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Year of publication
Subject
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Elektronisches Handelssystem 2,379 Electronic trading 2,376 Wertpapierhandel 1,121 Securities trading 1,114 Börsenkurs 716 Share price 714 Theorie 645 Theory 644 Market microstructure 417 Marktmikrostruktur 415 Volatilität 370 Volatility 369 Anlageverhalten 317 Behavioural finance 316 Börsenhandel 309 Stock exchange trading 304 USA 259 United States 256 Liquidity 251 Aktienmarkt 243 Liquidität 233 Stock market 232 Financial market 220 Finanzmarkt 220 Marktliquidität 220 Market liquidity 219 Portfolio selection 212 Portfolio-Management 212 Bid-ask spread 204 Geld-Brief-Spanne 204 Algorithmus 199 Algorithm 198 Effizienzmarkthypothese 191 Efficient market hypothesis 190 Schätzung 160 Estimation 159 Financial market regulation 158 Finanzmarktregulierung 158 Financial analysis 149 Finanzanalyse 149
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Online availability
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Free 949 Undetermined 632 CC license 32
Type of publication
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Book / Working Paper 1,262 Article 1,190 Journal 9
Type of publication (narrower categories)
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Article in journal 1,039 Aufsatz in Zeitschrift 1,039 Graue Literatur 386 Non-commercial literature 386 Working Paper 332 Arbeitspapier 321 Aufsatz im Buch 125 Book section 125 Hochschulschrift 106 Thesis 75 Collection of articles of several authors 29 Sammelwerk 29 Aufsatzsammlung 19 Collection of articles written by one author 18 Sammlung 18 Ratgeber 15 Guidebook 11 Handbook 9 Handbuch 9 Article 7 Bibliografie enthalten 6 Bibliography included 6 Konferenzschrift 6 Case study 4 Fallstudie 4 Glossar enthalten 4 Glossary included 4 Annual report 3 Conference proceedings 3 Jahresbericht 3 Lehrbuch 3 Systematic review 3 research-article 3 Übersichtsarbeit 3 Accompanied by computer file 2 Business report 2 Conference paper 2 Elektronischer Datenträger als Beilage 2 Geschäftsbericht 2 Konferenzbeitrag 2
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Language
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English 2,269 German 133 Undetermined 43 French 10 Polish 2 Russian 2 Spanish 2 Czech 1 Italian 1 Swedish 1
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Author
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Cartea, Álvaro 33 Theissen, Erik 30 Foucault, Thierry 25 Hendershott, Terrence 23 Jaimungal, Sebastian 22 Menkveld, Albert J. 22 Gomber, Peter 20 Riordan, Ryan 20 Van Vliet, Benjamin 19 Aitken, Michael J. 17 Brogaard, Jonathan 17 O'Hara, Maureen 16 Budish, Eric B. 15 Aquilina, Matteo 14 Aït-Sahalia, Yacine 14 Frino, Alex 14 Ibikunle, Gbenga 14 Gsell, Markus 13 Rime, Dagfinn 13 Schrimpf, Andreas 13 Van Ness, Robert A. 13 Cumming, Douglas J. 12 Dionne, Georges 12 Mizrach, Bruce Marshall 12 Moinas, Sophie 12 Aldridge, Irene 11 Bellia, Mario 11 Grammig, Joachim 11 Saar, Gideon 11 Andersen, Torben 10 Goldstein, Michael A. 10 Hjalmarsson, Erik 10 Kumiega, Andrew 10 O'Neill, Peter 10 Poutré, Cédric 10 Rzayev, Khaladdin 10 Zhan, Feng 10 Aldrich, Eric M. 9 Bessembinder, Hendrik 9 Cooper, Ricky 9
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Institution
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National Bureau of Economic Research 21 Department of Economics, National University of Ireland 10 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 6 Center for Financial Studies 4 Springer Fachmedien Wiesbaden 4 Financial Industry Regulatory Authority 3 FinanzBuch Verlag 2 HAL 2 National Association of Securities Dealers 2 Technische Universität Dresden 2 Université Paris-Dauphine (Paris IX) 2 Bank für Internationalen Zahlungsausgleich / Markets Committee 1 Basler Effektenbörse 1 Books on Demand GmbH <Norderstedt> 1 Börsen-Buchverlag 1 Börsenkammer des Kantons Basel-Stadt 1 C.E.P.R. Discussion Papers 1 De Gruyter Oldenbourg 1 Deutsche Bank <Frankfurt am Main> / Research 1 Deutsche Börse AG 1 Dipartimento di Ingegneria Informatica, Automatica e Gestionale "Antonio Ruberti", Facoltà di Ingegneria dell'Informazione Informatica e Statistica 1 Duale Hochschule Baden-Württemberg Stuttgart 1 Eberhard Karls Universität Tübingen 1 European Academic Association for Financial Research 1 European Commission / Directorate-General for Communication 1 Finance Discipline Group, Business School 1 FinanceCom <3, 2007, Montréal> 1 Gottfried Wilhelm Leibniz Universität Hannover 1 HEC Paris (École des Hautes Études Commerciales) 1 IGI Global 1 Institut d'Économie Industrielle (IDEI), Toulouse School of Economics (TSE) 1 International Organization of Securities Commissions 1 Judge Institute of Management Studies 1 London School of Economics and Political Science 1 Loyal National Repeal Association of Ireland / Trade and Commerce Committee 1 Melbourne Business School 1 NET Institute 1 Norges Bank 1 Promedia Verlag 1 Rodney L. White Center for Financial Research 1
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Published in...
