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Transfer learning based CEEMDAN-VMD secondary decomposition and multi-scale modeling for short-term electricity market price trend forecasting. [PDF]
Sci RepZhang Y, Song X, Li C, Zhang Z, Zhang J.
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Precision timekeeping with atomic clocks: evolution and future directions. [PDF]
Nat CommunBisht A, Arora P, Achanta VG.
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Intelligent carbon price prediction system based on improved secondary decomposition and multi-head attention bidirectional long short-term memory (BiLSTM) model. [PDF]
Sci RepChen Y.
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Algorithmic Trading & High Frequency Trading
International Journal for Research in Applied Science and Engineering Technology, 2019 openaire +1 more source
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SSRN Electronic Journal, 2013
High-frequency traders in financial markets have been making media headlines. As a relatively new phenomenon, much of the discussion is not backed by solid academic research. In this special issue of the Journal of Financial Markets on High-Frequency Trading, we present several research papers that aim to inform the discussion on this important issue.
Tarun Chordia +3 more
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High-frequency traders in financial markets have been making media headlines. As a relatively new phenomenon, much of the discussion is not backed by solid academic research. In this special issue of the Journal of Financial Markets on High-Frequency Trading, we present several research papers that aim to inform the discussion on this important issue.
Tarun Chordia +3 more
+5 more sources
Business & Information Systems Engineering, 2012
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Lattemann, Christoph +10 more
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Lattemann, Christoph +10 more
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High-Frequency Trading Strategies
Management Science, 2017We examine the effect of high-frequency trading on market quality from the perspective of a limit order trader. By competing with slower limit order traders, high-frequency traders impose a welfare externality by selectively crowding out the most profitable limit orders.
Michael Goldstein +2 more
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Liquidity Suppliers and High Frequency Trading
SSRN Electronic Journal, 2013Following [\textit{U. Çetin} et al., Finance Stoch. 8, No. 3, 311--341 (2004; Zbl 1064.60083)] the authors consider a market in which limit orders are represented via a function \(S(t,x)\) modeling the unit price at time \(t\) for an order of size \(x\).
Robert Jarrow, Philip Protter
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A multiscale model of high-frequency trading
Algorithmic Finance, 2012We propose and study a stylization of high frequency trading (HFT). Our interest is an order book which consists of orders from slow liquidity traders and orders from high-frequency traders. We would like to frame a model which is amenable to the (seemingly natural) mathematical toolkit of separation of scales and which can be used to address some of ...
Andrei Kirilenko +2 more
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