We develop a high frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multifactor mutually exciting process we allow for feedback effects in market buy and sell orders and the shape of the...

This paper uses an artificial neural network (ANN) model to forecast broad dividends, and computes fundamental stock prices with a stochastic discount factor. Broad dividends are used because they measure payouts to shareholders more accurately. Since nonlinearity is found in broad dividends, an...