The adaptive market hypothesis and high frequency trading. [PDF]
PLoS ONE, 2021 This paper uses NASDAQ order book data for the S&P 500 exchange traded fund (SPY) to examine the relationship between one-minute, informational market efficiency and high frequency trading (HFT).
Ke Meng, Shouhao Li
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Quantum Prisoner’s Dilemma and High Frequency Trading on the Quantum Cloud [PDF]
Frontiers in Artificial Intelligence, 2021 High-frequency trading (HFT) offers an excellent use case and a potential killer application of the commercially available, first generation quasi-quantum computers. To this end, we offer here a simple game-theoretic model of HFT as the famous two player
Faisal Shah Khan, Ning Bao
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Improved PBFT algorithm for high-frequency trading scenarios of alliance blockchain [PDF]
Scientific Reports, 2022 With the continuous development of blockchain technology, the application scenarios of alliance blockchain are also increasing. The consensus algorithm can achieve distributed consensus among nodes in the network.
Song Tang +4 more
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Correction: The adaptive market hypothesis and high frequency trading. [PDF]
PLoS ONE[This corrects the article DOI: 10.1371/journal.pone.0260724.].
Ke Meng, Shouhao Li
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Detecting Unusual Trading Patterns on Cryptocurrency Exchanges by Means of Complexity Measures [PDF]
EntropyArtificial transaction generation remains an important source of potential market manipulation on cryptocurrency exchanges, as it may distort reported liquidity and reduce market transparency.
Jakub Zwydak +3 more
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Enhancing the pricing efficiency of financial assets with an optimized bayesian network based on efficient fusion. [PDF]
PLoS ONETo address the limitations of traditional pricing models regarding accuracy and adaptability in high-frequency trading, this study presents a Transformer-based Efficiently-Fused Optimized Bayesian Network (Trans-EFOBN) for financial asset pricing.
Qi Fu, Xiaotong Li
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Applied Computer Science, 2023 In this study, the authors propose a method for testing high frequency trading (HFT) algorithms on the GPU using kernel parallelization, code vectorization, and multidimensional matrices.
Mantas Vaitonis, Konstantinas Korovkinas
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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
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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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