Automated market making and loss-versus-rebalancing
We consider the market microstructure of constant function market makers (CFMMs) from the
perspective of passive liquidity providers (LPs). In a Black-Scholes setting, we compare the …
perspective of passive liquidity providers (LPs). In a Black-Scholes setting, we compare the …
[HTML][HTML] Technology and automation in financial trading: a bibliometric review
In this bibliometric study, the significant transformations in the financial sector brought about
by automation and technological advancements from 1984 to 2022 are explored. A total of …
by automation and technological advancements from 1984 to 2022 are explored. A total of …
Identifying Bulls and bears? A bibliometric review of applying artificial intelligence innovations for stock market prediction
The literature on stock forecasting using the innovative technique of Artificial Intelligence (AI)
has become overwhelming, making it quite challenging for academics and relevant …
has become overwhelming, making it quite challenging for academics and relevant …
The need for fees at a dex: How increases in fees can increase dex trading volume
We demonstrate that increasing trading fees at a decentralized exchange (DEX) can
increase DEX trading volume. This result arises due to the fact that higher DEX fees can …
increase DEX trading volume. This result arises due to the fact that higher DEX fees can …
Price discovery on decentralized exchanges
Decentralized exchanges (DEXs) allow traders to express their willingness to pay for quick
execution through a public priority fee bidding mechanism. This influences the trading …
execution through a public priority fee bidding mechanism. This influences the trading …
Quantifying loss in automated market makers
We consider the market microstructure of automated market making and, specifically,
constant function market makers (CFMMs), from the economic perspective of passive …
constant function market makers (CFMMs), from the economic perspective of passive …
Statistical predictions of trading strategies in electronic markets
We build statistical models to describe how market participants choose the direction, price,
and volume of orders. Our dataset, which spans 16 weeks for four shares traded in Euronext …
and volume of orders. Our dataset, which spans 16 weeks for four shares traded in Euronext …
LightTrader: A standalone high-frequency trading system with deep learning inference accelerators and proactive scheduler
Recent research shows that artificial intelligence (AI) algorithms can dramatically improve
the profitability of high-frequency trading (HFT) with accurate market prediction, overcoming …
the profitability of high-frequency trading (HFT) with accurate market prediction, overcoming …
A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?
Will stock exchanges innovate to address latency arbitrage and the arms race for speed?
This paper models how exchanges compete in the modern electronic era and how this …
This paper models how exchanges compete in the modern electronic era and how this …
Competition among high-frequency traders and market quality
J Breckenfelder - Journal of Economic Dynamics and Control, 2024 - Elsevier
I study how competition among high-frequency traders (HFTs) affects their trading behavior
and market quality. The analysis exploits a unique dataset, which allows comparing …
and market quality. The analysis exploits a unique dataset, which allows comparing …