual futures on equities and other real-world assets (RWAs), which trade continuously yet reference dividend-paying stocks: a long equity perpetual marked to the…Combinatorial Arbitrage in Prediction Markets
We develop a framework to identify and quantify arbitrage across logically related prediction-market contracts.Cross-product Modelling in Continuous Intraday Electricity Markets via Hawkes Processes
As renewable energy integration accelerates, intraday continuous (IDC) electricity markets have become essential for short-term balancing.From Alpha to Execution: Trading Horizons, Regimes, and Schedules under Concave Impact and Hurst Scaling
Classical execution models assume linear impact, diffusive prices, and an exogenous horizon.StochLOB: Heavy-Tailed Score Matching for Robust Limit Order Book Trend Prediction
Score-based diffusion methods usually perturb data with Brownian Gaussian noise, corresponding to a light-tailed forward stochastic differential equation (SDE).NEST: Stale-Robust Tokenized-Stock Measurement for a Crypto-Treasury LETF Stack
Tokenized equities trade while listed markets are closed, so their marks could improve off-hours measurement along layered exposures that link Bitcoin, crypto-treasury stocks, and leveraged ETFs.How Much Screening Buys a Second? Speed, Selection, and the Maker's Spread
We study the spread a liquidity provider needs to break even against counterparties that can exploit a stale quote, and we place two defenses on a single scale: repricing sooner and screening…Pricing the Unprovable: Ambiguity, Turnstile Runs, and the Verifiability Discount in Crypto Protocols
Privacy-preserving protocols can repair a vulnerability without establishing whether it was exploited beforehand, even when no theft is reported and aggregate supply is protected.Where Backtests and Live Trading Part Ways: Six Defects from One Intraday System
Backtests of intraday strategies can drift away from what the live system actually does; in our case, the drift never showed in summary statistics.Agentic AI in Automated Markets
Automated markets increasingly host autonomous, learning trading agents and are powered by formulaic automated market makers (AMMs).OrderFlowDiT: Transport-Regularized Diffusion Transformer for Probabilistic Limit-Order Supply Forecasting
We study the conditional distribution of limit-order volume submitted over the next five minutes, given the current order book and recent order flow.Neural Estimation of Irreversibility in Real and Simulated Limit Order Book Paths
A path indistinguishable from its own reverse carries no arrow of time, so time irreversibility is a necessary condition for a directed mechanism to be readable from trajectories alone.Demand Under a Mechanical Price: Elasticity and Welfare in Ethereum's Data-Availability Market
Ethereum sells data-availability capacity to rollups through "blobs" priced by a controller: the blob fee rises and falls exponentially with cumulative usage above or below a target, and no auction…