This study examines how algorithmic trading (AT) affects forward-looking disclosures in Management Discussion and Analysis (MD&A) of annual reports. We predict and find evidence that AT relates negatively to modifications in year-over-year forward-looking MD&A disclosures. This evidence is...

This paper examines evidence on colocation dates and their impact on market efficiency. International colocation dates can be sourced from a number of avenues including: [1] an 'exchange's news announcements and reports, [2] news media, and [3] by direct communication with the officers of an...

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader chooses to post either market orders or limit orders, which are represented respectively by impulse...

Part 1. Importance and Model -- Chapter 1. Financial Market Design and Agent-Based Model -- Chapter 2. Base Model for Financial Market Design -- Part 2. Cases -- Chapter 3. Regulations/Rules -- Chapter 4. AI Traders/High Frequency Trades -- Chapter 5. New Financial Exchanges for High-Speed Era...

Chapter 1. Machine Learning in Finance: Transformation of Financial Markets (Musa Gün) -- Chapter 2. Digital Currencies and Financial Transformation (Bilal Bagis) -- Chapter 3. A Hybrid ARIMA-LSTM/GRU Model for Forecasting Monthly Trends in Turkey’s Gold and Currency Markets with a...