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The journal of trading 51 Journal of financial markets 43 Journal of financial economics 33 The journal of futures markets 32 Journal of banking & finance 30 Finance research letters 23 The review of financial studies 22 NBER working paper series 21 Wiley trading series 21 Journal of international financial markets, institutions & money 20 Quantitative finance 20 Research in international business and finance 20 Computational economics 19 Working papers 19 Research paper series / Swiss Finance Institute 16 The journal of finance : the journal of the American Finance Association 16 Applied mathematical finance 15 International review of financial analysis 15 Market microstructure and liquidity 15 The financial review : the official publication of the Eastern Finance Association 15 Working paper / National Bureau of Economic Research, Inc. 14 Discussion paper / Centre for Economic Policy Research 13 Swiss Finance Institute Research Paper 13 Journal of empirical finance 12 Journal of financial and quantitative analysis : JFQA 12 Management science : journal of the Institute for Operations Research and the Management Sciences 12 NBER Working Paper 12 Pacific-Basin finance journal 12 Review of quantitative finance and accounting 12 SAFE working paper 12 CFS working paper series 11 International journal of theoretical and applied finance 11 Journal of risk and financial management : JRFM 11 Journal of securities operations & custody 11 BIS quarterly review : international banking and financial market developments 10 Working Papers / Department of Economics, National University of Ireland 10 Applied economics 8 Financial innovation : FIN 8 International review of economics & finance : IREF 8 SpringerLink / Bücher 8
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Source
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ECONIS (ZBW) 2,388 RePEc 48 EconStor 18 Other ZBW resources 4 BASE 3
Showing 1 - 50 of 2,461
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Statistical predictions of trading strategies in electronic markets
Cartea, Álvaro; Cohen, Samuel N.; Graumans, Robert; … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339741
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Humans in charge of trading robots : the first experiment
Asparouhova, Elena; Bossaerts, Peter L.; Cai, Xiaoqin; … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015046183
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Predictive modeling of foreign exchange trading signals using machine learning techniques
Enkhbayar, Sugarbayar; Ślepaczuk, Robert - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014634708
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Managing extreme cryptocurrency volatility in algorithmic trading : EGARCH via genetic algorithms and neural networks
Alaminos, David; Salas, M. Belén; Callejón-Gil, Ángela M. - In: Quantitative finance and economics 8 (2024) 1, pp. 153-209
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015126885
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Two algos, one option: impact of new technology on mispricing and hedging strategies
Altmann, Stefan - 2024
This thesis contains three studies on the impact of new technologies on financial markets. The first study investigates in an experiment whether algorithmic trading has an impact on the formation of asset price bubbles. It finds that especially market-maker algorithms lead to traded prices being...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272249
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On the benefits of robo-advice in financial markets
Lambrecht, Marco; Oechssler, Joerg; Weidenholzer, Simon - 2023
Robo-advisors are novel tools in financial markets that provide investors with low-cost financial advice, usually based on individual characteristics like risk attitudes. In a portfolio choice experiment running over 10 weeks, we study how much investors benefit from robo advice. We also study...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014380288
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Algorithmic trading, price efficiency and welfare: an experimental approach
Corgnet, Brice; DeSantis, Mark; Siemroth, Christoph - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014388529
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Algorithmic market making in dealer markets with hedging and market impact
Barzykin, Alexander; Bergault, Philippe; Guéant, Olivier - In: Mathematical finance : an international journal of … 33 (2023) 1, pp. 41-79
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014278660
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Intraday trades profile estimation : an intensity approach
Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 3, pp. 651-677
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014314773
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Fast and slow optimal trading with exogenous information
Cont, Rama; Micheli, Alessandro; Neuman, Eyal - In: Finance and stochastics 29 (2025) 2, pp. 553-607
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394810
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Do deficits cause inflation? : a high frequency narrative approach
Hazell, Jonathon; Hobler, Stephan - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015199756
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A law and economic analysis of trading through dark pools
Ntourou, Artemisa; Mallios, Aineas - In: Journal of financial regulation and compliance 33 (2025) 1, pp. 16-30
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015202586
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Deep reinforcement learning in non-Markov market-making
Lalor, Luca; Sviščuk, Anatolij - 2025
We develop a deep reinforcement learning (RL) framework for an optimal market-making (MM) trading problem, specifically focusing on price processes with semi-Markov and Hawkes Jump-Diffusion dynamics. We begin by discussing the basics of RL and the deep RL framework used; we deployed the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358963
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Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments : an agent-based modeling approach
Wang, Liming; Sun, Xuchu; Zhu, Hongliang; Li, Tangrong - 2025
This paper investigates the relationship among transaction taxes, high-frequency trading (HFT), and market quality. We use the agent-based modeling (ABM) approach to dynamically assess the impact of transaction taxes on market quality with and without high-frequency trading. Preliminary tests...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372156
