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Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...
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Extreme learning machine (ELM) allows for fast learning and better generalization performance than conventional … gradient-based learning. However, the possible inclusion of non-optimal weight and bias due to random selection and the need … learning framework combining the advantages of ELM and CRO, called extreme learning with chemical reaction optimization (ELCRO …
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We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and …
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