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Paper Digest: Recent Papers on Algorithmic Trading / High-Frequency Trading

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Paper Digest Team extracted all recent Algorithmic Trading / High-Frequency Trading related papers on our radar, and generated highlight sentences for them. The results are then sorted by relevance & date. In addition to this ‘static’ page, we also provide a real-time version of this article, which has more coverage and is updated in real time to include the most recent updates on this topic. Readers may also like to review the list of recent patents on Algorithmic Trading / High-Frequency Trading, In addition to this static page updated bi-weekly, we also provide an online version of this article, which is updated on a daily basis to include the most recent work on this topic.

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TABLE 1: Paper Digest: Recent Papers on Algorithmic Trading / High-Frequency Trading

Paper Author(s) Source Date
1 Empirical Analysis of The Relationship Between Carbon Trading Price and Stock Price of High Carbon Emitting Firms Based on VAR Model – Evidence from Chinese Listed Companies
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Highlight: The research aims to explore the relationship between carbon trading prices and stock prices in various high emission industries in China and analyze the attitudes and behaviors of enterprises towards carbon trading.		 Yukun Song; Yang Liu; Environmental science and pollution research international 2023-12-01
2 Gambling, Cryptocurrency, and Financial Trading App Marketing in English Premier League Football: A Frequency Analysis of In-game Logos
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Highlight: We performed a frequency analysis of logos associated with gambling, cryptocurrency, and financial trading across 10 broadcasts from the 2022/23 EPL season.		 Jamie Torrance; Conor Heath; Maira Andrade; Philip Newall; Journal of behavioral addictions 2023-11-27
3 FinMem: A Performance-Enhanced LLM Trading Agent with Layered Memory and Character Design
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Highlight: While LLMs are efficient in decoding human instructions and deriving solutions by holistically processing historical inputs, transitioning to purpose-driven agents requires a supplementary rational architecture to process multi-source information, establish reasoning chains, and prioritize critical tasks. Addressing this, we introduce \textsc{FinMem}, a novel LLM-based agent framework devised for financial decision-making.		 YANGYANG YU et. al. arxiv-q-fin.CP 2023-11-22
4 Predicting Risk/reward Ratio in Financial Markets for Asset Management Using Machine Learning
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Highlight: In this study, we introduce a novel algorithm specifically designed for forecasting the profit and loss outcomes of trading activities.		 Reza Yarbakhsh; Mahdieh Soleymani Baghshah; Hamidreza Karimaghaie; arxiv-q-fin.CP 2023-11-15
5 Advancing Algorithmic Trading: A Multi-Technique Enhancement of Deep Q-Network Models
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Highlight: This study enhances a Deep Q-Network (DQN) trading model by incorporating advanced techniques like Prioritized Experience Replay, Regularized Q-Learning, Noisy Networks, Dueling, and Double DQN.		 Gang Hu; arxiv-q-fin.CP 2023-11-09
6 A Framework for Enhancing Stock Investment Performance By Predicting Important Trading Points with Return-Adaptive Piecewise Linear Representation and Batch Attention Multi-Scale Convolutional Recurrent Neural Network
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Abstract: Efficient stock status analysis and forecasting are important for stock market participants to be able to improve returns and reduce associated risks. However, stock market data …		 Yu Lin; Ben Liu; Entropy (Basel, Switzerland) 2023-10-30
7 Optimal Strategies for Round-Trip Pairs Trading Under Geometric Brownian Motions
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Highlight: This paper is concerned with an optimal strategy for simultaneously trading a pair of stocks.		 Emily Crawford Das; Jingzhi Tie; Qing Zhang; arxiv-math.OC 2023-10-24
8 Visualizing Profitability: A Heatmap Approach to Evaluate Bitcoin Futures Trading Using VMA Trading Rules
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Highlight: One of these trading strategies is the variable length moving average (VMA), whose flexibility benefit has not been fully explored in prior research. To fill this gap, we evaluate Bitcoin futures using VMA trading rules and provide the results in a heatmap diagram.		 Min-Yuh Day; Yensen Ni; Chinning Hsu; Paoyu Huang; Heliyon 2023-10-21
9 A Framework for Empowering Reinforcement Learning Agents with Causal Analysis: Enhancing Automated Cryptocurrency Trading
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Highlight: To this end, we present CausalReinforceNet, a framework framed as a decision support system.		 Rasoul Amirzadeh; Dhananjay Thiruvady; Asef Nazari; Mong Shan Ee; arxiv-cs.AI 2023-10-13
10 Study on Distributed Hydrogen Block Chain Trading Mechanism Based on Game Strategy