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Machine Learning in Finance : Trends, Developments and Business Practices in the Financial Sector
Gün, Musa (ed.); Kartal, Burcu (ed.) - 2025
Chapter 1. Machine Learning in Finance: Transformation of Financial Markets (Musa Gün) -- Chapter 2. Digital Currencies and Financial Transformation (Bilal Bagis) -- Chapter 3. A Hybrid ARIMA-LSTM/GRU Model for Forecasting Monthly Trends in Turkey’s Gold and Currency Markets with a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015340069
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The Regulation of AI Trading from an AI Life Cycle Perspective
Azzutti, Alessio; Ringe, Wolf-Georg; Stiehl, Hans Siegfried - 2022
Among innovative technologies, Artificial Intelligence (AI) is often avouched as the game changerin the provision of financial services. In this regard, the algorithmic trading domain is no exception.The impact of AI in the industry is a catalyst for transformation in the operations and the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014238860
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AI-driven market manipulation and limits of the EU law enforcement regime to credible deterrence
Azzutti, Alessio - 2022
As in many other sectors of EU economies, 'artificial intelligence' (AI) has entered the scene of the financial services industry as a game-changer. Trading on capital markets is undoubtedly one of the most promising AI application domains. A growing number of financial market players have in...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012807066
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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, ebvufind01.dmz1.zbw.eu/10012816711
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Optimal liquidation, acquisition and market making problems in HFT under Hawkes models for LOB
Contreras, Ana Roldan; Sviščuk, Anatolij - In: Risks : open access journal 10 (2022) 8, pp. 1-32
The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price approximated by the diffusion process for the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013368241
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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, ebvufind01.dmz1.zbw.eu/10013473995
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Wikipedia pageviews as investors' attention indicator for Nasdaq
Martínez, Raúl Gómez; Orden-Cruz, Carmen; … - In: Intelligent systems in accounting, finance & management 29 (2022) 1, pp. 41-49
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013274246
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Does trade clustering reduce trading costs? : evidence from periodicity in algorithmic trading
Muravyev, Dmitriy; Picard, Joerg - In: Financial management : FM 51 (2022) 4, pp. 1201-1229
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013468513
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Convexity arbitrage : the idea which does not work
Stádník, Bohumil - In: Cogent economics & finance 10 (2022) 1, pp. 1-16
Algorithmic trading, so popular nowadays, uses many strategies that are algorithmizable and promise profitability. This research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in financial practice. It should provide a positive...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013463093
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Analyzing decision-making in deep-Q reinforcement learning for trading: A case study on Tesla company and its supply chain
Janda, Karel; Petit, Mathieu - 2024
This study addresses the economic rationale behind algorithmic trading in the Electric Vehicle (EV) sector, enhancing the interpretability of Q-learning agents. By integrating EV-specific data, such as Tesla's stock fundamentals and key supply chain players such as Albemarle and Panasonic...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015209767
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Machine learning methods for financial forecasting and trading profitability : evidence during the Russia-Ukraine war
Peng, Yaohao; Souza, João Gabriel de Moraes - In: REGE revista de gestão 31 (2024) 2, pp. 152-165
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015189762
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Polynomial moving regression band stocks trading system
Cohen, Gil - In: Risks : open access journal 12 (2024) 10, pp. 1-15
In this research, we attempted to fit a trading system based on polynomial moving regression bands (MRB) to Nasdaq100 stocks from 2017 till the end of March 2024. Since stocks movement does not follow a linear behavior, we used multiple degree polynomial regression models to identify the stocks'...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135762
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High-frequency trading in bond returns : a comparison across alternative methods and fixed-income markets
Alaminos, David; Salas, María Belén; Fernández … - In: Computational economics 64 (2024) 4, pp. 2263-2354
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015144011
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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach
Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16
In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014581582
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A tale of two cities : inter-market latency and fast-trader competition
Sagade, Satchit; Scharnowski, Stefan; Theissen, Erik; … - 2024 - This version: July 10, 2024
We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave network connecting exchanges trading the same stocks. Using a difference-in-differences approach comparing German stocks with similar French stocks, we find improved market...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015065826
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Sharks in the dark : quantifying HFT dark pool latency arbitrage
Aquilina, Matteo; Foley, Sean; O'Neill, Peter; Ruf, Thomas - In: Journal of economic dynamics & control 158 (2024), pp. 1-22
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014532187
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Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28
We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals, whereas TR is a process...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014541693
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Decentralised dealers? : examining liquidity provision in decentralised exchanges
Aquilina, Matteo; Foley, Sean; Gambacorta, Leonardo; … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015148006
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Through stormy seas: how fragile is liquidity across asset classes and time?
