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Results for “money markets” · papers 6 · wiki 3
Academic Papers · 6arXiv q-fin live 0 · desk corpus 6
arXiv · arXiv · 2026
This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (ML) approaches. We compare classical models (e.g., Dynamic Nelson-Siegel (DNS) and Principal Component Analysis (PCA)) with different Neural Network (NN) architectures, including those inspired by the classical models, on the U.S. Treasury …
Tobias Lausser, Joao Eduardo Vuolo, Rudi Zagst
arXiv · arXiv · 2026
Most of the autocorrelation in trade signs on decentralized exchanges comes from pairs of trades sent by different wallets. For Uniswap v3, this has been read as herding dominating order splitting -- the reverse of what equity markets show. We show that this herding share mixes two quantities: the probability $p$ that consecutive orders come from the same account, which is small when thousands of wallets are trading,…
Yichong Bai, Dingyue Kan
arXiv · arXiv · 2026
Automated markets increasingly route order flow from learning trading agents through automated market makers (AMMs). We model trader archetypes as AI agents defined by their reward functions and analyze the feedback they create on a constant-product AMM. Herd-dominated and arbitrage-dominated markets of equal size have identical return distributions and turnover, so no rule based on volatility, value-at-risk, stress …
Irene Aldridge
arXiv · arXiv · 2026
Conventional public order-book data summarize trading without identifying the accounts behind it. Hyperliquid's Level-4 record also exposes persistent pseudonymous wallet addresses. We reconstruct full-depth books from consensus-ordered messages and evaluate wallet identity as a feature for short-horizon return prediction. The July 1-27, 2026 record covers 17.1 billion messages, 14.3 million aggressive orders by 147,…
Jingqiu Ding, Daojing Zhai
arXiv · arXiv · 2026
We rebuild the public count of Brazil's 2026 presidential runoff minute by minute from the electoral court's section-level records and compare it with every trade on Kalshi and Polymarket. A projection published live on the night gave the eventual winner, Lula, a probability of 0.998 from 19:15, with 1.6% of sections counted. The markets reached 0.9 at 20:24, with 46% counted. Read as the projection's central estimat…
Raphael Coelho
arXiv · arXiv · 2017
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets, where there is an abundance of recorded information, this translates to the study of the dynamic relationships between observed variables, such as price, volume and spread, and hidden constituents, such as transaction co…
Ravi Kashyap
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