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ECONIS (ZBW)
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1
International high-frequency arbitrage for cross-listed stocks
Poutré, Cédric
;
Dionne, Georges
;
Yergeau, Gabriel
-
2021
Persistent link: https://www.econbiz.de/10012592176
Saved in:
2
Ensembled LSTM with walk forward optimization in algorithmic trading
Chojnacki, Karol
;
Ślepaczuk, Robert
-
2023
Persistent link: https://www.econbiz.de/10014308890
Saved in:
3
Intraday high-frequency pairs trading strategies for energy futures : evidence from China
Luo, Jing
;
Lin, Yucheng
;
Wang, Sijia
- In:
Applied economics
55
(
2023
)
56
,
pp. 6646-6660
Persistent link: https://www.econbiz.de/10014382721
Saved in:
4
Pairs trading with fractional Ornstein-Uhlenbeck spread model
Xiang, Yun
;
Zhao, Yonghong
;
Deng, Shijie
- In:
Applied economics
55
(
2023
)
23
,
pp. 2607-2623
Persistent link: https://www.econbiz.de/10014295156
Saved in:
5
The profitability of pairs trading strategies on Hong-Kong stock market : distance, cointegration, and correlation methods
Ma, Baiquan
;
Ślepaczuk, Robert
-
2022
Persistent link: https://www.econbiz.de/10012816711
Saved in:
6
The profitability of lead-lag arbitrage at high-frequency
Poutré, Cédric
;
Dionne, Georges
;
Yergeau, Gabriel
-
2022
Persistent link: https://www.econbiz.de/10013380798
Saved in:
7
A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy
Baranochnikov, Illia
;
Ślepaczuk, Robert
-
2022
Persistent link: https://www.econbiz.de/10013473692
Saved in:
8
Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index
Kryńska, Katarzyna
;
Ślepaczuk, Robert
-
2022
Persistent link: https://www.econbiz.de/10013473995
Saved in:
9
Retail trader sophistication and stock market quality : evidence from brokerage outages
Eaton, Gregory W.
;
Green, Tracy Clifton
;
Roseman, Brian S.
- In:
Journal of financial economics
146
(
2022
)
2
,
pp. 502-528
Persistent link: https://www.econbiz.de/10013482332
Saved in:
10
A game of hide-and-seek between proprietary and buy-side algorithmic traders : causal links with market quality
Arumugam, Devika
;
Prasanna, P. Krishna
- In:
Applied economics
53
(
2021
)
41
,
pp. 4788-4798
Persistent link: https://www.econbiz.de/10012609877
Saved in:
11
Information shocks, disagreement, and drift
Armstrong, Will J.
;
Cardella, Laura
;
Sabah, Nasim
- In:
Journal of financial economics
140
(
2021
)
3
,
pp. 916-940
Persistent link: https://www.econbiz.de/10013259609
Saved in:
12
Refusing the best price?
Li, Sida
;
Ye, Mao
;
Zheng, Miles
- In:
Journal of financial economics
147
(
2023
)
2
,
pp. 317-337
Persistent link: https://www.econbiz.de/10013546674
Saved in:
13
Deep limit order book events dynamics
Bilodeau, Yann
-
2020
Persistent link: https://www.econbiz.de/10012384636
Saved in:
14
Coming early to the party
Bellia, Mario
;
Pelizzon, Loriana
;
Subrahmanyam, Marti G.
; …
-
2020
Persistent link: https://www.econbiz.de/10012244860
Saved in:
15
Low-latency trading and price discovery : evidence from the Tokyo stock exchange in the pre-opening and opening periods
Bellia, Mario
;
Pelizzon, Loriana
;
Subrahmanyam, Marti G.
; …
-
2020
Persistent link: https://www.econbiz.de/10012244863
Saved in:
16
The term structure of liquidity provision
Conrad, Jennifer S.
;
Wahal, Sunil
- In:
Journal of financial economics
136
(
2020
)
1
,
pp. 239-259
Persistent link: https://www.econbiz.de/10012545428
Saved in:
17
Robustness of support vector machines in algorithmic trading on cryptocurrency market
Zenkova, Maryna
;
Ślepaczuk, Robert
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2019
Persistent link: https://www.econbiz.de/10012039745
Saved in:
18
A comparison among Reinforcement Learning algorithms in financial trading systems
Corazza, Marco
;
Fasano, Giovanni
;
Gusso, Riccardo
; …
-
2019
Persistent link: https://www.econbiz.de/10012197155
Saved in:
19
High frequency trading and comovement in financial markets
Malceniece, Laura
;
Malcenieks, Kārlis
;
Putniņš, Tālis J.
