The best of two worlds: Forecasting high frequency volatility for cryptocurrencies and traditional currencies with Support Vector Regression
This paper provides an evaluation of the predictive performance of the volatility of three
cryptocurrencies and three currencies with recognized stores of value using daily and hourly …
cryptocurrencies and three currencies with recognized stores of value using daily and hourly …
[HTML][HTML] Deep learning in the stock market—a systematic survey of practice, backtesting, and applications
K Olorunnimbe, H Viktor - Artificial Intelligence Review, 2023 - Springer
The widespread usage of machine learning in different mainstream contexts has made deep
learning the technique of choice in various domains, including finance. This systematic …
learning the technique of choice in various domains, including finance. This systematic …
High‐frequency trading: Definition, implications, and controversies
KZ Zaharudin, MR Young… - Journal of Economic …, 2022 - Wiley Online Library
High‐frequency trading (HFT) is an important component of stock market activity on major
exchanges. In the United States, HFT contributed approximately 52% of total equity trading …
exchanges. In the United States, HFT contributed approximately 52% of total equity trading …
What's not there: Odd lots and market data
M O'hara, C Yao, M Ye - The Journal of Finance, 2014 - Wiley Online Library
We investigate odd‐lot trades in equity markets. Odd lots are increasingly used in
algorithmic and high‐frequency trading, but are not reported to the consolidated tape or in …
algorithmic and high‐frequency trading, but are not reported to the consolidated tape or in …
Back-running: Seeking and hiding fundamental information in order flows
We model the strategic interaction between fundamental investors and “back-runners,”
whose only information is about the past order flow of fundamental investors. Back-runners …
whose only information is about the past order flow of fundamental investors. Back-runners …
[HTML][HTML] Abrupt rise of new machine ecology beyond human response time
N Johnson, G Zhao, E Hunsader, H Qi, N Johnson… - Scientific reports, 2013 - nature.com
Society's techno-social systems are becoming ever faster and more computer-orientated.
However, far from simply generating faster versions of existing behaviour, we show that this …
However, far from simply generating faster versions of existing behaviour, we show that this …
Microstructure in the machine age
Understanding modern market microstructure phenomena requires large amounts of data
and advanced mathematical tools. We demonstrate how machine learning can be applied to …
and advanced mathematical tools. We demonstrate how machine learning can be applied to …
How algorithmic trading undermines efficiency in capital markets
Y Yadav - Vand. L. Rev., 2015 - HeinOnline
In 2012, traders in the United States submitted over two billion offers to buy and sell
securities on major national exchanges, resulting in around seventy-four million completed …
securities on major national exchanges, resulting in around seventy-four million completed …
[BOOK][B] A political economy of contemporary capitalism and its crisis: Demystifying finance
The recent financial meltdown and the resulting global recession have rekindled debates
regarding the nature of contemporary capitalism. This book analyses the ongoing …
regarding the nature of contemporary capitalism. This book analyses the ongoing …
Discerning information from trade data
How best to discern trading intentions from market data? We examine the accuracy of three
methods for classifying trade data: bulk volume classification (BVC), tick rule and …
methods for classifying trade data: bulk volume classification (BVC), tick rule and …