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Abstract: The hydrogen market trading mechanism has problems such as high transaction costs and a small market scale, making it difficult to meet the demand for large-scale renewable energy …		 Chongshi Wang; Yuede Hu; Nan Li; Hao Yang; Conference on Computer Science and Communication Technology 2023-10-11
11 Logic-guided Deep Reinforcement Learning for Stock Trading
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Highlight: In this paper, we propose a novel logic-guided trading framework, termed as SYENS (Program Synthesis-based Ensemble Strategy).		 ZHIMING LI et. al. arxiv-cs.CE 2023-10-09
12 Market Crowds’ Trading Behaviors, Agreement Prices, and The Implications of Trading Volume
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Highlight: Here we show that trading volume probability represents the frequency of market crowd’s trading action in terms of behavior analysis, and test two adaptive hypotheses relevant to the volume uncertainty associated with price in China stock market.		 LEILEI SHI et. al. arxiv-q-fin.GN 2023-10-08
13 CAD: Clustering And Deep Reinforcement Learning Based Multi-Period Portfolio Management Strategy
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Highlight: In this paper, we present a novel trading strategy that integrates reinforcement learning methods with clustering techniques for portfolio management in multi-period trading.		 Zhengyong Jiang; Jeyan Thiayagalingam; Jionglong Su; Jinjun Liang; arxiv-q-fin.PM 2023-10-02
14 NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading
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Highlight: We introduce NoxTrader, a sophisticated system designed for portfolio construction and trading execution with the primary objective of achieving profitable outcomes in the stock market, specifically aiming to generate moderate to long-term profits.		 Hsiang-Hui Liu; Han-Jay Shu; Wei-Ning Chiu; arxiv-q-fin.PM 2023-10-01
15 Asynchronous Deep Double Dueling Q-learning for Trading-signal Execution in Limit Order Book Markets
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Abstract: We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders. …		 Peer Nagy; Jan-Peter Calliess; Stefan Zohren; Frontiers in artificial intelligence 2023-09-25
16 Gray-box Adversarial Attack of Deep Reinforcement Learning-based Trading Agents
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Highlight: In this research, we demonstrate that a gray-box approach for attacking a Deep RL-based trading agent is possible by trading in the same stock market, with no extra access to the trading agent.		 Foozhan Ataiefard; Hadi Hemmati; arxiv-cs.LG 2023-09-25
17 Distributed Collaborative Optimal Dispatch of Integrated Energy Systems Considering Stepped Carbon Trading
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Abstract: Integrated energy system (IES) is significant to achieve the goal of carbon peak and carbon neutrality. IES is composed of multiple interconnected micro energy grids, with obvious …		 LIQUN HAN et. al. Other Conferences 2023-09-25
18 EarnHFT: Efficient Hierarchical Reinforcement Learning for High Frequency Trading
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Highlight: Second, the dramatic price fluctuations and market trend changes of Crypto make existing algorithms fail to maintain satisfactory performance. To tackle these challenges, we propose an Efficient hieArchical Reinforcement learNing method for High Frequency Trading (EarnHFT), a novel three-stage hierarchical RL framework for HFT.		 MOLEI QIN et. al. arxiv-q-fin.TR 2023-09-22
19 Stock Market Sentiment Classification and Backtesting Via Fine-tuned BERT
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Highlight: And for non-strongly efficient trading markets, human emotions and expectations always dominate market trends and trading decisions. Therefore, this paper starts from the theory of emotion, taking East Money as an example, crawling user comment titles data from its corresponding stock bar and performing data cleaning.		 Jiashu Lou; arxiv-q-fin.CP 2023-09-21
20 Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis
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Highlight: The paper investigates different models of sizing in financial trading and backtest to high volatility situations to understand how sizing models can lower the models of VaR during crisis events.		 S. M. Masrur Ahmed; arxiv-q-fin.CP 2023-09-16
21 C++ Design Patterns for Low-latency Applications Including High-frequency Trading
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Highlight: This work aims to bridge the existing knowledge gap in the optimisation of latency-critical code, specifically focusing on high-frequency trading (HFT) systems.		 Paul Bilokon; Burak Gunduz; arxiv-cs.PF 2023-09-08
22 Extending The Omega Model with Momentum and Reversal Strategies to Intraday Trading
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Highlight: This study develops the Omega model integrated with momentum and reversal strategies using high-frequency data on the component stocks of the S&P 500 Index and the NASDAQ 100.		 Jing-Rung Yu; Chieh-Hui Wei; Chi-Ju Lai; Wen-Yi Lee; PloS one 2023-09-08
