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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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265277103 · May 202619922001200920172026
48 results for wash trading

Study shows how crypto asset liquidity is affected by wash trading and proposes treatment to reduce liquidity diffusion.

problem Understanding and reducing crypto asset wash trading to improve liquidity.
method Proposed a two-component model for liquidity (jump and diffusion) and demonstrated the effectiveness of autoregressive models.
result Treatment on wash trading significantly reduces liquidity diffusion but not liquidity jump.

New framework detects crypto wash trading using liquidity measures.

problem Detecting and monitoring wash trading in crypto assets.
method Developed a new framework to detect wash trading through real-time liquidity fluctuation measures.
result Joint elevation in liquidity jump and diffusion indicates wash trading in crypto assets.

This paper examines how wash traders exploit market conditions in Bitcoin, finding strategic timing and spillover effects.

problem Wash trading in cryptocurrency markets to inflate volume and manipulate market conditions.
method Analysis of 18 million Mt. Gox transactions, exogenous demand shock study.
result Wash trading intensifies in low legitimate trading volume and responds to demand shocks, indicating strategic behavior.

Study reveals widespread manipulation of meme coins, leading to significant economic losses.

problem Widespread manipulation of meme coins leading to economic losses.
method Cross-chain analysis of 34,988 tokens across Ethereum, BNB Smart Chain, Solana, and Base.
result 82.8% of high-return tokens show evidence of artificial growth strategies.

Consider an ephemeral sale-and-repurchase of a security resulting in the same position before the sale and after the repurchase. A sale-and-repurchase is a wash sale if these transactions result in a loss within ±30\pm 30 calendar days. Since a portfolio is essentially the same after a wash sale, any tax advantage from …

2015-11-11abs ↗pdf ↗

Optimizes portfolios to minimize tax liability, even with monthly trading restrictions.

problem Minimizing tax liability in portfolio construction while adhering to trading restrictions.
method Uses convex optimization to handle the non-convex tax-aware portfolio construction problem, customizing the approach to avoid wash sales.
result The method produces near-optimal trade lists with significantly reduced computational effort compared to globally optimal solutions.

WASH trains ensembles with shuffled weights to improve accuracy and reduce communication.

problem Training ensembles for weight averaging leads to models converging to different loss basins.
method WASH randomly shuffles a small percentage of weights during training to keep models within the same basin.
result WASH achieves state-of-the-art image classification accuracy with lower communication costs.

Study detects unusual trading patterns on crypto exchanges using complexity measures.

problem Detecting artificial trading activity on cryptocurrency exchanges.
method Complexity and statistical-structure measures derived from high-frequency trade-level data.
result Unusual trading patterns detected on Bitget for BTC and ETH after mid-May 2025.

Study of Polymarket's prediction market microstructure using tick-level order book data.

problem Understanding the microstructure of decentralized prediction markets.
method Analysis of a continuous tick-level order book feed and on-chain trade records.
result Trade direction inferred from Polymarket's public order-book feed disagrees with on-chain data in ~59% of cases.

TMLE improves causal effect estimation in missing data scenarios with various positivity violations.

problem Estimating causal effects in studies with missing data and positivity violations.
method Targeted Maximum Likelihood Estimation (TMLE) with various missing data methods.
result Complete cases with TMLE incorporating an outcome-missingness model exhibit lower bias and greater robustness against positivity violations.

Simple aggregation of multiple methods defends against adversarial attacks on neural networks.

problem Manipulation of machine learning models to hide discriminating features.
method Aggregation of multiple explanation methods to make the model robust against adversarial attacks.
result The model remains robust even when the attacker has knowledge of the model weights and explanation methods.

Study how depth affects inference in deep Bayesian neural networks.

problem Understanding how depth impacts inference in overparameterized linear Bayesian neural networks.
method Interpreting finite deep linear Bayesian neural networks as scale mixtures of Gaussian process predictors.
result Advances analytical understanding of how depth affects inference in a simple class of Bayesian neural networks.

Optimizes cryptocurrency exchanges' risk management by reducing positions based on leverage.

problem Managing risk in cryptocurrency futures exchanges during large price moves.
method Formulates ADL as an optimization problem to minimize risk of loss, using a water-filling rule to equalize leverage.
result The optimal ADL policy minimizes maximum leverage among participants, providing a transparent and implementable benchmark.

