High-frequency trading (HFT) plays an essential role in the financial market. How to discover & reveal trading dynamics remains a challenge in FinTech. In this study, we propose a novel explainable machine learning approach: Feature-Interpolation-based Dimension Reduction SCAN (FIDR-SCAN) to...

Full electronic automation in stock exchanges has recently become popular, generating high-frequency intraday data and motivating the development of near real-time price forecasting methods. Machine learning algorithms are widely applied to mid-price stock predictions. Processing raw data as...

Over the last we have witnessed sweeping changes in trading systems all over the world. Those changes provided academics with an opportunity to look into the microstructure of different markets. Most empirical work in the area has concentrated on comparing changes in liquidity, volatility,...