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[1] Learning in the Dark: Execution Strategies in Dark Pools under Reinforcement Learning
黑暗中的学习：强化学习下黑暗池中的执行策略
来源:市场微观结构_20251016
[2] Market Concentration, Trading Inertia, and Financial Anomalies
市场集中度、交易惯性和金融异常
来源:市场微观结构_20251016
[3] A Hamiltonian Phase-Space Approach to Foreign Exchange: Physics-Based Predictive Distributions without Curve Fitting
外汇的哈密顿相空间方法：基于物理的无曲线拟合预测分布
来源:市场微观结构_20251016
[4] Micro M&A in Greece: Insights and Investment Opportunities in the Business-for-Sale Market
希腊的微型并购：企业销售市场的洞察和投资机会
来源:市场微观结构_20251016
[5] A Multi-objective Ensemble Framework for Stock Prediction and Portfolio Optimization
股票预测与投资组合优化的多目标集成框架
来源:市场微观结构_20251017
[6] Market Structure, Trading Frictions, and the Profitability of Market Making in Index Options
指数期权的市场结构、交易摩擦与做市盈利能力
来源:市场微观结构_20251017
[7] Total Execution Return (TER): Elevating Execution to a Portfolio-Level Performance Metric
总执行回报（TER）：将执行提升到投资组合级别的绩效指标
来源:市场微观结构_20251017
[8] Algorithms Leave but Insiders Arrive: Evidence from the Tick Size Pilot
算法离开，但内部人员到达：来自Tick Size试点的证据
来源:市场微观结构_20251017
[9] Untangling Illiquidity: Optimal Asset Allocation with Private Asset Classes
解决流动性不足：私人资产类别的最优资产配置
来源:市场微观结构_20251017
[10] Information environment and investors’ expectations: The role of managers and information intermediaries
信息环境与投资者期望：管理者和信息中介的作用
来源:市场微观结构_20251020
[11] The Covenant Liquidity Index: A Framework for Rating Private Credit Liquidity and Secondary Market Discounts
契约流动性指数：私人信贷流动性和二级市场贴现评级框架
来源:市场微观结构_20251020
[12] Investor Behavior in the Pre-Opening: The Role of Price Impact and Strategic Interaction
开盘前投资者行为：价格影响和战略互动的作用
来源:市场微观结构_20251020
[13] Cryptocurrency Regulation as a Strategic Game: Modeling Market Reactions and Capital Flight
加密货币监管作为一种战略游戏：模拟市场反应和资本外逃
来源:-
[1] Learning in the Dark: Execution Strategies in Dark Pools under Reinforcement Learning
标题:黑暗中的学习：强化学习下黑暗池中的执行策略
作者:Alejandro Bernales,Daniel Ladley,Evangelos Litos,Marcela Valenzuela
来源:市场微观结构_20251016
Abstract : We study the impact of size-based execution priority in dark pools on liquidity, welfare, and adverse selection. Using a dynamic equilibrium model with a dark pool and a lit (traditional) exchange, solved via reinforcement learning, we analyze how execution priority rules shape traders’ strategies and market outcomes. We find that size priority enhances welfare and liquidity while reducing adverse selection for......(摘要翻译及全文见知识星球)
Keywords : Dark Pools, Execution Priority Rules, Adverse Selection, Liquidity and Welfare, Reinforcement Learning.