- In:
Journal of financial economics
134
(
2019
)
2
,
pp. 381-399
Persistent link: https://www.econbiz.de/10012166913
Saved in:
20
Market intraday momentum
Gao, Lei
;
Han, Yufeng
;
Li, Sophia Zhengzi
;
Zhou, Guofu
- In:
Journal of financial economics
129
(
2018
)
2
,
pp. 394-414
Persistent link: https://www.econbiz.de/10011982249
Saved in:
21
Pairs trading : the case of Norwegian seafood companies
Mikkelsen, Andreas
- In:
Applied economics
50
(
2018
)
3
,
pp. 303-318
Persistent link: https://www.econbiz.de/10011846833
Saved in:
22
Slow-moving capital and execution costs : evidence from a major trading glitch
Bogousslavsky, Vincent
;
Collin-Dufresne, Pierre
; …
- In:
Journal of financial economics
139
(
2021
)
3
,
pp. 922-949
Persistent link: https://www.econbiz.de/10012693851
Saved in:
23
Who provides liquidity, and when?
Li, Sida
;
Wang, Xin
;
Ye, Mao
- In:
Journal of financial economics
141
(
2021
)
3
,
pp. 968-980
Persistent link: https://www.econbiz.de/10012873103
Saved in:
24
The electronic evolution of corporate bond dealers
O'Hara, Maureen
;
Zhou, Xing
- In:
Journal of financial economics
140
(
2021
)
2
,
pp. 368-390
Persistent link: https://www.econbiz.de/10012650447
Saved in:
25
Pervasive underreaction : evidence from high-frequency data
Jiang, Hao
;
Li, Sophia Zhengzi
;
Wang, Hao
- In:
Journal of financial economics
141
(
2021
)
2
,
pp. 573-599
Persistent link: https://www.econbiz.de/10013259814
Saved in:
26
Competition among liquidity providers with access to high-frequency trading technology
Bongaerts, Dion
;
Van Achter, Mark
- In:
Journal of financial economics
140
(
2021
)
1
,
pp. 220-249
Persistent link: https://www.econbiz.de/10013188694
Saved in:
27
High frequency trading and the 2008 short-sale ban
Brogaard, Jonathan
;
Hendershott, Terrence
;
Riordan, Ryan
- In:
Journal of financial economics
124
(
2017
)
1
,
pp. 22-42
Persistent link: https://www.econbiz.de/10011751407
Saved in:
28
Early peek advantage? : efficient price discovery with tiered information disclosure
Hu, Xing
;
Pan, Jun
;
Wang, Jiang
- In:
Journal of financial economics
126
(
2017
)
2
,
pp. 399-421
Persistent link: https://www.econbiz.de/10011818175
Saved in:
29
Algorithmic quoting, trading, and market quality in agricultural commodity futures markets
Hu, Zhepeng
;
Serra, Teresa
;
García, Philip
- In:
Applied economics
52
(
2020
)
58
,
pp. 6277-6291
Persistent link: https://www.econbiz.de/10012415989
Saved in:
30
High-frequency quoting, trading, and the efficiency of prices
Conrad, Jennifer S.
;
Wahal, Sunil
;
Xiang, Jin
- In:
Journal of financial economics
116
(
2015
)
2
,
pp. 271-291
Persistent link: https://www.econbiz.de/10011348502
Saved in:
31
High frequency market microstructure
O'Hara, Maureen
- In:
Journal of financial economics
116
(
2015
)
2
,
pp. 267-270
Persistent link: https://www.econbiz.de/10011348519
Saved in:
32
Excessive dynamic trading : propagation of belief shocks in small markets
Kawakami, Kei
-
2014
Persistent link: https://www.econbiz.de/10011339576
Saved in:
33
Trading by estimating the quantized forward distribution
Ceffer, Attila
;
Fogarasi, Norbert
;
Levendovszky, Janos
- In:
Applied economics
50
(
2018
)
59
,
pp. 6397-6405
Persistent link: https://www.econbiz.de/10012063433
Saved in:
34
High frequency trading and extreme price movements
Brogaard, Jonathan
;
Carrion, Allen
;
Moyaert, Thibaut
; …
- In:
Journal of financial economics
128
(
2018
)
2
,
pp. 253-265
Persistent link: https://www.econbiz.de/10011971047
Saved in:
35
Dark pool trading strategies, market quality and welfare
Buti, Sabrina
;
Rindi, Barbara
;
Werner, Ingrid M.
