Algorithmic Trading, Forecasting, and Market Liquidity

Dear Colleagues,

Algorithmic trading is transforming market microstructure, price discovery, forecasting, and the provision of liquidity across equities, fixed income, FX, commodities, and digital assets. This Special Issue seeks theoretical, empirical, experimental, and policy contributions that clarify how algorithmic execution, market making, high-frequency strategies, and predictive modelling shape market quality—spreads, depth, resilience, volatility, and price impact—as well as signals and models for forecasting returns, volatility, order flow, and liquidity. We welcome work on optimal execution and inventory control; limit-order-book behaviour; queuing and adverse-selection risks; cross-venue liquidity fragmentation; dark pools and midpoint mechanisms; and the interaction between latency, colocation, and market design.

Methodologically, we encourage modern econometrics; AI/ML (e.g., deep learning on LOB states, representation learning, causal inference); point-process and Hawkes models of order flow; stochastic control and reinforcement learning for execution/market making; agent-based simulations; and rigorous back testing with transaction cost analysis—including models that forecast market impact and execution costs. We are also interested in crypto/DeFi microstructure (including stablecoin/liquidity spirals and oracle/MEV frictions) and regulatory/surveillance perspectives. Submissions with open data, code, or replication packages are encouraged, as are industry case studies and cross-asset comparisons that translate research into practical insights for forecasting-aware liquidity and risk management.

Dr. Raju Chinthalapati
Dr. Buhong Liu
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

• algorithmic trading
• market liquidity and resilience
• forecasting (returns, volatility, order flow, liquidity)
• predictive modelling and signal discovery
• limit order book (LOB) dynamics
• optimal execution and Transaction Cost Analysis (TCA)
• market impact and execution-cost forecasting
• algorithmic market making and inventory risk
• high-frequency trading (HFT)
• hawkes processes and point-process models
• reinforcement learning and stochastic control
• machine learning and deep learning in microstructure
• representation learning and causal inference
• liquidity fragmentation and dark pools
• latency, colocation and venue selection
• crypto/DeFi microstructure and automated market makers (AMMs)
• stablecoins, liquidity spirals and MEV/oracle risks
• market integrity, manipulation detection and surveillance