![量化前沿速递：市场微观结构[20251015]](https://cdn.10100.com/user/115aa16efe09493b8553a5961c2bcdcb.png?x-oss-process=style/180x)
机器翻译，仅供参考！可使用微信自带翻译功能自行翻译
更多文献获取请关注公众号：量化前沿速递
文献汇总
[1] A Behavioral Asset Pricing Framework for Forecast-Driven Asymmetry in Retail-Dominated Markets
零售主导市场中预测驱动不对称的行为资产定价框架
来源:市场微观结构_20251009
[2] Heterogeneous Return Predictability from Order Flow
订单流中的异质回报可预测性
来源:市场微观结构_20251009
[3] Does managerial tone matter for stock liquidity? Evidence from textual disclosures
管理基调对股票流动性重要吗？文本披露的证据
来源:市场微观结构_20251009
[4] Central Bank Digital Currencies and Private Tokenized Finance: Coexistence
中央银行数字货币与私人代币化金融：共存
来源:市场微观结构_20251009
[5] Stochastic thermodynamics of financial markets II: temperature.
金融市场的随机热力学II：温度。
来源:市场微观结构_20251009
[6] High-Frequency Forecasting of Japanese Blue-Chip Equities Using a Stacked Ensemble
基于叠加集合的日本蓝筹股高频预测
来源:市场微观结构_20251013
[7] Integrating Multi-Agent Scheduling into Portfolio Allocation and Rebalancing: A Gamified Execution-Aware Framework
将多代理调度集成到投资组合分配和再平衡中：一个游戏化的执行感知框架
来源:市场微观结构_20251013
[8] Collateral Caps and Market Equilibria under Adverse Selection
逆向选择下的抵押品上限与市场均衡
来源:市场微观结构_20251013
[9] Optimal Tax-Timing Strategy in the Presence of Transaction Costs
存在交易成本的最优税收时机策略
来源:市场微观结构_20251013
[10] Common Errors in Equity Valuation: The Misuse of Multiples as a Proxy for Discounted Cash Flow Analysis
股权估值中的常见错误：滥用倍数作为折现现金流分析的代理
来源:市场微观结构_20251013
[11] Loan Market Informativeness and Financing Cost
贷款市场信息性与融资成本
来源:市场微观结构_20251014
[12] News Sentiment and Overnight Return Prediction: Aid or Redundancy? Evidence from a Large Language Model
新闻情绪和隔夜回报预测：援助还是裁员？来自大型语言模型的证据
来源:市场微观结构_20251014
[13] Portfolio Insights from a Contribution Analysis of the Diversification Ratio
从多元化比率的贡献分析看投资组合
来源:市场微观结构_20251014
[14] Information Acquisition in Financial Markets: When Liquidity Demand Matters
金融市场中的信息获取：当流动性需求很重要时
来源:市场微观结构_20251015
[15] Rise of Meme Stocks: How Gen Z Investors Influence Market Volatility
Meme股票的上涨：Z世代投资者如何影响市场波动
来源:市场微观结构_20251015
[1] A Behavioral Asset Pricing Framework for Forecast-Driven Asymmetry in Retail-Dominated Markets
标题:零售主导市场中预测驱动不对称的行为资产定价框架
作者:Sayed Akif Hussain,Chen Qiu-shi,Syed Amer Hussain,Syed Atif Hussain,Faiza Saleem,Asma Komal
来源:市场微观结构_20251009
Abstract : This study develops a generalized behavioral asset pricing model that formally derives, through analytical proof, the mechanisms by which sentiment-driven investors generate asymmetric price responses to information. Grounded in prospect theory, the model integrates loss aversion, asymmetric attention to negative signals, and heterogeneous information processing into a unified analytical framework. Its central theoretical result, stated in Proposition 1, is the derivation......(摘要翻译及全文见知识星球)
Keywords : Behavioral finance, prospect theory, asset pricing, market asymmetry, retail investors
[2] Heterogeneous Return Predictability from Order Flow
标题:订单流中的异质回报可预测性
作者:Meichen Qian
来源:市场微观结构_20251009
Abstract : This study investigates how information and inventory effect jointly determine return predictability from retail and total order flow. I build a model that combines the asymmetric information impact of investors with the inventory effect of market makers to analyze how lagged order flow can forecast future returns. The model illustrates that the difference in predictive power between retail and total order......(摘要翻译及全文见知识星球)
Keywords : Asset pricing, market microstructure, return predictability, retail investors
[3] Does managerial tone matter for stock liquidity? Evidence from textual disclosures
标题:管理基调对股票流动性重要吗？文本披露的证据
作者:Mieszko Mazur,Man Dang,Premkanth Puwanenthiren,Manh Toan Nguyen,Anh Hoang,Darren Henry
来源:市场微观结构_20251009
Abstract : This study investigates the effect of managerial tone on stock liquidity using a sample of U.S.listed firms over the 1994-2019 period. We find that firms with SEC filings exhibiting more positive managerial tone, experience higher stock liquidity. Our findings remain unchanged after controlling for firm fixed effects, investor sentiment, firm size differences, as well as using alternative variable approaches. Further, we......(摘要翻译及全文见知识星球)
Keywords : Stock liquidity, Management tone, Textual analysis, Policy uncertainty
[4] Central Bank Digital Currencies and Private Tokenized Finance: Coexistence
标题:中央银行数字货币与私人代币化金融：共存
