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 4
Agent Policy-Value Audit: Separating Transition Composition from Event Selection in Financial LLM Agents
Financial LLM agents are often evaluated by comparing their end-to-end returns with those of a baseline and testing the paired difference against zero.PPO-HRAP: Proximal Policy Optimization with a Hybrid Regime-Aware Policy for Risk-Controlled Trading
Reinforcement learning for trading often struggles to balance upside participation with drawdown control.Social welfare and price discovery in double auction markets
The tendency of the double auction mechanism to drive prices to competitive equilibrium has been well documented in laboratory experiments, but the phenomenon has lacked a theoretical explanation.Shared Models, Selective Trading, and Order Flow
We study whether model diversity survives selection into trading.QuantCode Model: Specializing Language Models for Executable Algorithmic Trading Code
Large language models are strong general-purpose code generators, but executable algorithmic trading remains a demanding specialization target: a model must translate a natural-language strategy…Beyond Supra-Competitive Outcomes: Collusive Behaviour in Deep Reinforcement Learning for Optimal Execution Games
In this paper, we extend earlier findings of supra-competitive outcomes in optimal-execution games by identifying a learned punitive mechanism that deters deviations and provides behavioural…A Generalized Langevin Model of Latent Liquidity and Concave Price Impact
We model market impact as the response to submitted order flow net of counterflow from latent traders, activated when price displacements from the level that would prevail without the order exceed…Not All LPs Are Equal: The Active-Passive Gap in Automated Market Maker Liquidity Provision
Liquidity provision in automated market makers is typically analyzed at the pool level, implicitly assuming LP homogeneity.Say, Echo, Do: Strategic Narratives and Revealed Positioning in Financial Markets
Machine-learning signals built from financial text treat what institutions say, and what the media repeat, as evidence about value.Optimal Liquidation with Support and Resistance Levels under Multi-Skew Brownian Motion
We solve the perpetual liquidation problem for a geometric multi-skew Brownian motion carrying local-time pushes upward at a support level and downward at a resistance level, a model of technical…When Hedging Changes the Payoff: Option Replication with Price Impact and Execution Costs
Hedging a derivative by trading the underlying asset changes the payoff that the hedging intended to replicate.Evolution of Market Microstructure in the Age of AI
Market microstructure studies how trading rules turn orders into prices and allocations.Taming the Greeks: Option Portfolios with Inductive Biases
We present an end-to-end deep learning framework for systematic options trading that directly embeds hedging behavior through explicit control of portfolio-level risk exposures.Oracle-Parametrized Constant Function Market Makers: From Price Feeds to Pricing Rules
This paper introduces oracle-parametrized automated market makers (OP-AMMs), i.e., automated market makers whose quoted price depends jointly on the pool reserves and an external oracle price.Packets, Transactions and Queues: Design Principles for HFT Systems from a Measurement Study of CME Market Data
HFT systems are conventionally built as a single-threaded event loop, on the rule that every thread hop adds latency.Agentic Limit Order Books: Phase Transitions and Market Impact
We investigate the systemic macroscopic dynamics emerging from Limit Order Books (LOBs) populated exclusively by autonomous reinforcement-learning agentic traders.How Much Must a Private Mempool Hide? Exact Leakage Thresholds for Sandwich Attacks
Private and encrypted mempools hide pending transactions to stop sandwich attacks and other forms of maximal extractable value (MEV), but what they hide is rarely everything: a transaction's pair…Functional Architecture of European Electricity Trading Markets: Requirements for AI Supported Trading Systems under Regulatory Constraints
European electricity trading in the EU operates as a constrained multi-layer system in which legal design, exchange microstructure, and network physics are executed jointly across forward…Financial Language Models as Applied Artificial Intelligence Systems for News-Based Trading under Market Frictions
Financial language models can transform unstructured firm-specific news into structured decision signals, but financial AI research lacks an integrated deployment framework for evaluating whether…Adapting the Actor Model of Concurrency for High-Frequency Trading: Synchronous Message Delivery (fast_send) and a Tick-to-Book Latency Study
The actor model - state isolation, data-race freedom, deadlock resistance, and sequential single-message reasoning - has long been dismissed as unsuitable for high-frequency trading (HFT): actors…