Results 21 to 30 of about 308,639 (286)
Econometrics, 2023 Time-series data, which exhibit a low signal-to-noise ratio, non-stationarity, and non-linearity, are commonly seen in high-frequency stock trading, where the objective is to increase the likelihood of profit by taking advantage of tiny discrepancies in ...
Chengyu Li, Luyi Shen, Guoqi Qian
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High Frequency Trading and Mini Flash Crashes [PDF]
, 2012 We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market ...
Golub, Anton +2 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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The Random Walk of High Frequency Trading [PDF]
, 2014 This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold.
Aldrich, Eric M. +2 more
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Algorithmic Finance and (Limits to) Governmentality: On Foucault and High-Frequency Trading
Genealogy+Critique, 2017 In this essay I discuss algorithmic finance, specifically the use of fully automated trading, including high-frequency trading, in the light of Michel Foucault's notion of governmentality.
Christian Borch
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Modern trends of electronic trading by negotiable financial instruments
Vìsnik Žitomirsʹkogo Deržavnogo Tehnologìčnogo Unìversitetu: Ekonomìčnì Nauki, 2018 International negotiable financial instrument markets have a high level of electronic trading. It is displayed using the consolidated limit order book, the widening the range of trading orders, smart order routing, high speed access to the market on the ...
I.Kravchuk
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Latency arbitrage and the synchronized placement of orders
Financial Innovation, 2023 We argue that owing to traders’ inability to fully express their preferences over the execution times of their orders, contemporary stock market designs are prone to latency arbitrage. In turn, we propose a new order type, which allows traders to specify
Wolfgang Kuhle
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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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Reordering Transaction Execution to Boost High-Frequency Trading Applications
Data Science and Engineering, 2017 High-frequency trading (HFT) has always been welcomed because it benefits not only personal benefits but also the whole social welfare. While the recent advance of portfolio selection in HFT market enables to bring about more profit, it yields much ...
Ningnan Zhou +4 more
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Trading Imbalance in Chinese Stock Market—A High-Frequency View
Entropy, 2020 Although an imbalance of buying and selling profoundly affects the formation of market trends, a fine-granularity investigation of this perplexity of trading behavior is still missing. Instead of using existing entropy measures, this paper proposed a new
Shan Lu, Jichang Zhao, Huiwen Wang
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