Trading and Market Microstructure
We extend the limited participation model in Basak and Cuoco (1998) to allow for traders with different time-preference coefficients but identical constant relative risk-aversion coefficients. Our main result gives parameter restrictions…
Artificial transaction generation remains an important source of potential market manipulation on cryptocurrency exchanges, as it may distort reported liquidity and reduce market transparency. This study proposes a diagnostic framework for…
We develop a variational formulation of Kyle's model of informed trading that accommodates stochastic liquidity and multiple traded assets. The main equilibrium result is stated first: under a martingale dual condition, a matrix-valued…
Cryptocurrency markets exhibit periodic bursts in volatility and volume at one-, five-, and quarter-hour marks. Using trade data for six Binance perpetual contracts, we associate these bursts with algorithmic trading: trade-size roundness…
Building event-conditioned market models requires separating macro-event labels from persistent microstructure state. We study this distinction in Binance BTCUSDT and ETHUSDT futures from 2023-2026, combining top-20 L2 order book data,…
Agent-based models of markets readily produce emergent instabilities, but telling a genuine collective effect apart from a parameter artefact takes discipline. We apply Bouchaud's phase-diagram method to a continuous-double-auction…
We study sequential decision making under evolving uncertainty in high-frequency financial markets, where changing market dynamics continually challenge static decision policies. We show that robustness has two economically meaningful…
Forward-looking volatility forecasts are central inputs to derivatives pricing, market making, risk management, and volatility-linked trading strategies, with ARCH and GARCH models serving as the canonical workhorses. Such models are…
In this paper, we investigate whether a model-free RL agent can identify and exploit price manipulation opportunities more effectively than a traditional model-based approach that assumes correct specification of the data-generating process…
We study a one period limit order market with informed traders, noise traders, and competitive liquidity suppliers, in which the number of informed traders is random. Liquidity suppliers know the distribution of the informed trader count,…
We propose a Gabor--Epps uncertainty principle for practical trading. The key idea is that high-frequency correlation is not observed in clock time alone, but is resolved through market activity, order-flow overlap, and finite coupling…
Market impact is defined as the difference between the observed price trajectory under a given execution strategy and the counterfactual trajectory that would have prevailed without it. Since this counterfactual is unobservable, estimating…
This paper reports a precision audit of a production filter stack against a 13-day window of post-rejection forward-market observations on Solana DEX trading (2026-04-10 to 2026-04-23, UTC). The audit yielded 99,510 follow-up samples across…
We present a Kaplan-Meier and Cox proportional-hazards survival analysis of 832,941 Solana pump.fun token launches with 24-hour graduation outcomes, observed continuously between 2026-05-08 and 2026-06-10. The pooled graduation rate is…
We study coordinated buyer behavior on the Solana pump.fun bonding-curve marketplace using 1,578,333 buyer observations from 166,098 token launches between June 12 and June 26, 2026. A two-stage detection pipeline - intra-launch…
Systematic trend following has, on average, been profitable for at least two centuries; yet since approximately 2009, short-term trends have ceased to deliver reliable returns. Using a cross-section of roughly 100 liquid futures contracts…
When is a large trade news, and when is it a liquidity shock? We study this question in a sequential competitive limit order book with asymmetric information. In our model, liquidity suppliers observe aggregate order flow but not its…
Prediction markets increasingly list contracts settling on an asset price that holders can move by trading the underlying. We build a model showing that such contracts transfer wealth from prediction-market liquidity traders to manipulators…
We develop a signature-based framework for optimal execution in statistical arbitrage strategies with path-dependent predictive signals. Both the alpha process and the trading speed are modelled as linear functionals of the truncated…
SPY's lag-1 return autocorrelation ($\hat\rho(1)=-0.081$, $z=-7.4$) is among the most significant regularities in empirical equity finance, yet the standard variance-ratio (VR) test cannot determine whether it reflects directional reversal…