In this paper, we seek to ascertain whether the recently developed ordered fuzzy number (OFN) representation of a limit order book (LOB) by Marszałek and Burczyński (2024) may serve as a measure of stock liquidity. In particular, we aim to test whether this measure contains similar or distinct...

This paper examines whether the SEC's mandate for central clearing of U.S. Treasury repo transactions could enable all-to-all trading and support the development of a standardized term repo market. By mitigating counterparty risk through central clearing, cash lenders may become more willing to...

One of the most notable developments in the asset management industry in recent decades has been the growth of algorithmic trading. At the same time, significant structural changes in the industry have occurred, with passive investing gaining momentum. The intersection of these two major trends...

This paper investigates the optimization of data sampling and target labeling techniques to enhance algorithmic trading strategies in cryptocurrency markets, focusing on Bitcoin (BTC) and Ethereum (ETH). Traditional data sampling methods, such as time bars, often fail to capture the nuances of...

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...