[2] Market Concentration, Trading Inertia, and Financial Anomalies
标题:市场集中度、交易惯性和金融异常
作者:Yanjie Wang,Yanyi Wang,Shunming Zhang
来源:市场微观结构_20251016
Abstract : We examine how increasing market concentration, driven by dominant institutional investors, affects investor behavior and price dynamics. We develop a two-period non-competitive model in which large investors with market power trade strategically against small price-takers. Large investors' market power induces trading inertia, as they adjust their portfolios only partially due to price impact. Greater concentration amplifies this inertia. Under symmetric information,......(摘要翻译及全文见知识星球)
Keywords : market concentration, price impact, trading inertia, price dynamics, market efficiency
[3] A Hamiltonian Phase-Space Approach to Foreign Exchange: Physics-Based Predictive Distributions without Curve Fitting
标题:外汇的哈密顿相空间方法：基于物理的无曲线拟合预测分布
作者:Rachael Bond
来源:市场微观结构_20251016
Abstract : We introduce a novel Hamiltonian framework for short-horizon foreign exchange (FX) dynamics that treats statistical moments as position coordinates in a low-dimensional phase space. The system evolves via physically motivated energy terms rather than curve fitting: potential energy encodes mean-reversion through Ornstein-Uhlenbeck (OU) springs with optional cross-couplings, while triangular no-arbitrage constraints act as energy conservation laws. After standardizing to empirical-σ units,......(摘要翻译及全文见知识星球)
Keywords : Hamiltonian Dynamics, Foreign Exchange, Ornstein–Uhlenbeck, Riemannian Manifold HMC, Generalized Hyperbolic Distributions, No-arbitrage Constraints, Standardized Coordinates, Cost-aware Trading
[4] Micro M&A in Greece: Insights and Investment Opportunities in the Business-for-Sale Market
标题:希腊的微型并购：企业销售市场的洞察和投资机会
作者:Panagiotis Moutsiopoulos
来源:市场微观结构_20251016
Abstract : This study presents a comprehensive analysis of the Greek businesses-for-sale market, based on all 517 active listings collected from Χρυσή Ευκαιρία (pronounced “Chrysi Efkairia”), a leading online platform for business transfers in Greece, as of September 2025. We examine market structure across sectors, geographic regions, business age, and exit motivations, and analyze pricing dynamics to identify patterns of value concentration and......(摘要翻译及全文见知识星球)
Keywords : Greek Business Market, Business-For-Sale, Market Concentration, Business Valuation, Seller Motivations, Investment Opportunities, Regional Disparities, Pricing Dynamics, Business Age, Online Marketplace
[5] A Multi-objective Ensemble Framework for Stock Prediction and Portfolio Optimization
标题:股票预测与投资组合优化的多目标集成框架
作者:Pei Du,Liang Ye
来源:市场微观结构_20251017
Abstract : Accurate stock price prediction for effective portfolio management is a significant challenge due to market non-linearity and uncertainty. While deep learning (DL) models are widely used, they often lack robustness as single predictors, and their focus on point forecasts fails to quantify the uncertainty required for risk management. To address these limitations, this study proposes a Multi-objective Ensemble Prediction-Portfolio Optimization (MEPPO)......(摘要翻译及全文见知识星球)
Keywords : Stock price forecasting, Deep Learning, Non-dominated sorting genetic algorithm II, Markowitz portfolio
[6] Market Structure, Trading Frictions, and the Profitability of Market Making in Index Options
标题:指数期权的市场结构、交易摩擦与做市盈利能力
作者:Michal Czerwonko,Stylianos Perrakis,Lorne Switzer
来源:市场微观结构_20251017
Abstract : We survey the literature on the intermediate market on index options, where the bid and ask prices are formed. We note that without any exception the relevant studies have not considered the actual structure of the market, which is an oligopoly of licensed market makers (MM). We focus on post-2011 SPX and SPXW options, for which there is more detailed daily......(摘要翻译及全文见知识星球)
Keywords : JEL Classification: G10, G13, G14 Option Pricing, Market Frictions, Market Structure, Market Maker Profitability
[7] Total Execution Return (TER): Elevating Execution to a Portfolio-Level Performance Metric
标题:总执行回报（TER）：将执行提升到投资组合级别的绩效指标
作者:Charles Maina
来源:市场微观结构_20251017
Abstract : This paper introduces Total Execution Return (TER) as a new performance metric designed to complement Total Return (TR) by explicitly incorporating implicit execution costs. While TR reports what a portfolio should have earned, TER measures what investors actually retain once frictions, such as bid–ask spreads, slippage, market impact, and delay, are accounted for.To extend this framework, two complementary measures are also......(摘要翻译及全文见知识星球)
