Search Results - subject:"Algorithmic Trading"

Global arbitrage under settlement cycle mismatch

Chau, Yuet Ning - 2025

Persistent link: https://www.econbiz.de/10015606803

Exploration of salience theory to deep learning : evidence from Chinese new energy market high-frequency trading

Zhu, Qing; Du, Jinhong; Li, Yuze - In: Data science and management : DSM 8 (2025) 3, pp. 296-309

Salience theory has been proposed as a new stock trading strategy. To assess the validity of this proposal, a complex decision trading system was constructed based on salience theory, a variational mode decomposition (VMD) model, a bidirectional gated recurrent unit (BiGRU) model, and...

Persistent link: https://www.econbiz.de/10015550286

Decentralised finance and automated market making : execution and speculation

Cartea, Álvaro; Drissi, Fayçal; Monga, Marcello - In: Journal of economic dynamics & control 177 (2025), pp. 1-23

Persistent link: https://www.econbiz.de/10015556668

Algorithmic crypto trading using information-driven bars, triple barrier labeling and deep learning

Grądzki, Przemysław; Wójcik, Piotr; Lessmann, Stefan - In: Financial innovation : FIN 11 (2025), pp. 1-43

This paper investigates the optimization of data sampling and target labeling techniques to enhance algorithmic trading …, which offers a solution tailored for algorithmic trading as opposed to the widely used next-bar prediction. We empirically … on the applicability of Transformer models to time series classification in the context of algorithmic trading by …

Persistent link: https://www.econbiz.de/10015557726

An automated adaptive trading system for enhanced performance of emerging market portfolios

Tudor, Cristiana Doina; Sova, Robert - In: Financial innovation : FIN 11 (2025), pp. 1-39

algorithmic trading. At the same time, significant structural changes in the industry have occurred, with passive investing …

Persistent link: https://www.econbiz.de/10015557961

Revisiting the trading activity of high-frequency trading firms around ultra-fast flash events

Desagre, Christophe; Laly, Floris; Petitjean, Mikael - In: Financial innovation : FIN 11 (2025), pp. 1-37

We investigate high-frequency traders' behavior in the context of the fastest and most extreme price movements (EPMs) that can be observed in the market, specifically ultra-fast flash events, challenging the methodologies employed in the academic and practitioner literature for identifying...

Persistent link: https://www.econbiz.de/10015557968

V-shapes

Flora, Maria; Renò, Roberto - In: Journal of banking and finance 179 (2025), pp. 1-12

Persistent link: https://www.econbiz.de/10015558772

A survey of rough volatility

Hiraki, Kazuhiro; Shinozaki, Yuji - In: International journal of theoretical and applied … 28 (2025) 5/6, pp. 1-45

Persistent link: https://www.econbiz.de/10015559882

The market ecosystem in the age of algorithms : an analysis of trading dynamics and market quality

Broussard, John Paul; Nikiforov, Andrei; Osmekhin, Sergey - In: Journal of economics and finance : JEF 49 (2025) 2, pp. 343-363

Persistent link: https://www.econbiz.de/10015591527

Differential access to dark markets and execution outcomes

Brugler, James; Comerton-Forde, Carole - In: Journal of financial economics 171 (2025), pp. 1-16

Persistent link: https://www.econbiz.de/10015571161