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Quant Papers (Market MicroStructure, Algo Trading and HFT)

This is a paper collection that curates the latest academic papers and research on market microstructure, algorithmic trading strategies, and high-frequency trading (HFT). AI is used to facilitate the curation process, ensuring that the most relevant and

Newsletter · By Charles X · Official site

Indexed issues, last 90 days
4
Latest publication
Jul 22, 2026
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Jul 5, 2026
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Latest issues

  1. Issue · Jul 22, 2026

    Continuous Trading versus Batch Auctions: A Quantity-Surplus Tradeoff (opens the original)

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    Paper MetadataAuthors: Michael Crystal, Scott Duke KominersDate: June 2026; posted July 18, 2026Links: https://ssrn.com/abstract=7010099Keywords: continuous double auction, batch auction, price improvementAbstractWe compare continuous double auctions and periodic uniform-price batch auctions on a fixed exogenous order path. The two mechanisms optimize different objectives ev

  2. Issue · Jul 13, 2026

    Lendable Inventory Concentration, Borrow Fragility, and Equity Pricing Anomalies (opens the original)

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    Paper MetadataAuthors: Pan Yiming (Vienna Graduate School of Finance)Date: June 9, 2026; posted July 3, 2026; revised July 6, 2026Links: https://ssrn.com/abstract=6908098Keywords: Lendable Inventory Concentration, Short-selling Risk, Limits to Arbitrage, Equity Anomalies, Borrow FragilityAbstractBorrowing fees measure the spot price of borrowing shares, but short arbitrage r

  3. Issue · Jul 10, 2026

    Crumbs on the Tape: Examining Fractional Trading (opens the original)

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    Paper MetadataAuthors: Robert A. Van Ness, Michael CocciaDate: June 1, 2026; posted July 6, 2026Links: https://papers.ssrn.com/abstract=6916358Keywords: Fractional Trades, Retail Trades, Consolidated TapeAbstractWe use the February 2026 FINRA reporting change that requires fractional-share trades in U.S. equities to print to the consolidated tape at their native, non-

  4. Issue · Jul 5, 2026

    Market Frictions and Arbitrage Opportunities (opens the original)

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    Paper MetadataAuthors: Charles-Thierry Lacaussade (Paris-Panthéon-Assas), Jean-Philippe Lefort (Paris-Dauphine, PSL)Date: June 16, 2026Links: https://ssrn.com/abstract=7049103Keywords: Put-Call Parity, Market frictions, Fundamental Theorem of Finance, No-arbitrage, Choquet pricing, Monotonicity, Multiple Priors, SublinearityAbstractDrawing on both theoretical and empiri

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