Cover Image

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Rola, Przemysław
Format:	Preprint
Published:	2025
Subjects:	Trading and Market Microstructure
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Price Discovery in Cryptocurrency Markets
by: Pascual, Juan Plazuelo, et al.
Published: (2025)

Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity
by: Bergault, Philippe, et al.
Published: (2024)

Quantifying Price Improvement in Order Flow Auctions
by: Bachu, Brad, et al.
Published: (2024)

Liquidity Dynamics in RFQ Markets and Impact on Pricing
by: Bergault, Philippe, et al.
Published: (2023)

Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs
by: Anthropelos, Michail, et al.
Published: (2024)

Interpretable ML for High-Frequency Execution
by: Fabre, Timothée, et al.
Published: (2023)

Forecasting High Frequency Order Flow Imbalance
by: Anantha, Aditya Nittur, et al.
Published: (2024)

Pricing and Hedging Financial Derivatives in Merger\&Acquisition Deals with Price Impact
by: Barucci, Emilio, et al.
Published: (2026)

Dynamic Pricing in Securities Lending Market: Application in Revenue Optimization for an Agent Lender Portfolio
by: Xu, Jing, et al.
Published: (2024)

Automated Market Makers: Toward More Profitable Liquidity Provisioning Strategies
by: Drossos, Thanos, et al.
Published: (2025)

High-Frequency Trading Liquidity Analysis | Application of Machine Learning Classification
by: Bhatia, Sid, et al.
Published: (2024)

Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders
by: Xu, Ziyi, et al.
Published: (2024)

Market Inefficiency in Cryptoasset Markets
by: Hasbrouck, Joel, et al.
Published: (2026)

FinBERT-BiLSTM: A Deep Learning Model for Predicting Volatile Cryptocurrency Market Prices Using Market Sentiment Dynamics
by: Hossain, Mabsur Fatin Bin, et al.
Published: (2024)

The Impact of Designated Market Makers on Market Liquidity and Competition: A Simulation Approach
by: Zhou, Cong
Published: (2024)

Loss-Versus-Fair: Efficiency of Dutch Auctions on Blockchains
by: Moallemi, Ciamac C., et al.
Published: (2024)

Concentrated Superelliptical Market Maker
by: Tolstikov, Vasily
Published: (2024)

Optimal Execution and Macroscopic Market Making
by: Guo, Ivan, et al.
Published: (2025)

Arbitrage Analysis in Polymarket NBA Markets
by: Cheng, Guang, et al.
Published: (2026)

Automated Market Making and Decentralized Finance
by: Monga, Marcello
Published: (2024)

Optimal Quoting under Adverse Selection and Price Reading
by: Barzykin, Alexander, et al.
Published: (2025)

Bootstrapping Liquidity in BTC-Denominated Prediction Markets
by: Shabashev, Fedor
Published: (2025)

Bellwether Trades: Characteristics of Trades influential in Predicting Future Price Movements in Markets
by: Ramdas, Tejas, et al.
Published: (2024)

Strategic Learning and Trading in Broker-Mediated Markets
by: Aqsha, Alif, et al.
Published: (2024)

Option Market Making via Reinforcement Learning
by: Fang, Zhou, et al.
Published: (2023)

Option Pricing on Automated Market Maker Tokens
by: Maymin, Philip Z.
Published: (2026)

Agent-based Liquidity Risk Modelling for Financial Markets
by: Vytelingum, Perukrishnen, et al.
Published: (2025)

Agent-Based Simulation of a Perpetual Futures Market
by: Rao, Ramshreyas
Published: (2025)

On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges
by: Barbon, Andrea, et al.
Published: (2021)

Optimal Trading in Automated Market Makers with Deep Learning
by: Jaimungal, Sebastian, et al.
Published: (2023)

Electricity Spot Prices Forecasting Using Stochastic Volatility Models
by: Batyrov, Andrei Renatovich
Published: (2024)

Microstructure and Manipulation: Quantifying Pump-and-Dump Dynamics in Cryptocurrency Markets
by: Karbalaii, Mahya
Published: (2025)

Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos
by: Chávez-Casillas, Jonathan, et al.
Published: (2024)

Dynamic Grid Trading Strategy: From Zero Expectation to Market Outperformance
by: Chen, Kai-Yuan, et al.
Published: (2025)

Sentiment Feedback in Equity Markets: Asymmetries, Retail Heterogeneity, and Structural Calibration
by: Sneller, Lucas Marques
Published: (2025)

Trading Electrons: Predicting DART Spread Spikes in ISO Electricity Markets
by: Hubert, Emma, et al.
Published: (2026)

Improving Capital Efficiency and Impermanent Loss: Multi-Token Proactive Market Maker
by: Chen, Wayne, et al.
Published: (2023)

Riding Wavelets: A Method to Discover New Classes of Price Jumps
by: Aubrun, Cecilia, et al.
Published: (2024)

LLM Agents Do Not Replicate Human Market Traders: Evidence From Experimental Finance
by: Henning, Thomas, et al.
Published: (2025)

Which Voices Move Markets? Speaker Identity and the Cross-Section of Post-Earnings Returns
by: Sidhu, Karmanpartap Singh, et al.
Published: (2026)