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 5
Model-Free Passive Execution via Order-Level Shadowing
Automated execution algorithms are organized into schedule-based and liquidity-seeking families.From Public Evidence to Contractual Outcome: First and Stable Decidability on Kalshi
Public evidence can become sufficient to settle a prediction-market contract before the venue records its first determination, but the relevant boundary depends on the applicable rule version, exact…SAiFE-gym: Model-based Environments for Automated Market Making with Concentrated Liquidity
We present SAiFE_gym, a Python module that provides a collection of simulation environments for studying trading problems in Constant Product Markets (CPMs) with Concentrated Liquidity (CL).Gate Design and Stage-Dependent Incentives in Retail Proprietary-Trading Evaluations: Why Passing Is Not Standalone Evidence of Skill, and Why the Product Fails to Pay Under Measured Trading Constraints
Retail proprietary-trading firms sell a two-stage product: a paid evaluation that must reach a profit target before breaching a trailing drawdown, then a funded account that must survive a minimum…Resolution Is Not Settlement, Part I: Oracle Adjudication and Semantic Governance on Polymarket
Prediction-market resolution is often reduced to a terminal outcome and one timestamp.Resolution Is Not Settlement, Part II: Protocol Finality and Observed Redemption on Polymarket
An Oracle result is not yet a protocol payout, a redeemable position is not yet collateral in a holder's account, and a redemption event is not a complete measure of economic entitlement.Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics
We study strategic trading around index reconstitution in a continuous-time, multiasset game with transient cross-asset price impact and heterogeneous beliefs about future index membership.On-Demand Combinatorial Event Markets on Kalshi: Instantiation, Concentration, and Effective Market Breadth
Kalshi's multivariate-event architecture produces market objects on demand from exact selected legs.Public Opinion as an Option: Leveraging Prediction Markets to Hedge Exposure to Spot Crypto Volatility
This paper proposes an investment strategy through resource allocation into Kalshi Crypto Event Contracts in order to effectively hedge exposure to spot asset volatility.Event-Time Order-Flow Memory, Operational-Time Impact, and Subordinated Market Observables
We consider two canonical market-microstructure regularities: the long-memory of trade signs and the square-root law of meta-order impact.ViperQ: Order Flow Pattern Recognition via Auction Market Theory for Reinforcement Learning Trading
Reinforcement learning trading systems published in the academic literature overwhelmingly rely on price-aggregate state representations (OHLCV bars) or limit-order-book depth features, leaving…Same Book, Different Fills: Partial Identification of FIFO Execution from Aggregate Order Books
Price-level limit order book (L2) data reveal aggregate liquidity but not the ordered queue required by price--time priority.Deep Learning of Robust Market Making under Regime-Switching Order Flow
Classical market-making strategies based on stochastic control, such as the Avellaneda-Stoikov and the Guéant-Lehalle-Fernandez-Tapia (GLFT) extension, provide closed-form quoting rules, but rest on…dexamine: A Python package for Uniswap event data on Ethereum
Decentralized exchanges record trading and liquidity provision on public blockchains, but empirical analysis requires interpreting these records and linking them to execution metadata. dexamine is a…The Double-Edged Sword of Short-Selling Bans
We develop a theoretical model that endogenizes the regulator's decision to impose short-selling bans to prevent large stock price declines.Regimes in the Order Flow
Financial markets alternate between periods of relative stability and instability, with structural breaks marking the transitions between these regimes.Explainable Deep Learning for Price-Trade Dynamics: From Black-Box Forecasts to Effective Parametric Models
Understanding the joint dynamics of prices and trades is central to market microstructure, where returns and order flow interact through nonlinear and state-dependent mechanisms.