23 TradingGPT: Multi-Agent System with Layered Memory and Distinct Characters for Enhanced Financial Trading Performance
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Highlight: This can result in LLMs struggling to prioritize immediate and critical tasks efficiently. To bridge this gap, we introduce an innovative LLM multi-agent framework endowed with layered memories.		 Yang Li; Yangyang Yu; Haohang Li; Zhi Chen; Khaldoun Khashanah; arxiv-q-fin.PM 2023-09-07
24 Signature Trading: A Path-Dependent Extension of The Mean-Variance Framework with Exogenous Signals
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Highlight: In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies in the joint signal-asset dynamics, naturally extending traditional factor models, while keeping the resulting formulas lightweight and easily interpretable.		 Owen Futter; Blanka Horvath; Magnus Wiese; arxiv-q-fin.PM 2023-08-29
25 Assessment of Users’ Adoption Behaviour for Stock Market Investment Through Online Applications
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Abstract: Investing in stocks has become increasingly accessible, with beginners able to start an account via a brokerage’s website or mobile app with very little money. Online trading …		 Amar Johri; Mohammad Wasiq; Harpreet Kaur; Mohammad Asif; Heliyon 2023-08-29
26 How Do Carbon Trading Price and Carbon Tax Rate Affect Power Project Portfolio Investment and Carbon Emission: An Analysis Based on Uncertainty Theory
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Abstract: Responding to the social, economic, and environmental call to resolve current sustainability challenges, the concern about carbon dioxide emission reduction should be incorporated …		 Xiaoxia Huang; Jang Su Kim; Kwon Ryong Hong; Nam Hyok Kim; Journal of environmental management 2023-08-22
27 Mastering Stock Markets with Efficient Mixture of Diversified Trading Experts
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Highlight: One major limitation of existing works is that investment decisions are made based on one individual neural network predictor with high uncertainty, which is inconsistent with the workflow in real-world trading firms. To tackle this limitation, we propose AlphaMix, a novel three-stage mixture-of-experts (MoE) framework for quantitative investment to mimic the efficient bottom-up hierarchical trading strategy design workflow of successful trading companies.		 Shuo Sun; Xinrun Wang; Wanqi Xue; Xiaoxuan Lou; Bo An; kdd 2023-08-04
28 VolTS: A Volatility-based Trading System to Forecast Stock Markets Trend Using Statistics and Machine Learning
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Highlight: In this article, we propose a new volatility-based trading strategy that combines statistical analysis with machine learning techniques to forecast stock markets trend.		 Ivan Letteri; arxiv-q-fin.TR 2023-07-25
29 Data Cross-Segmentation for Improved Generalization in Reinforcement Learning Based Algorithmic Trading
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Highlight: In these markets, the trading strategy must consider the long-term effects of taking positions that are relatively more difficult to change. In this work, we propose a Reinforcement Learning (RL) algorithm that trades based on signals from a learned predictive model and addresses these challenges.		 VIKRAM DUVVUR et. al. arxiv-cs.LG 2023-07-18
30 Pairs-trading System Using Quantum-inspired Combinatorial Optimization Accelerator for Optimal Path Search in Market Graphs
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Highlight: Here we report a stock pairs-trading system that finds trading opportunities for any two stocks in an $N$-stock universe using a combinatorial optimization accelerator based on a quantum-inspired algorithm called simulated bifurcation.		 Kosuke Tatsumura; Ryo Hidaka; Jun Nakayama; Tomoya Kashimata; Masaya Yamasaki; arxiv-cs.ET 2023-07-12
31 Decentralised Finance and Automated Market Making: Execution and Speculation
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Highlight: We use Uniswap v3 data to study price, liquidity, and trading cost dynamics, and to motivate the models.		 Álvaro Cartea; Fayçal Drissi; Marcello Monga; arxiv-q-fin.TR 2023-07-07
32 Is Carbon Emission Trading A Green Blessing or A Curse for Firm Performance in China? A Quasi-experiment Design and Exploring The Spatial Spillover Effect
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Highlight: We show that: a) corporate participation in carbon emission trading market can enhance firm financial performance; b) an increase in green innovation ability and a decrease in strategic choice variance both partially mediate the relationship between carbon emission trading and firm performance; c) executive background heterogeneity and external environmental uncertainty moderate the relationship between carbon emission trading and firm performance in different directions; d) our further study indicates that carbon emission trading pilot policy has a spatial spillover effect on firm financial performance in the neighboring provinces.		 Shaopeng Zhang; Huanhui Gan; Environmental science and pollution research international 2023-07-03
