3 papers in the archive (2026), average empirical rigor 8.3/10, average math complexity 5.2/10. Quadrant mix: Holy Grail ×1, Street Traders ×2.
Works mostly in High-Frequency Trading & Optimal Execution, Market Microstructure.
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
HFT systems are conventionally built as a single-threaded event loop, on the rule that every thread hop adds latency. We test that rule against a measurement study of more than a year of CME market data for the NQ front-month contract, following every packet and matching-engine transaction through t
The actor model - state isolation, data-race freedom, and sequential single-message reasoning - has long been dismissed as unsuitable for high-frequency trading (HFT): actors seem to imply many threads, a mailbox per actor, and a heap-allocated message plus a context switch per interaction, overhead
Automated execution algorithms are organized into schedule-based and liquidity-seeking families. This paper concerns the first, whose members – Time-Weighted Average Price (TWAP), Volume-Weighted Average Price (VWAP), Percentage of Volume (POV) and Implementation Shortfall – are all model-based: e