A deep probabilistic model analyzes DNA-encoded library data for efficient screening.

problem Complex data from DNA-encoded library experiments mask underlying signals.
method Compositional deep probabilistic model of DEL data, modeling latent reactions between synthons.
result DEL-Compose model demonstrates strong performance and valuable insights.

Bayesian networks improve product risk assessment by handling uncertainty and causality.

problem Limited handling of uncertainty and inability to incorporate causal explanations in existing methods.
method Bayesian Networks (BNs) for improved systematic product risk assessment.
result BN approach provides more powerful and flexible risk assessments.

DAIS improves AIS for differentiable marginal likelihood estimation.

problem Differentiable marginal likelihood estimation for complex models.
method Proposes Differentiable Annealed Importance Sampling (DAIS) to make AIS differentiable.
result DAIS achieves convergence and consistency in Bayesian linear regression.

Non-intrusive load monitoring (NILM) is a technique to recover source appliances from only the recorded mains in a household. NILM is unidentifiable and thus a challenge problem because the inferred power value of an appliance given only the mains could not be unique. To mitigate the unidentifiable problem, various met…

2019-02-23abs ↗pdf ↗

This paper examines how regional trade agreements affect global trade relationships.

problem The relationship between regional trade agreements and global trade purity.
method Defined and decomposed synthesized trade resistance, separated natural and artificial factors, used expectation maximization algorithm to optimize parameters, and quantified trade purity indicator.
result Regional trade agreements contribute to the relative prosperity of EU and NAFTA countries, but weaken the role of trade unions and accelerate multilateral trade liberalization.

Paper predicts international trade flows using machine learning and factorization models.

problem Predicting international bilateral trade flows with PTAs.
method Two-stage approach combining SHAP Explainer and Factorization Machine models.
result Enhanced predictive accuracy and deeper insights into trade dynamics.

Model predicts trading strategies based on latent demand and price impact.

problem Predicting strategic trading behavior of investors with private targets.
method Equilibrium model of dynamic trading, learning, and pricing by strategic investors.
result Trading strategies are a combination of target following, liquidity provision, and front-running based on latent demand and price pressure.

A dynamic herding model with interactions of trading volumes is introduced. At time tt, an agent trades with a probability, which depends on the ratio of the total trading volume at time t1t-1 to its own trading volume at its last trade. The price return is determined by the volume imbalance and number of trades. The …

2008-03-06abs ↗pdf ↗

This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distributions of the execution time, the number of trades and the total trading volume of trade packages, and analyze the possible s…

2011-03-08abs ↗pdf ↗

The paper limits the profitability of technical trading rules and finds they are not better than random trading.

problem The profitability of technical trading rules in stock markets is controversial.
method Proves the upper bound of cumulative return and investigates the profitability of technical trading rules using bootstrap methodology.
result Technical trading rules are not better than random trading and less profitable than the market.

The paper classifies trades into types based on proximity and measures their impact on stock prices.

problem Understanding the impact of high-frequency trades on stock prices and their predictability.
method Classifies trades into five types based on proximity, measures conditional order imbalance (COI), and develops trading strategies.
result Strong positive correlations between contemporaneous returns and COIs, and positive associations with future returns for isolated trades.

Study high-frequency trading patterns in cryptocurrencies.

problem Understanding automated trading algorithms in cryptocurrency markets.
method Analyzes intraday trading data of cryptocurrencies, focusing on returns, volumes, and volatility.
result Provides insights into predictability of economic value in cryptocurrency markets.

We extend the framework of trading strategies of Gatheral [2010] from single stocks to a pair of stocks. Our trading strategy with the executions of two round-trip trades can be described by the trading rates of the paired stocks and the ratio of their trading periods. By minimizing the potential cost arising from cros…

2017-01-11abs ↗pdf ↗

Brazil proposes a new BRICS trade currency to dominate international trade.

problem Dominance of BRICS currency in international trade.
method Mathematical model of influence battle between three currencies, using trade flows and weights in global trade.
result By 2012, about 58% of countries preferred trading with the BRICS currency.

CREDIT learns to master pair trading with risk-aware RL, outperforming existing methods.

problem Challenges in applying RL to pair trading due to temporal correlations and risk considerations.
method Risk-aware recurrent reinforcement learning (RL) with bidirectional GRU and temporal attention.
result CREDIT achieves significant profit in pair trading over five years of U.S. stock data.