33 Unveiling The Potential of Sentiment: Can Large Language Models Predict Chinese Stock Price Movements?
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Highlight: This discourse primarily revolves around harnessing the remarkable comprehension capabilities of LLMs to extract sentiment factors which facilitate informed and high-frequency investment portfolio adjustments. To ensure successful implementations of these LLMs into the analysis of Chinese financial texts and the subsequent trading strategy development within the Chinese stock market, we provide a rigorous and encompassing benchmark as well as a standardized back-testing framework aiming at objectively assessing the efficacy of various types of LLMs in the specialized domain of sentiment factor extraction from Chinese news text data.		 HAOHAN ZHANG et. al. arxiv-cs.CL 2023-06-25
34 Agent Performing Autonomous Stock Trading Under Good and Bad Situations
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Highlight: In this project, we have developed a pipeline that simulates the stock trading environment and have trained an agent to automate the stock trading process with deep reinforcement learning methods, including deep Q-learning, deep SARSA, and the policy gradient method.		 Yunfei Luo; Zhangqi Duan; arxiv-cs.LG 2023-06-06
35 Trading Strategy Based on Dynamic Programming
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Abstract: In order to obtain more stable profit expectations, this article established an index enhancement strategy. With the continuous development of China’s financial market, an index …		 MENGYUAN HU et. al. Conference on Machine Learning and Computer Application 2023-05-25
36 Social Informedness and Investor Sentiment in The GameStop Short Squeeze
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Abstract: We examine investor behavior on social media platforms related to the GameStop (GME) short squeeze in early 2021. Individual investors stimulated the stock market via Reddit …		 Kwansoo Kim; Sang-Yong Tom Lee; Robert J Kauffman; Electronic markets 2023-05-23
37 Copula-Based Trading of Cointegrated Cryptocurrency Pairs
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Highlight: This research introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies.		 Masood Tadi; Jiří Witzany; arxiv-q-fin.TR 2023-05-11
38 Sustainable Electric Vehicle Charging Scheme: User Requirements in Designing Energy Trading Algorithm
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Abstract: Promoting Electrical Vehicles (EVs) as a cleaner alternative to traditional Internal Combustion Engine (ICE) vehicles is an important step towards transformation to a sustainable …		 A. C. W. Haputhanthirige; C. Liyanage; R. Yapa; R. Udagedara; IOP Conference Series: Earth and Environmental Science 2023-05-01
39 Peer-to-Peer Transactive Energy Trading of A Reconfigurable Multi-Energy Network
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Abstract: This paper proposes a bi-level peer-to-peer (P2P) multi-energy trading framework for a coupled distribution network (DN) and district heating network (DHN). At the lower level, …		 Yuexian Zou; Yan Xu; X. Feng; H. Nguyen; IEEE Transactions on Smart Grid 2023-05-01
40 Optimum Output Long Short-Term Memory Cell for High-Frequency Trading Forecasting
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Highlight: This type of neural network is formed based on cells that perform sequential and stale calculations via gates and states without knowing whether their order, within the cell, is optimal. In this paper, we propose a revised and real-time adjusted long short-term memory cell that selects the best gate or state as its final output.		 Adamantios Ntakaris; Moncef Gabbouj; Juho Kanniainen; arxiv-cs.LG 2023-04-17
41 The Roles of Carbon Trading System and Sustainable Energy Strategies in Reducing Carbon Emissions-An Empirical Study in China with Panel Data
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Abstract: Carbon emission reduction is now a vital element in urban development. This study explores the effectiveness of the two emerging methods to reduce carbon emission, which are …		 Yue Yu; Yishuang Xu; International journal of environmental research and public … 2023-04-17
42 Do Investors’ Personalities Predict Market Winners? Experimental Setting and Machine Learning Analysis
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Abstract: This study uses experiments and surveys from 146 participants who participated in equity trading to explore the predictive power of the Big-five personality traits, social …		 Huan Huu Nguyen; Vu Minh Ngo; Thao Thi Phuong Le; Phuc Van Nguyen; Heliyon 2023-04-05
43 A High-frequency Trading Volume Prediction Model Using Neural Networks
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 Xiaojie Xu; Yun Zhang; Decision Analytics Journal 2023-04-01
44 Research on Stock Trading Prediction Based on MAD and Q-learning
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Abstract: The accuracy of traditional stock trading prediction is lacking, and stock trading is risky, so this study tries to use machine learning models for stock trading change prediction …		 YIKAI SUN et. al. Fifth International Conference on Computer Information … 2023-03-28
45 On-line Reinforcement Learning for Optimization of Real-life Energy Trading Strategy
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Highlight: This paper considers automated trading on the DA energy market by a medium size prosumer.		 Łukasz Lepak; Paweł Wawrzyński; arxiv-cs.LG 2023-03-28
46 A High Performance Bitcoin Trading Strategy Prediction Model
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Abstract: First released as open source in 2009 by the pseudonym Satoshi Nakamoto, Bitcoin is the longest running and best known cryptocurrency. Bitcoin’s transaction history is …		 Yunjing Zhang; Jiaxu Sun; Hengbin Liu; Shaoqing Shi; Qiufeng Wang; Fifth International Conference on Computer Information … 2023-03-28
