Cover Image

Interpretable Hypothesis-Driven Trading:A Rigorous Walk-Forward Validation Framework for Market Microstructure Signals

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Deep, Gagan, Deep, Akash, Lamptey, William
Format:	Preprint
Published:	2025
Subjects:	Trading and Market Microstructure Computational Finance Machine Learning 91G10, 62P05, 91G80
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

A theory of passive market impact
by: Chahdi, Youssef Ouazzani, et al.
Published: (2024)

The Support and Resistance Line Method: An Analysis via Optimal Stopping
by: Henderson, Vicky, et al.
Published: (2021)

Unwinding Stochastic Order Flow: When to Warehouse Trades
by: Nutz, Marcel, et al.
Published: (2023)

Optimal execution with deterministically time varying liquidity: well posedness and price manipulation
by: Palmari, Gianluca, et al.
Published: (2024)

Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
by: Chatziandreou, Konstantinos, et al.
Published: (2025)

High-Frequency Analysis of a Trading Game with Transient Price Impact
by: Nutz, Marcel, et al.
Published: (2025)

Liquidity provision of utility indifference type in decentralized exchanges
by: Fukasawa, Masaaki, et al.
Published: (2025)

A unified theory of order flow, market impact, and volatility
by: Muhle-Karbe, Johannes, et al.
Published: (2026)

The Omniscient, yet Lazy, Investor
by: Halkiewicz, Stanisław M. S.
Published: (2025)

How Wash Traders Exploit Market Conditions in Cryptocurrency Markets
by: Ng, Hunter
Published: (2024)

Push-response anomalies in high-frequency S&P 500 price series
by: Vlasiuk, Dmitrii, et al.
Published: (2025)

Dynamics of Periodic Bubbles and Crashes: Modeling Market Overheating and Panic Selling via Cubic Momentum
by: Yoshida, Naohiro
Published: (2026)

Growth rate of liquidity provider's wealth in G3Ms
by: Lee, Cheuk Yin, et al.
Published: (2024)

Dynamics of Liquidity Surfaces in Uniswap v3
by: Risk, Jimmy, et al.
Published: (2025)

Uncertain Regulations, Definite Impacts: The Impact of the US Securities and Exchange Commission's Regulatory Interventions on Crypto Assets
by: Saggu, Aman, et al.
Published: (2024)

Optimal Execution among $N$ Traders with Transient Price Impact
by: Campbell, Steven, et al.
Published: (2025)

Randomization in Optimal Execution Games
by: Campbell, Steven, et al.
Published: (2025)

An Infinite-Dimensional Insider Trading Game
by: Keller, Christian, et al.
Published: (2026)

Metaorder modelling and identification from public data
by: Goliath, Ezra, et al.
Published: (2026)

Explicit Signal-Adaptive Sequential Optimal Execution Quotes
by: Yu, Fenghui
Published: (2026)

Large Language Models and Stock Investing: Is the Human Factor Required?
by: Crisostomo, Ricardo, et al.
Published: (2026)

Non-unique time and market incompleteness
by: Angstmann, Chris, et al.
Published: (2026)

Optimal Liquidation with Signals: the General Propagator Case
by: Jaber, Eduardo Abi, et al.
Published: (2022)

Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency
by: Weinberger, Edward D.
Published: (2009)

Strategic Informed Trading and the Value of Private Information
by: Anthropelos, Michail, et al.
Published: (2024)

Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making
by: Feys, Frank M. V.
Published: (2026)

Anomalous diffusion and price impact in the fluid-limit of an order book
by: Diana, Derick, et al.
Published: (2023)

The Intraday Bitcoin Response to Tether Minting and Burning Events: Asymmetry, Investor Sentiment, And "Whale Alerts" On Twitter
by: Saggu, Aman
Published: (2025)

The Privacy Subsidy in Continuous-Time Kyle: Cumulative Welfare under Noise-Perturbed Order-Flow Observation
by: Nakamura, Yuki
Published: (2026)

The Privacy Subsidy: Kyle's $λ$ under Noise-Perturbed Order-Flow Observation
by: Nakamura, Yuki
Published: (2026)

The Privacy Subsidy in Glosten-Milgrom: Bid-Ask Spread and Welfare under Flip-Noise Direction Observation
by: Nakamura, Yuki
Published: (2026)

Time-Inhomogeneous Volatility Aversion for Financial Applications of Reinforcement Learning
by: Cacciamani, Federico, et al.
Published: (2026)

Unified Approach for Hedging Impermanent Loss of Liquidity Provision
by: Lipton, Alexander, et al.
Published: (2024)

Optimal Portfolio Choice with Cross-Impact Propagators
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Fredholm Approach to Nonlinear Propagator Models
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Extended State-dependent Hawkes Process for Limit Order Books: Mathematical Foundation and the Reproduction of Volatility Signature Plots
by: Kimura, Akitoshi
Published: (2026)

Realized Local Volatility Surface
by: Ma, Yuming, et al.
Published: (2025)

A multi-factor market-neutral investment strategy for New York Stock Exchange equities
by: Gkolemis, Georgios M., et al.
Published: (2024)

Utility-Weighted Forecasting and Calibration for Risk-Adjusted Decisions under Trading Frictions
by: Wright, Craig S
Published: (2026)

Ergodic optimal liquidations in DeFi
by: Cao, Jialun, et al.
Published: (2024)