Can machine learning unlock new insights into high-frequency trading?
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- Brogaard, Jonathan & Carrion, Allen & Moyaert, Thibaut & Riordan, Ryan & Shkilko, Andriy & Sokolov, Konstantin, 2018.
"High frequency trading and extreme price movements,"
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- Brogaard, Jonathan & Carrion, Allen & Moyaert, Thibaut & Riordan, Ryan & Shkilko, Andriy & Sokolov, Konstantin, 2018. "High frequency trading and extreme price movements," LIDAM Reprints LFIN 2018009, Université catholique de Louvain, Louvain Finance (LFIN).
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This paper has been announced in the following NEP Reports:- NEP-BIG-2024-06-17 (Big Data)
- NEP-CMP-2024-06-17 (Computational Economics)
- NEP-MST-2024-06-17 (Market Microstructure)
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