47 The Impact and Profitability of Day Trading Following The Relaxation of Day Trading Restrictions in Taiwan
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Abstract: The relaxation of day trading restrictions in Taiwan at the start of 2016 resulted in a significant increase in day trading volume, which piqued our interest in researching the …		 Wan-Hsiu Cheng; Yuhsin Chen; Paoyu Huang; Yensen Ni; Mei-Chu Liang; Heliyon 2023-03-27
48 Stock Portfolio Management By Using Fuzzy Ensemble Deep Reinforcement Learning Algorithm
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Abstract: The research objective of this article is to train a computer (agent) with market information data so it can learn trading strategies and beat the market index in stock trading …		 Zheng Hao; Haowei Zhang; Yipu Zhang; Journal of Risk and Financial Management 2023-03-15
49 Improving CNN-base Stock Trading By Considering Data Heterogeneity and Burst
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Abstract: In recent years, there have been quite a few attempts to apply intelligent techniques to financial trading, i.e., constructing automatic and intelligent trading framework based on …		 KEER YANG et. al. ArXiv 2023-03-11
50 Algorithm Trading Strategy Based on GARCH and LSTM Models
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Abstract: The prediction of the volatility of stock has been a topic of great interest in the financial realm. In this paper, we aim to create new trading strategies based on the volatility …		 Z. Wei; Jingyi Cui; International Conference on Green Communication, Network, … 2023-03-08
51 Where Will Corporate Capital Flow To? Revisiting The Impact of China’s Pilot Carbon Emission Trading System on Investment
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Abstract: As a policy instrument to address climate change, the Carbon Emissions Trading System (ETS) will directly affect the location choice and development strategies of high-emitting …		 Yong Qi; Mingsheng Yuan; Tingting Bai; Journal of environmental management 2023-03-08
52 Turn-of-the-candle Effect in Bitcoin Returns
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Abstract: This study discovers a statistically and economically significant intraday anomaly on Bitcoin markets. Positive returns of 0.58 bps per minute are disproportionately concentrated …		 Savva Shanaev; Mikhail Vasenin; Roman Stepanov; Heliyon 2023-03-02
53 Heterogeneously Informed Trading and The Stock Market Efficiency During The COVID-19 Pandemic
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Highlight: This study investigates the U.S. stock market efficiency from the symmetric and asymmetric perspectives during the COVID-19 pandemic.		 Liao Xu; Mingqi Xue; Xuan Zhang; Yang Zhao; International review of financial analysis 2023-03-02
54 Exploring Arbitrage Opportunities Between China’s Carbon Markets Based on Statistical Arbitrage Pairs Trading Strategy
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 Boqiang Lin; Zhizhou Tan; Environmental Impact Assessment Review 2023-03-01
55 A Privacy-Preserving Blockchain-Based Method to Optimize Energy Trading
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Abstract: It is always desired for optimizing energy trading to disable manipulation and preserve individual privacy. These two features become increasingly appealing for an energy market …		 J. Ping; Zheng Yan; Sijie Chen; IEEE Transactions on Smart Grid 2023-03-01
56 Exploring The Advantages of Transformers for High-Frequency Trading
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Abstract: This paper explores the novel deep learning Transformers architectures for high-frequency Bitcoin-USDT log-return forecasting and compares them to the traditional Long Short-Term …		 Fazl Barez; Paul Bilokon; Arthur Gervais; Nikita Lisitsyn; ArXiv 2023-02-20
57 Co-trading Networks for Modeling Dynamic Interdependency Structures and Estimating High-dimensional Covariances in US Equity Markets
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Highlight: By leveraging a co-trading-based pairwise similarity measure, we propose a novel method to construct dynamic networks of stocks.		 Yutong Lu; Gesine Reinert; Mihai Cucuringu; arxiv-q-fin.TR 2023-02-18
58 Designing Fairness in Autonomous Peer-to-peer Energy Trading
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Abstract: Several autonomous energy management and peer-to-peer trading mechanisms for future energy markets have been recently proposed based on optimization and game theory. In this …		 VARSHA BEHRUNANI et. al. ArXiv 2023-02-09
59 Empirical Analysis in Limit Order Book Modeling for Nikkei 225 Stocks with Cox-type Intensities
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Highlight: In this paper, we build on the analysis of Muni Toke and Yoshida (2020) and conduct several empirical studies using high-frequency financial data.		 Shunya Chomei; arxiv-q-fin.TR 2023-02-03
60 An IPSO-FW-WSVM Method for Stock Trading Signal Forecasting
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Abstract: Trading signal detection is a very popular yet challenging research topic in the financial investment area. This paper develops a novel method integrating piecewise linear …		 Yingjun Chen; Zhigang Zhu; Entropy (Basel, Switzerland) 2023-02-02
61 The Impact of The Russia-Ukraine War on The Cryptocurrency Market
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Abstract: This research provides the very first empirical investigation of the impact of the Russia-Ukraine war on the cryptocurrency market (Bitcoin trading volume, and returns). The …		 Isaac Appiah‐Otoo; Asian Economics Letters 2023-01-31
62 Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets
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Highlight: We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders.		 Peer Nagy; Jan-Peter Calliess; Stefan Zohren; arxiv-q-fin.TR 2023-01-20
