The authors develop a framework for studying trade in horizontally and vertically differentiated products. In their model, consumers with heterogeneous incomes and tastes purchase a homogeneous good and make a discrete choice of quality and variety of a differentiated product. The distribution...

Federated Learning (FL) is an innovative technique that allows multiple firms to collaborate in training machine learning models while preserving data privacy. This is especially important in industries where data is sensitive or subject to regulations like the General Data Protection Regulation...

Prior studies that examine the relation between market depth and bid-ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and spread, which affects the trading decisions...

We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded...

With the introduction of many derivatives into the capital market, including stock index futures, the trading strategies in financial markets have been gradually enriched. However, there is still no theoretical model that can determine whether these strategies are effective, what the risks are,...

The main objective of this analysis is to evaluate and compare the various classification algorithms for the automatic identification of favourable days for intraday trading using the Croatian stock index CROBEX data. Intra-day trading refers to the acquisition and sale of financial instruments...

This paper reviews the up-to-date theoretical, empirical, and experimental literature related to the trading venue choice in the context of the fragmented equity markets. We provide a brief background on the history of trading fragmentation in the equity market and its determinants. We discuss...