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.
A new model predicts price concavity and reversion after metaorder execution.
PRZI traders adapt their quote-prices based on a strategy parameter s, affecting market dynamics.
Financial asset markets are sociotechnical systems whose constituent agents are subject to evolutionary pressure as unprofitable agents exit the marketplace and more profitable agents continue to trade assets. Using a population of evolving zero-intelligence agents and a frequent batch auction price-discovery mechanism…
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data from the London Stock Exchange to test a simple model in which zero intelligence…
Modeling high-frequency speculative markets as auction search processes.
Model shows how traders' interactions can create market patterns.
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the assumption of IID random order flow, and analyze it using simulation, dimensional analy…
Quantitative finance has had a long tradition of a bottom-up approach to complex systems inference via multi-agent systems (MAS). These statistical tools are based on modelling agents trading via a centralised order book, in order to emulate complex and diverse market phenomena. These past financial models have all rel…
In the past, financial stock markets have been studied with previous generations of multi-agent systems (MAS) that relied on zero-intelligence agents, and often the necessity to implement so-called noise traders to sub-optimally emulate price formation processes. However recent advances in the fields of neuroscience an…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen …
Paper improves volatility estimation using a Queue-Reactive model.
Model shows how multiple markets can coexist or fragment based on trader behavior.
Revises mean-field theory of Santa Fe model using kinetic theory.
Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-based prediction market platform which allows us to reconstruct transaction networks among traders. From these networks, we …
Inspired by the unsupervised learning or self-organization in the machine learning context, here we attempt to draw `learning curve' for the collective behavior of job-seeking `zero-intelligence' labors in successive job-hunting processes. Our labor market is supposed to be opened especially for university graduates in…
Study models crypto markets using multi-agent reinforcement learning.
This paper is intended to explain, in simple terms, some of the mechanisms and agents common to multiagent financial market simulations. We first discuss the necessity to include an exogenous price time series ("the fundamental value") for each asset and three methods for generating that series. We then illustrate one …
A combination of a priority queueing model and mean field theory shows the emergence of traders' swarm behavior, even when each has a subjective prediction of the market driven by a limit order book. Using a nonlinear Markov model, we analyze the dynamics of traders who select a favorable order price taking into accoun…
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subject of various investigations in the financial community. In this paper, we propose to enhance a basic zero-intelligence o…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of…
We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counter-flows of simulated pedestrians through a door display many stylized facts obser…
Motivated by a zero-intelligence approach, the aim of this paper is to connect the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks for the modelling of limit order books, with a view to providing a natural probabilistic …
We study the performance of various agent strategies in an artificial investment scenario. Agents are equipped with a budget, , and at each time step invest a particular fraction, , of their budget. The return on investment (RoI), , is characterized by a periodic function with different types and leve…
We address the issue of the distribution of firm size. To this end we propose a model of firms in a closed, conserved economy populated with zero-intelligence agents who continuously move from one firm to another. We then analyze the size distribution and related statistics obtained from the model. Our ultimate goal is…
The paper develops a new model for order book dynamics using Hawkes processes.
This paper examines how regional trade agreements affect global trade relationships.
Study replicates market model, finds replication hindered by missing details.
Paper predicts international trade flows using machine learning and factorization models.
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order book data and classify traders into classes using the -shell decomposition m…
Analysis shows preference for Chinese yuan in global trade network.
Model predicts trading strategies based on latent demand and price impact.
Here, we present the World Trade Atlas 1870-2013, a collection of annual world trade maps in which distance combines economic size and the different dimensions that affect international trade beyond mere geography. Trade distances, which are based on a gravity model predicting the existence of significant trade channel…
A dynamic herding model with interactions of trading volumes is introduced. At time , an agent trades with a probability, which depends on the ratio of the total trading volume at time to its own trading volume at its last trade. The price return is determined by the volume imbalance and number of trades. The …
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…
Automated trading system with preprocessing and reinforcement learning.
The paper limits the profitability of technical trading rules and finds they are not better than random trading.
The paper classifies trades into types based on proximity and measures their impact on stock prices.
Study high-frequency trading patterns in cryptocurrencies.
Developed Forex trading heuristics with high profit potential.
Paper examines costs of using wrong price impact models in trading.
This paper surveys cryptocurrency trading research, covering various aspects.
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…
Brazil proposes a new BRICS trade currency to dominate international trade.
Trade finance history traced from medieval origins to modern markets.
CREDIT learns to master pair trading with risk-aware RL, outperforming existing methods.
Study reveals inefficiencies in EU carbon trading market.
Using the United Nations COMTRADE database \cite{comtrade} we construct the Google matrix of multiproduct world trade between the UN countries and analyze the properties of trade flows on this network for years 1962 - 2010. This construction, based on Markov chains, treats all countries on equal democratic grounds …
Unified market-based description of returns and variances of trades.