63 Domain-adapted Learning and Interpretability: DRL for Gas Trading
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Highlight: In this paper, we present a practical implementation of Deep RL for trading natural gas futures contracts.		 Yuanrong Wang; Yinsen Miao; Alexander CY Wong; Nikita P Granger; Christian Michler; arxiv-q-fin.TR 2023-01-19
64 A Three-Stage Multi-Energy Trading Strategy Based on P2P Trading Mode
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Abstract: This paper proposes a three-stage multi-energy sharing strategy for a gas-electricity integrated energy system (IES). It aims to solve the multi-energy imbalance problem among …		 Jie Yang; Wenya Xu; K. Ma; Conghui Li; IEEE Transactions on Sustainable Energy 2023-01-01
65 Stock Market Price Prediction Using Machine Learning
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Abstract: The stock market is known for its high volatility, fast changes, and nonlinear behaviour; investors should be prepared for all three. It is highly challenging to precisely …		 SHARIQ MOHAMMED et. al. 2023 5th International Conference on Smart Systems and … 2023-01-01
66 CBITS: Crypto BERT Incorporated Trading System
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Abstract: Most textual analysis-based trading approaches in cryptocurrency (crypto) involve lexical, rule-based methods for extracting news sentiments. Furthermore, language models (LMs) …		 Gyeongmin Kim; Minsuk Kim; B. Kim; Heu-Jeoung Lim; IEEE Access 2023-01-01
67 A Mean-VaR Based Deep Reinforcement Learning Framework for Practical Algorithmic Trading
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Abstract: It is difficult to automatically produce trading signals based on previous transaction data and the financial status of assets because of the significant noise and …		 Boyi Jin; IEEE Access 2023-01-01
68 Optimizing Automated Trading Systems with Deep Reinforcement Learning
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Abstract: In this paper, we propose a novel approach to optimize parameters for strategies in automated trading systems. Based on the framework of Reinforcement learning, our work includes …		 Minh Tran; Duc Pham-Hi; M. Bui; Algorithms 2023-01-01
69 A Retail Investor in A Cobweb of Social Networks
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Highlight: In this study, using AI, we empirically examine the irrational behaviour, specifically attention-driven trading and emotion-driven trading such as consensus trading, of retail investors in an emerging stock market.		 Tamara Teplova; Aleksandr Tomtosov; Tatiana Sokolova; PloS one 2022-12-30
70 A Prediction Model of Stock Market Trading Actions Using Generative Adversarial Network and Piecewise Linear Representation Approaches
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Abstract: Supervised learning applied stock prediction tasks and obtained satisfactory performance. The trading strategies are very complex and diverse but supervised learning is only …		 Jheng-Long Wu; Xian-Rong Tang; Chin-Hsiung Hsu; Soft computing 2022-12-09
71 A Novel Deep Reinforcement Learning Based Automated Stock Trading System Using Cascaded LSTM Networks
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Highlight: In this paper, to capture the hidden information, we propose a DRL based stock trading system using cascaded LSTM, which first uses LSTM to extract the time-series features from stock daily data, and then the features extracted are fed to the agent for training, while the strategy functions in reinforcement learning also use another LSTM for training.		 Jie Zou; Jiashu Lou; Baohua Wang; Sixue Liu; arxiv-q-fin.CP 2022-12-05
72 A Pathway Towards The Development and Evolution of Consumer Behavior: Policy Directions for Sustainable Development and Improvement of Nutrition
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Abstract: The virtuality, concealment, uncertainty and complexity of online trading make the online food trading market have security risks, while the lack of information, information …		 Fang Su; Jiangbo Chang; Xing Zhang; Shah Fahad; Shimza Bint Aslam; Frontiers in nutrition 2022-12-02
73 Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal
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Abstract: A key issue for decentralised markets like FX is how the market responds to extreme situations. Using data on FX transactions with a precise identi fi cation of Algorithmic trading …		 Francis Breedon; Louisa Chen; A. Ranaldo; Nicholas Vause; SSRN Electronic Journal 2022-12-01
74 Mathematical Processing of Trading Strategy Based on Long Short-term Memory Neural Network Model
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Abstract: At present, gold and bitcoin have become mainstream assets in market transactions. Due to the volatility of gold and bitcoin prices, we can buy and sell assets like gold and …		 Han-Yang Wang; An-Qi Li; Chao-Chen Tie; Chao-Jun Wang; Yun-Hua Xu; Frontiers in computational neuroscience 2022-11-28
75 Optimizing Stock Option Forecasting with The Assembly of Machine Learning Models and Improved Trading Strategies
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Highlight: This paper introduced key aspects of applying Machine Learning (ML) models, improved trading strategies, and the Quasi-Reversibility Method (QRM) to optimize stock option forecasting and trading results.		 Zheng Cao; Raymond Guo; Wenyu Du; Jiayi Gao; Kirill V. Golubnichiy; arxiv-q-fin.CP 2022-11-28
76 Designing Efficient Pair-Trading Strategies Using Cointegration for The Indian Stock Market
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Highlight: This paper presents a cointegration-based approach that identifies stocks listed in the five sectors of the National Stock Exchange (NSE) of India for designing efficient pair-trading portfolios.		 Jaydip Sen; arxiv-q-fin.PM 2022-11-13
