交易与市场微观结构

Prediction markets cannot exist without market makers, arbitrageurs, and other non-retail liquidity providers, yet the supply-side microstructure of Polymarket-class venues has not been characterized at on-chain pseudonymous-address scale.…

This paper constructs and validates a composite day-classification system for Micro E-Mini Nasdaq 100 futures (MNQ) using three pre-market observable conditions: first-30-minute return magnitude, overnight gap magnitude, and abnormal…

The introduction of leverage on prediction-market event contracts raises three structurally distinct questions that have not been addressed jointly: how leverage changes manipulation incentives, how it interacts with informed-trading rents,…

Paper 1 of this research programme develops a resolution-aware risk-design framework for the simplest event-linked perpetual: a contract whose underlying tracks a single binary prediction-market probability through resolution. The…

We develop and counterfactually evaluate a resolution-aware risk-design framework (PIRAP) for perpetual futures whose underlying tracks a single binary prediction-market probability through resolution. The framework specifies six…

We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…

Automated equity trading requires converting noisy market and news signals into executable portfolio decisions under risk, turnover, and transaction costs. We propose Hierarchical Reinforced Trader (HRT), a bi-level reinforcement learning…

A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived from the order book. Conditions for stationarity of the process…

USDC and USDT are the dominant stablecoins pegged to \$1 with a total market capitalization of over \$300B and rising. Stablecoins make dollar value globally accessible with secure transfer and settlement. Yet in practice, these stablecoins…

We study permissionless spot--perpetual basis trading in decentralized finance as a collateral control problem. The strategy holds spot inventory, hedges directional exposure with a short perpetual, and allocates capital between spot…

This paper tests whether intraday momentum signals derived from open-high-low-close-volume (OHLCV) data produce a statistically significant trading edge in Micro E-mini Nasdaq 100 futures (MNQ) under realistic execution constraints. Using…

This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…

While decentralized prediction markets like Polymarket have gained significant traction, their market microstructure and high-frequency pricing efficiency remain underexplored. This paper conducts a systematic empirical analysis of…

This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of…

We carry the deadline-resolved Information Leakage Score (ILS-dl) framework of Nechepurenko (2026a, 2026b) from a single-case proof of concept to a population-scale evaluation across 12,708 Polymarket markets, October 2020 to April 2026. We…

This paper studies whether a lightweight supervised aggregator can combine diverse zero-shot large language model outputs into a stronger downstream signal for corporate disclosure classification. Zero-shot LLMs can read disclosures without…

Traditional moving average convergence divergence (MACD) trading rules are often constrained by signal lag and susceptibility to false signals. To address these limitations, this study develops a volume-price-adjusted MACD (VP-MACD)…

As Large Language Models (LLMs) become increasingly integrated into financial systems, understanding their behavioural properties is crucial. Do LLMs conform to the rational expectations paradigm, do they exhibit human-like "animal…

This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is modeled by Cox processes, with intensities depending on the…

Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and waiting times between events are often random. Many of the…