Keywords :
[8] Algorithms Leave but Insiders Arrive: Evidence from the Tick Size Pilot
标题:算法离开，但内部人员到达：来自Tick Size试点的证据
作者:Chen Lin
来源:市场微观结构_20251017
Abstract : Could advances in algorithmic trading counterbalance insider information advantage? I test this prediction by exploiting the U.S. SEC Tick Size Pilot Program, where temporarily coarser tick sizes reduced algorithm effectiveness. I find that insider purchases increased by approximately 30% during the program but returned to pre-pilot levels upon its conclusion. These effects are concurrently observed with informed outsider trading moving in......(摘要翻译及全文见知识星球)
Keywords : Algorithmic Trading, Insider Trading, Tick Size Pilot
[9] Untangling Illiquidity: Optimal Asset Allocation with Private Asset Classes
标题:解决流动性不足：私人资产类别的最优资产配置
作者:Daniel Dimitrov
来源:市场微观结构_20251017
Abstract : Strategic Asset Allocation in practice relies almost exclusively on mean – variance optimizations. This paper develops a dynamic portfolio choice model that embeds stochastic liquidity constraints into the SAA process. I show that ignoring asset illiquidity risk leads to systematic overallocation to private asset classes and exposes investors to severe consumption risk when liquidity shocks occur. Gains from investing in private......(摘要翻译及全文见知识星球)
Keywords : asset allocation, (il)liquidity, private assets, model misspecification
[10] Information environment and investors’ expectations: The role of managers and information intermediaries
标题:信息环境与投资者期望：管理者和信息中介的作用
作者:Toshio Moriwaki
来源:市场微观结构_20251020
Abstract : How does the information environment influence investors’ expectations? To address this issue, I present an empirical prediction on how investors perceive risks associated with placing limit orders at or near the best quotes and analyze investors’ order submissions and cancellations in the pre-earnings announcement period, focusing on the annual earnings announcements by the TSE listed firms in 2018. The findings of......(摘要翻译及全文见知识星球)
Keywords : Investors' Expectations, management earnings forecasts, analyst long-term earnings forecasts, earnings-related articles, limit order submission risks
[11] The Covenant Liquidity Index: A Framework for Rating Private Credit Liquidity and Secondary Market Discounts
标题:契约流动性指数：私人信贷流动性和二级市场贴现评级框架
作者:Elham Saeidinezhad
来源:市场微观结构_20251020
Abstract : This paper introduces the Covenant Liquidity Index (CLI), a quantitative framework for rating contractual liquidity in private credit and linking it to secondary-market discounting. Building on the theoretical foundation established in The Covenant Structure of Private Credit Yield (Saeidinezhad, 2025), the paper moves from theory to measurement. It argues that liquidity in private markets is not discovered through trading but engineered through covenant design—by defining when, how,......(摘要翻译及全文见知识星球)
Keywords : Covenant Liquidity Index, Contractual Liquidity, Commitment Pacing, Private Credit, Secondary Markets
[12] Investor Behavior in the Pre-Opening: The Role of Price Impact and Strategic Interaction
标题:开盘前投资者行为：价格影响和战略互动的作用
作者:Giuliano Curatola
来源:市场微观结构_20251020
Abstract : This paper proposes a framework for analyzing the portfolio strategies of investors who participate in the pre-opening and regular market sessions. Investors act strategically, recognizing that their pre-opening orders influence the asset's opening price. I examine the roles of key factors, such as the characteristics of price impact, number of market participants, investor heterogeneity, risk aversion, and the presence of retail......(摘要翻译及全文见知识星球)
Keywords : Portfolio Choice, Pre-Opening Session, Price Impact, Strategic Interaction
[13] Cryptocurrency Regulation as a Strategic Game: Modeling Market Reactions and Capital Flight
标题:加密货币监管作为一种战略游戏：模拟市场反应和资本外逃
作者:Hrishikesh Desai
来源:-
Abstract : This study develops a differential game-theoretic framework to analyze cryptocurrency regulation and capture the strategic interplay between regulators and market participants. Recognizing that traditional regulatory measures often treat interventions as exogenous shocks, my model integrates market stability and capital flight as dynamic state variables influenced by regulatory intensity and liquidity migration. Using stochastic differential equations and Monte Carlo simulations, the framework......(摘要翻译及全文见知识星球)
Keywords : Cryptocurrency Regulation, Market Stability, Capital Flight, Stochastic Modeling, Regulatory Policy Optimization, Liquidity Migration