作者:Anthony Chidi Nzomiwu,Ekene Ezinwa Nwankwo,Scholastica Uzondu,Franca Okoye
来源:市场微观结构_20251009
Abstract : The rapid proliferation of privately issued tokenized assets and decentralized finance (DeFi) protocols is occurring in parallel with global central bank efforts to design and deploy central bank digital currencies (CBDCs). This dual evolution presents a critical juncture for the future of money: Will public digital currencies coexist with and enhance private tokenized finance, or will structural incompatibilities lead to market......(摘要翻译及全文见知识星球)
Keywords : Coexistence, Competition, or Collision? Central bank digital currency, tokenized finance, DeFi, monetary sovereignty, programmable money, financial infrastructure, interoperability, monetary policy, digital euro, stablecoins 1. Introduction
[5] Stochastic thermodynamics of financial markets II: temperature.
标题:金融市场的随机热力学II：温度。
作者:Galin Georgiev
来源:市场微观结构_20251009
Abstract : How much is priced-in a market and how much is not? Surprisingly, the stochastic thermodynamics of markets has some answers. One answer is the total entropy change. Another answer is the difference of the temperature of the market itself and the temperature of its environment (medium). We quantify those temperatures using stochastic thermodynamics (for entropy change) and the Hamiltonian formalism of......(摘要翻译及全文见知识星球)
Keywords : stochastic thermodynamics, market entropy, market temperature, market energy, market Hamiltonian formalism
[6] High-Frequency Forecasting of Japanese Blue-Chip Equities Using a Stacked Ensemble
标题:基于叠加集合的日本蓝筹股高频预测
作者:Md Al Masum Bhuiyan,Yakub Babatunde,Constanza Zurita Valdebenito
来源:市场微观结构_20251013
Abstract : Japan’s equity markets are affected by long-standing challenges from the “lost 30 years,” such as wide gaps between buying and selling prices and uneven trading activity that make price discovery less efficient. In this paper, we build a short-interval forecasting framework for seven large Japanese stocks (Toyota, Sony, Keyence, NTT, Nintendo, Takeda, Tokyo Electron) using one minute OHLCV data from the......(摘要翻译及全文见知识星球)
Keywords : High-frequency forecasting, stacking ensemble, Japanese equity markets, Tokyo Stock Exchange, market microstructure, intraday OHLCV data, blue-chip equities
[7] Integrating Multi-Agent Scheduling into Portfolio Allocation and Rebalancing: A Gamified Execution-Aware Framework
标题:将多代理调度集成到投资组合分配和再平衡中：一个游戏化的执行感知框架
作者:Charles Maina
来源:市场微观结构_20251013
Abstract : This paper introduces a novel framework that applies multi-agent scheduling concepts, traditionally used in robotics and logistics, to the challenge of portfolio allocation and rebalancing. From Markowitz’s mean–variance optimization to Black–Litterman, conventional portfolio theory largely treats rebalancing as a static optimization exercise. In practice, however, execution costs often arise from sequencing, liquidity, and trade interactions. Drawing on Multi-Agent......(摘要翻译及全文见知识星球)
Keywords :
[8] Collateral Caps and Market Equilibria under Adverse Selection
标题:逆向选择下的抵押品上限与市场均衡
作者:Alexander Alegría Castellanos,Manuel Willington
来源:市场微观结构_20251013
Abstract : We study a competitive credit market with adverse selection, capacity-constrained banks, and an exogenous cap on pledgeable collateral. In a Bester–Rothschild–Stiglitz environment, a binding collateral cap blocks the classic Rothschild–Stiglitz zero-profit separating equilibrium. We characterise a continuum of separating equilibria in which risky borrowers post zero collateral, safe borrowers pledge the maximum allowed collateral, and interest rates vary within a bounded......(摘要翻译及全文见知识星球)
Keywords : Adverse selection, collateral constraints, credit markets, capacity constraints. JEL Codes: D82, D86, G21, G28
[9] Optimal Tax-Timing Strategy in the Presence of Transaction Costs
标题:存在交易成本的最优税收时机策略
作者:Min Dai,Yaoting Lei,Hong Liu
来源:市场微观结构_20251013
Abstract : Although prevalent in the financial markets, transaction costs have been largely ignored in the existing literature on the impact of capital gains tax. We develop a dynamic portfolio model that incorporates both transaction costs and annually payable capital gains taxes. We theoretically characterize and numerically compute the optimal tax-timing strategy. We show that our model can help explain the puzzle that......(摘要翻译及全文见知识星球)