Aliyev, Nihad; Aquilina, Matteo; Rzayev, Khaladdin; … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015148009
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Analyzing decision-making in deep-Q reinforcement learning for trading : a case study on Tesla company and its supply chain
Janda, Karel; Petit, Mathieu - 2024
This study addresses the economic rationale behind algorithmic trading in the Electric Vehicle (EV) sector, enhancing the interpretability of Q-learning agents. By integrating EV-specific data, such as Tesla's stock fundamentals and key supply chain players such as Albemarle and Panasonic...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015149439
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Algorithmic trading, what if it is just an illusion? : evidence from experimental asset markets
Jacob-Leal, Sandrine; Hanaki, Nobuyuki - In: Journal of behavioral and experimental economics 112 (2024), pp. 1-13
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015077381
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Automated market makers and their implications for liquidity providers
Egloff, Pascal; Krabichler, Thomas - In: Digital finance : smart data analytics, investment … 6 (2024) 3, pp. 573-604
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015078235
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Parameterised response zero intelligence traders
Cliff, Dave - In: Journal of economic interaction and coordination 19 (2024) 3, pp. 439-492
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015097232
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Do deficits cause inflation? : a high frequency narrative approach
Hazell, Jonathon; Hobler, Stephan - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015072984
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Limits of arbitrage and their impact on market efficiency : evidence from China
Chen, Jian; Haboub, Ahmad; Khan, Ali - In: Global finance journal 59 (2024), pp. 1-17
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014545142
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An MA-MRR model for transaction-level analysis of high-frequency trading processes
Zhang, Qiang; Lu, Zu-di; Liu, Shancun; Yang, Haijun; … - In: Journal of management science and engineering 9 (2024) 1, pp. 53-61
The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014504715
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A theory of stock exchange competition and innovation : will the market fix the market?
Budish, Eric B.; Lee, Robin S.; Shim, John J. - In: Journal of political economy 132 (2024) 4, pp. 1209-1246
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014524804
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High price impact trades identification and its implication for volatility and price efficiency
Dionne, Georges; Zhou, Xiaozhou - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015079793
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High price impact trades identification and its implication for volatility and price efficiency
Dionne, Georges; Zhou, Xiaozhou - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015080720
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Cognitive abilities and individual earnings in hybrid continuous double auctions
Peng, Yan; Shachat, Jason M.; Wei, Lijia; Zhang, S. Sarah - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014583259
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Optimal trade execution in cryptocurrency markets
Bundi, Nils; Wei, Ching-Lin; Khashanah, Khaldoun - In: Digital finance : smart data analytics, investment … 6 (2024) 2, pp. 283-318
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014584489
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Synergizing quantitative finance models and market microstructure analysis for enhanced algorithmic trading strategies
Mengshetti, Om; Gupta, Kanishk; Zade, Nilima; Kotecha, Ketan - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-11
In today's complex financial markets, "Algorithmic Trading" has become very important. The study delves into the amalgamation of four pivotal indicators - Relative Strength Index (RSI), Exponential Moving Average (EMA), Volume-Weighted Average Price (VWAP), and Moving Average...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015071775
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The speed of firm response to inflation
Yotzov, Ivan; Bunn, Philip; Bloom, Nicholas; Thwaites, … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015061864
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Technology and automation in financial trading : a bibliometric review
Carè, Rosella; Cumming, Douglas J. - In: Research in international business and finance 71 (2024), pp. 1-28
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015062171
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Speed traps : algorithmic trader performance under alternative market balances and structures
Peng, Yan; Shachat, Jason M.; Wei, Lijia; Zhang, S. Sarah - In: Experimental economics : a journal of the Economic … 27 (2024) 2, pp. 325-350
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015045808
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Estimation of an order book dependent hawkes process for large datasets
Mucciante, Luca; Sancetta, Alessio - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338768
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