Results 271 to 280 of about 4,039 (303)
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Optimal Trading Stops and Algorithmic Trading
SSRN Electronic Journal, 2014Trading stops are often used by traders to risk manage their positions. In this note, we show how to derive optimal trading stops for generic algorithmic trading strategies when the P&L of the position is modelled by a Markov modulated diffusion. Optimal stop levels are derived by maximising the expected discounted utility of the P&L.
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Algorithmic Trading and Fragmentation
The Journal of Trading, 2017Prior studies on algorithmic trading (AT) have mostly focused on a single exchange. The authors use a public dataset provided by the Securities and Exchange Commission (SEC) covering all major U.S. exchanges to study the impact of AT and its fragmentation on market liquidity.
Archana Jain +2 more
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Algorithmic Trading in the Iowa Electronic Markets
SSRN Electronic Journal, 2010The Iowa Electronic Markets are small, real-money financial markets designed to aggregate information about future events. The market microstructure of these markets is studied and a market making model is developed to provide liquidity for one set of securities offered by this exchange.
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The Cost of Algorithmic Trading
The Journal of Trading, 2005The authors examine transaction costs associated with algorithmic trading, based on a sample of 2.5 million orders, of which one million are executed via algorithmic means. The data permit a comparison of algorithmic executions with a broader universe of trades, as well as across multiple providers of model-based trading services.
Ian Domowitz, Henry Yegerman
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An application of deep reinforcement learning to algorithmic trading
Expert Systems With Applications, 2021Thibaut Theate, Damien Ernst
exaly
Algorithmic trading using combinational rule vector and deep reinforcement learning
Applied Soft Computing Journal, 2023Chuanqi Li +2 more
exaly
Algorithmic Trading: The Intelligent Trading Systems and Its Impact on Trade Size
Expert Systems with Applications, 2022openaire +1 more source
A multi-agent deep reinforcement learning framework for algorithmic trading in financial markets
Expert Systems With Applications, 2022Majid Khedmati
exaly
Optimal trading trajectories for algorithmic trading
The Journal of Investment Strategies, 2016Gabriel Tucci, M Vega
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