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Decentralised Finance and Automated Market Making

https://doi.org/10.2139/ssrn.4897143
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Vector error correction models to measure connectedness of Bitcoin exchange markets
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Deep learning with long short-term memory networks for financial market predictions
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Optimal trading strategy and supply/demand dynamics
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Optimal trade execution: A mean quadratic variation approach
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Stock Market Prediction Using LSTM Recurrent Neural Network
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Smooth solutions to portfolio liquidation problems under price-sensitive market impact
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Generalized impulse response analysis in linear multivariate models
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Optimal control of execution costs
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Reinforcement Learning for Algorithmic Trading
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Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
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Optimal Trade Execution Under Stochastic Volatility and Liquidity
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Enhancing trading strategies with order book signals
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Optimal Market Making under Partial Information with General Intensities
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Optimal Trading with Differing Trade Signals
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Closed-form Approximations in Multi-asset Market Making
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Double Deep Q-Learning for Optimal Execution
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Optimal Execution: A Review
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Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals
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High-frequency trading in a limit order book
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Optimal execution strategies in limit order books with general shape functions
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Optimal execution with limit and market orders
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Deep hedging
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Optimal trade execution for Gaussian signals with power-law resilience
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AT-LSTM: An Attention-based LSTM Model for Financial Time Series Prediction
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Blockchain-Based Settlement for Asset Trading
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Learning long-term dependencies with gradient descent is difficult
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Market Making With Signals Through Deep Reinforcement Learning
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A reinforcement learning extension to the Almgren-Chriss framework for optimal trade execution
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Stock market's price movement prediction with LSTM neural networks
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TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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The Dynamics of Dealer Markets Under Competition
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Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets
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Trading co‐integrated assets with price impact
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Size matters for OTC market makers: General results and dimensionality reduction techniques
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Algorithmic market making in dealer markets with hedging and market impact
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Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
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Optimal Trading with Stochastic Liquidity and Volatility
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Buy Low Sell High: A High Frequency Trading Perspective
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Optimal Execution with Dynamic Order Flow Imbalance
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Algorithmic Trading with Model Uncertainty
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Optimal Investment with Transient Price Impact
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The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
inferredcites →https://doi.org/10.1137/20m1376054openalex-snapshot
Optimal Market Making with Persistent Order Flow
inferredcites →https://doi.org/10.1137/21m1394473openalex-snapshot
Optimal Trading with Signals and Stochastic Price Impact
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Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics
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Double-Execution Strategies Using Path Signatures
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Blockchain And Distributed Ledgers: Mathematics, Technology, And Economics
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OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT
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MARKET MAKING WITH ALPHA SIGNALS
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LATENCY AND LIQUIDITY RISK
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Reinforcement learning for optimized trade execution
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Improved Price Oracles
inferredcites →https://doi.org/10.1145/3580507.3597688openalex-snapshot
Finding the Right Curve: Optimal Design of Constant Function Market Makers
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Mbt-gym: Reinforcement learning for model-based limit order book trading
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Long Short-Term Memory
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The Financial Mathematics of Market Liquidity
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Liquidity Provision with Adverse Selection and Inventory Costs
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Stochastic Liquidity as a Proxy for Nonlinear Price Impact
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Optimal execution of portfolio transactions
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Optimal Execution Strategies in Limit Order Books with General Shape Functions
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Improved Price Oracles: Constant Function Market Makers
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The Conceptual Flaws of Constant Product Automated Market Making
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Optimal Trading Strategy and Supply/Demand Dynamics
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Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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Continuous Auctions and Insider Trading
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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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Robust Market Making via Adversarial Reinforcement Learning
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Pricing and Hedging American-Style Options with Deep Learning
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Reinforcement Learning Approaches to Optimal Market Making
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Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals
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