- In:
Journal of financial economics
124
(
2017
)
2
,
pp. 244-265
Persistent link: https://www.econbiz.de/10011751438
Saved in:
36
Optimal trading in a limit order book using linear strategies
Pellizzari, Paolo
-
2011
-
This version: September 2011
Persistent link: https://www.econbiz.de/10011628701
Saved in:
37
Shorting at close range : a tale of two types
Comerton-Forde, Carole
;
Jones, Charles M.
;
Putniņš, …
- In:
Journal of financial economics
121
(
2016
)
3
,
pp. 546-568
Persistent link: https://www.econbiz.de/10011590861
Saved in:
38
Should we be afraid of the dark? Dark trading and market quality
Foley, Sean
;
Putniņš, Tālis J.
- In:
Journal of financial economics
122
(
2016
)
3
,
pp. 456-481
Persistent link: https://www.econbiz.de/10011591062
Saved in:
39
Have financial markets become more informative?
Bai, Jennie
;
Philippon, Thomas
;
Savov, Alexi
- In:
Journal of financial economics
122
(
2016
)
3
,
pp. 625-654
Persistent link: https://www.econbiz.de/10011591158
Saved in:
40
Dark trading and price discovery
Comerton-Forde, Carole
;
Putnin̦š, Tālis J.
- In:
Journal of financial economics
118
(
2015
)
1
,
pp. 70-92
Persistent link: https://www.econbiz.de/10011480362
Saved in:
41
The impact of trading floor closure on market efficiency: evidence from the Toronto Stock Exchange
Chung, Dennis Y.
;
Hrazdil, Karel
- In:
Applied economics
47
(
2015
)
55/57
,
pp. 6102-6119
Persistent link: https://www.econbiz.de/10011381033
Saved in:
42
Equilibrium fast trading
Biais, Bruno
;
Foucault, Thierry
;
Moinas, Sophie
- In:
Journal of financial economics
116
(
2015
)
2
,
pp. 292-313
Persistent link: https://www.econbiz.de/10011348498
Saved in:
43
A dynamic limit order market with fast and slow traders
Hoffmann, Peter
- In:
Journal of financial economics
113
(
2014
)
1
,
pp. 156-169
Persistent link: https://www.econbiz.de/10010421822
Saved in:
44
Forestalling floor closure : evidence from a natural experiment on the German stock market
Goodfellow, Christiane
;
Bohl, Martin T.
- In:
Applied economics
44
(
2012
)
4/6
,
pp. 793-802
Persistent link: https://www.econbiz.de/10009532026
Saved in:
45
A market-clearing role for inefficiency on a limit order book
Large, Jeremy
- In:
Journal of financial economics
91
(
2009
)
1
,
pp. 102-117
Persistent link: https://www.econbiz.de/10003813190
Saved in:
46
Dynamic order submission strategies with competition between a dealer market and a crossing network
Degryse, Hans
;
Van Achter, Mark
;
Wuyts, Gunther
- In:
Journal of financial economics
91
(
2009
)
3
,
pp. 319-338
Persistent link: https://www.econbiz.de/10003833631
Saved in:
47
Hidden liquidity : an analysis of order exposure strategies in electronic stock markets
Bessembinder, Hendrik
;
Panayides, Marios
;
Venkataraman, …
- In:
Journal of financial economics
94
(
2009
)
3
,
pp. 361-383
Persistent link: https://www.econbiz.de/10003918727
Saved in:
48
The "make or take" decision in an electronic market : evidence on the evolution of liquidity
Bloomfield, Robert
;
O'Hara, Maureen
;
Saar, Gideon
- In:
Journal of financial economics
75
(
2005
)
1
,
pp. 165-199
Persistent link: https://www.econbiz.de/10002516029
Saved in:
49
Does an electronic stock exchange need an upstairs market?
Bessembinder, Hendrik
;
Venkataraman, Kumar
- In:
Journal of financial economics
73
(
2004
)
1
,
pp. 3-36
Persistent link: https://www.econbiz.de/10002128536
Saved in:
50
Institutional trading and alternative trading systems
Conrad, Jennifer S.
;
Johnson, Kevin M.
;
Wahal, Sunil
- In:
Journal of financial economics
70
(
2003
)
1
,
pp. 99-134
Persistent link: https://www.econbiz.de/10001799450
Saved in:
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