77 Are Large Traders Harmed By Front-running HFTs?
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Highlight: This paper studies the influences of a high-frequency trader (HFT) on a large trader whose future trading is predicted by the former.		 Ziyi Xu; Xue Cheng; arxiv-q-fin.TR 2022-11-11
78 Researches Advanced in Financial Trading Systems Based on Reinforcement Learning
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Abstract: The financial trading system has always been a hot application field in the reinforcement learning community, which aims to predict market trends and maximize profits. However, …		 Hengyue Zhu; Other Conferences 2022-11-10
79 Algorithmic Trading with Directional Changes
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 Adesola Adegboye; Michael Kampouridis; F. E. B. Otero; Artificial Intelligence Review 2022-11-07
80 A Pairs Trading Strategy Based on Mixed Copulas
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 Fernando A.B. Sabino da Silva; F. Ziegelmann; J. Caldeira; The Quarterly Review of Economics and Finance 2022-11-01
81 The Optimal Blockchain Asset Trading Settlement Based on PoS Protocol
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 Chao Li; Li Wang; Haijun Yang; Decision Support Systems 2022-11-01
82 DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunities
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Highlight: However, a vast majority of existing RL methods focus on the relatively low frequency trading scenarios (e.g., day-level) and fail to capture the fleeting intraday investment opportunities due to two major challenges: 1) how to effectively train profitable RL agents for intraday investment decision-making, which involves high-dimensional fine-grained action space; 2) how to learn meaningful multi-modality market representation to understand the intraday behaviors of the financial market at tick-level. Motivated by the efficient workflow of professional human intraday traders, we propose DeepScalper, a deep reinforcement learning framework for intraday trading to tackle the above challenges.		 SHUO SUN et. al. cikm 2022-10-29
83 Optimal Action Space Search: An Effective Deep Reinforcement Learning Method for Algorithmic Trading
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Highlight: In this paper, we propose an end-to-end DRL method that explores solutions on the whole graph via a probabilistic dynamic programming algorithm.		 Zhongjie Duan; Cen Chen; Dawei Cheng; Yuqi Liang; Weining Qian; cikm 2022-10-29
84 DNN-ForwardTesting: A New Trading Strategy Validation Using Statistical Timeseries Analysis and Deep Neural Networks
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Highlight: In this paper, we propose a new trading strategy, called DNN-forwardtesting, that determines the strategy to apply by testing it on the possible future predicted by a deep neural network that has been designed to perform stock price forecasts and trained with the market historical data.		 Ivan Letteri; Giuseppe Della Penna; Giovanni De Gasperis; Abeer Dyoub; arxiv-q-fin.TR 2022-10-20
85 The Effect of Risk-based Trading and Within-herd Measures on Mycobacterium Avium Subspecies Paratuberculosis Spread Within and Between Irish Dairy Herds
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Abstract: Johne’s disease (bovine paratuberculosis) is an endemic disease caused by Mycobacterium avium subspecies paratuberculosis (Map). Map is transmitted between herds primarily through …		 F BIEMANS et. al. Preventive veterinary medicine 2022-10-19
86 Superkurtosis
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Abstract: : Risk metrics users assume that the moments of asset returns exist, irrespectively of the trading frequency, hence the observed values of these moments are used to capture the …		 Stavros Degiannakis; G. Filis; Grigorios Siourounis; Lorenzo Trapani; Journal of Money, Credit and Banking 2022-10-18
87 Distributed Supervision Model for Enterprise Data Asset Trading Based on Blockchain Multi-Channel in Industry Alliance
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Abstract: Compared with traditional physical commodities, data are intangible and easy to leak, and the related trading process has problems, such as complex participating roles, lengthy …		 Jianxiong Zhang; Bing Guo; Xuefeng Ding; Dasha Hu; Yuming Jiang; Sensors (Basel, Switzerland) 2022-10-15
88 A Dilemma of Self-interest Vs. Ethical Responsibilities in Political Insider Trading
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Highlight: We discuss political ethics and social contract theory to re-engage the debate on whether political insider trading is and raises the issues of conflict of interest and social distrust.		 Jan Hanousek; Hoje Jo; Christos Pantzalis; Jung Chul Park; Journal of business ethics : JBE 2022-10-14
89 Algorithmic Trading Using Continuous Action Space Deep Reinforcement Learning