Keywords : portfolio choice, capital gains tax, transaction costs, year-end tax
[10] Common Errors in Equity Valuation: The Misuse of Multiples as a Proxy for Discounted Cash Flow Analysis
标题:股权估值中的常见错误：滥用倍数作为折现现金流分析的代理
作者:Gregory Blotnick
来源:市场微观结构_20251013
Abstract : Equity valuation is a fundamental aspect of investment decision-making, yet many investors fall into the trap of using short-term multiples, such as price-to-earnings (P/E) or price-to-sales (P/S) ratios, as a proxy for comprehensive discounted cash flow (DCF) analysis. This paper explores the limitations of multiples-based valuation, particularly for growth-oriented firms with significant future cash flows, and we illustrate how reliance on......(摘要翻译及全文见知识星球)
Keywords : Equity Valuation, Discounted Cash Flow, Multiples, Fundamental Analysis, Investment Decision-Making
[11] Loan Market Informativeness and Financing Cost
标题:贷款市场信息性与融资成本
作者:Yifan Ji,Donghang Zhang,Yafei Zhang
来源:市场微观结构_20251014
Abstract : The development of financial markets is important for a firm to raise capital. One key ingredient for a more beneficial environment is "free" information. Using the leveraged loan market setting, this paper shows that the development of the secondary market of a firm's existing loans can help to produce more free information on the firm and consequently lower the firms' borrowing......(摘要翻译及全文见知识星球)
Keywords :
[12] News Sentiment and Overnight Return Prediction: Aid or Redundancy? Evidence from a Large Language Model
标题:新闻情绪和隔夜回报预测：援助还是裁员？来自大型语言模型的证据
作者:Junhui Huang,Jianbin Wu
来源:市场微观结构_20251014
Abstract : We investigate whether overnight news sentiment adds predictive value for overnight returns. We focus on the CSI300 Index, whose ETFs are widely held by Chinese retail investors. Sentiment indicators are constructed from minute-level overnight news using a fine-tuned RoBERTa model. These indicators are combined with market-based variables to predict overnight returns via regression and machine learning. Results show that while the......(摘要翻译及全文见知识星球)
Keywords : Overnight returns, News sentiment, Large language model, A50 futures
[13] Portfolio Insights from a Contribution Analysis of the Diversification Ratio
标题:从多元化比率的贡献分析看投资组合
作者:Andreas Steiner
来源:市场微观结构_20251014
Abstract : The first derivative of the diversification ratio provides a precise measure of how each asset affects portfolio diversification. By exploiting the degree-0 homogeneity property of the diversification ratio, we develop an additive decomposition that attributes diversification contributions to individual positions. This framework offers portfolio managers actionable insights: assets with positive contributions are true diversifiers, while those with negative contributions represent concentration......(摘要翻译及全文见知识星球)
Keywords : diversification, investment portfolio analysis, investment management, investment risk, portfolio construnction, contribution analysis, attribution analysis, portfolio analytics, diversification ratio, volatility
[14] Information Acquisition in Financial Markets: When Liquidity Demand Matters
标题:金融市场中的信息获取：当流动性需求很重要时
作者:Yong Ma,Yiwei Yu
来源:市场微观结构_20251015
Abstract : This paper examines the effects of acquiring non-fundamental information, particularly information related to liquidity demand, on financial markets. Our findings indicate that when fundamental information is exogenous, learning about such non-fundamental information enhances market quality through a price feedback mechanism. Conversely, when fundamental information is endogenous, it typically reduces market quality through a crowding-out effect, decreases total trading volume, but improves......(摘要翻译及全文见知识星球)
Keywords : Non-fundamental Information, Information Acquisition, Market Quality, Strategic Trading
[15] Rise of Meme Stocks: How Gen Z Investors Influence Market Volatility
标题:Meme股票的上涨：Z世代投资者如何影响市场波动
作者:Nathan Huffman
来源:市场微观结构_20251015
Abstract : The 2021 surge of "meme stocks" such as GameStop and AMC show how social media platforms, particularly Reddit and Tiktok, could mobilize a new generation of investors and disrupt traditional market dynamics. This study explores the influence of Generation Z investors on meme stock volatility. It combines a case study of GameStop and AMC trading activity with a survey of high......(摘要翻译及全文见知识星球)
Keywords :