Cover Image

Metaorder modelling and identification from public data

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Goliath, Ezra, Gebbie, Tim
Format:	Preprint
Published:	2026
Subjects:	Trading and Market Microstructure Computational Engineering, Finance, and Science Statistical Finance Computation 91-04, 91G10, 91G80, 82C41, 91G60, 91B26 G.3
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

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

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

Interpretable Hypothesis-Driven Trading:A Rigorous Walk-Forward Validation Framework for Market Microstructure Signals
by: Deep, Gagan, et al.
Published: (2025)

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

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

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

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

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)

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

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

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

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

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

The Mean Field Market Model Revisited
by: Hasenbichler, Manuel, et al.
Published: (2023)

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)

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

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

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)

RL-Exec: Impact-Aware Reinforcement Learning for Opportunistic Optimal Liquidation, Outperforms TWAP and a Book-Liquidity VWAP on BTC-USD Replays
by: Duflot, Enzo, et al.
Published: (2025)

A Stochastic Thermodynamics Approach to Price Impact and Round-Trip Arbitrage: Theory and Empirical Implications
by: Jha, Amit Kumar
Published: (2025)

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

Many learning agents interacting with an agent-based market model
by: Dicks, Matthew, et al.
Published: (2023)

Anticipatory Gains and Event-Driven Losses in Blockchain-Based Fan Tokens: Evidence from the FIFA World Cup
by: Saggu, Aman, et al.
Published: (2024)

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

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

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

Reinforcement Learning for Speculative Trading under Exploratory Framework
by: Zhao, Yun, et al.
Published: (2026)

A New Approach for the Continuous Time Kyle-Back Strategic Insider Equilibrium Problem
by: Qiao, Bixing, et al.
Published: (2025)

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

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

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

Information Leakage at Population Scale: An Evaluation of the Polymarket Insider-Relevant Subpopulation, 2020-2026
by: Nechepurenko, Maksym
Published: (2026)

Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm
by: Hsieh, Chung-Han, et al.
Published: (2025)

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

Unsupervised Learning-based Calibration Scheme for Rough Volatility Models
by: Teng, Changqing, 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)