Machine learning and speed in high-frequency trading
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DOI: 10.1016/j.jedc.2022.104438
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Citations
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Cited by:
- Adamantios Ntakaris & Gbenga Ibikunle, 2024. "Minimal Batch Adaptive Learning Policy Engine for Real-Time Mid-Price Forecasting in High-Frequency Trading," Papers 2412.19372, arXiv.org, revised Dec 2024.
- Carè, Rosella & Cumming, Douglas, 2024. "Technology and automation in financial trading: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 71(C).
- Breckenfelder, Johannes, 2024.
"Competition among high-frequency traders and market quality,"
Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
- Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
- He, Xue-Zhong & Lin, Shen, 2022. "Reinforcement Learning Equilibrium in Limit Order Markets," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Choudhary, Priya & Thenmozhi, M., 2024. "Fintech and financial sector: ADO analysis and future research agenda," International Review of Financial Analysis, Elsevier, vol. 93(C).
- Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2024. "Gamma positioning and market quality," Journal of Economic Dynamics and Control, Elsevier, vol. 164(C).
- Kou, Mingting & Yang, Yuanqi & Chen, Kaihua, 2024. "Financial technology research: Past and future trajectories," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 162-181.
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More about this item
Keywords
High-frequency trading; Price efficiency; Machine learning; Genetic algorithm; Limit order market;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
Statistics
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