Results 11 to 20 of about 29,134 (295)
High-Frequency Trading Competition [PDF]
SSRN Electronic Journal, 2014 Les auteurs analysent la dynamique des échanges après que des entreprises qui font des transactions à haute fréquence eurent commencé successivement à négocier des titres sur le marché des actions. Les nouveaux venus rivalisent avec les acteurs déjà présents pour obtenir plus de volume, ce qui entraîne un effet d’éviction.
Brogaard, Jonathan +2 more
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Development of high-frequency volatility estimators in pricing and trading stock options
π-Economy, 2022 Asset return volatility plays a key role in derivative pricing and hedging, risk management and portfolio allocation decisions. This study examined the economic benefit of high-frequency volatility estimators (measures realized) in option pricing and ...
Gayomey John, Zaytsev Andrey
doaj +1 more source
Quantitative Finance, 2015 In such a competitive environment like high finance is, long-term incomes are usually discarded to satisfy the always demanding short-term necessities of shareholders. Thanks to use of computer tools, some software has been developed to let computer programs acquire securities like stocks or options. The particularity of the these commercial activities
François-Serge Lhabitant +1 more
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Novel modelling strategies for high-frequency stock trading data
Financial Innovation, 2023 Full electronic automation in stock exchanges has recently become popular, generating high-frequency intraday data and motivating the development of near real-time price forecasting methods.
Xuekui Zhang +3 more
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Quantum computational quantitative trading: high-frequency statistical arbitrage algorithm
New Journal of Physics, 2022 Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet.
Xi-Ning Zhuang +3 more
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Hardness of Learning in Rich Environments and Some Consequences for Financial Markets
Machine Learning and Knowledge Extraction, 2021 This paper examines the computational feasibility of the standard model of learning in economic theory. It is shown that the information update technique at the heart of this model is impossible to compute in all but the simplest scenarios. Specifically,
Ayan Bhattacharya
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A Decision Support System for Trading in Apple Futures Market Using Predictions Fusion
IEEE Access, 2021 In the last decade, High-Frequency Trading (HFT) has become a popular issue in the futures market, which has attracted much attention from numerous researchers.
Shangkun Deng +6 more
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A comprehensive study on bid-ask spread and its determinants in India
Cogent Economics & Finance, 2021 Determinants of bid-ask spread have been explored significantly for low-frequency datasets in many developed markets. Researchers have identified share price, traded volume, market–capitalization, return volatility, and number of trades as the prime ...
Aritra Pan, Arun Kumar Misra
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High Frequency Trading: análise de retorno, volume e volatilidade
Faces: Revista de Administração, 2018 O artigo tem o objetivo de analisar a relação entre a volatilidade dos preços e volume na bolsa de valores brasileira em momentos antes e pós-iniciação das estratégias HFT.
Alcides Carlos de Araújo +1 more
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Algorithmic and high-frequency trading in Borsa Istanbul
Borsa Istanbul Review, 2016 This paper investigates the levels of algorithmic trading (AT) and high-frequency trading (HFT) in an emerging market, Borsa Istanbul (BIST), utilizing a dataset of 354 trading days between January 2013 and May 2014.
Oguz Ersan, Cumhur Ekinci
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