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Highlight: This paper aims to offer an approach using Twin-Delayed DDPG (TD3) and the daily close price in order to achieve a trading strategy in the stock and cryptocurrency markets.		 Naseh Majidi; Mahdi Shamsi; Farokh Marvasti; arxiv-cs.LG 2022-10-07
90 Fast and Slow Optimal Trading with Exogenous Information
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Highlight: We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic control problems, in which the high-frequency trader exploits the available information on a price predicting signal more frequently, but is also subject to periodic end of day inventory constraints.		 Rama Cont; Alessandro Micheli; Eyal Neuman; arxiv-q-fin.TR 2022-10-04
91 Deep Reinforcement Learning to Automate Cryptocurrency Trading
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Abstract: This research produces a deep reinforcement learning model for algorithmic trading of cryptocurrencies. The model aims to help traders earn greater profits than using traditional …		 D. Mahayana; Elbert Shan; Muhammad Fadhl’Abbas; 2022 12th International Conference on System Engineering … 2022-10-03
92 On Robustness of Double Linear Trading with Transaction Costs
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Highlight: In this paper, we propose a new class of trading policies called the {double linear policy} in an asset trading scenario when the transaction costs are involved.		 Chung-Han Hsieh; arxiv-math.OC 2022-09-25
93 Cooperative Trading Strategy of Carbon Emitting Power Generation Units Participating in Carbon and Electricity Markets
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Abstract: Energy-saving and emission reduction will become the focus of the energy industry in the future. The coordination of the carbon and electricity markets can help achieve the goals …		 YUYAN YANG et. al. Frontiers in Energy Research 2022-09-13
94 The Impact of China’s Carbon Emission Trading Policy on Green Total Factor Productivity – Influence Analysis Based on Super-EBM and Multiple Mediators
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Abstract: Can China’s carbon trading policy promote regional green total factor productivity? What are the specific influencing processes and mechanisms between the two? In this paper, we …		 Jinqiu Li; Dechun Huang; Xiaoqing Wu; Polish Journal of Environmental Studies 2022-09-12
95 Backtesting Trading Strategies with GAN To Avoid Overfitting
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Highlight: We propose an approach to avoid overfitting: A good (meaning non-overfitting) trading strategy should still work well on paths generated in accordance with the distribution of the historical data.		 Ao Sun; Yuh-Dauh Lyuu; arxiv-cs.CE 2022-09-11
96 Characteristics and Forecast of High-frequency Trading
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 Shigeki Kohda; Kenichi Yoshida; Transactions of the Japanese Society for Artificial … 2022-09-01
97 A Dynamic Internal Trading Price Strategy for Networked Microgrids: A Deep Reinforcement Learning-Based Game-Theoretic Approach
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Abstract: In this study, a novel two-step optimization model is developed for maximizing the amount of internal power trading in a distribution network comprising several networked …		 Van-Hai Bui; A. Hussain; Wencong Su; IEEE Transactions on Smart Grid 2022-09-01
98 Linnet: Limit Order Books Within Switches
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Abstract: Financial trading often relies nowadays on machine learning. However, many trading applications require very short response times, which cannot always be supported by traditional …		 Xinpeng Hong; Changgang Zheng; S. Zohren; Noa Zilberman; Proceedings of the SIGCOMM ’22 Poster and Demo Sessions 2022-08-22
99 Bitcoin or Gold?
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Abstract:  In the topic selection, we need to estimate the prices of bitcoin and gold according to the data given from 2001 to 2012. According to the estimated price, the initial amount is …		 Dongxue Han; Mingliang He; Longyu Wang; Frontiers in Business, Economics and Management 2022-08-08
100 Nonstationary Continuum-Armed Bandit Strategies for Automated Trading in A Simulated Financial Market
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Highlight: To solve the NCAB problem, we propose PRBO, a novel trading algorithm that uses Bayesian optimization and a “bandit-over-bandit” framework to dynamically adjust strategy parameters in response to market conditions.		 Bingde Liu; John Cartlidge; arxiv-cs.MA 2022-08-04
101 A Solution for Bilayer Energy-Trading Management in Microgrids Using Multiblockchain
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Abstract: In recent years, microgrids have attracted much attention as one of the typical applications of the Internet of Things (IoT). With the development of renewable energy, a bilayer …		 Xiaohong Huang; Yong Zhang; Dandan Li; Lu Han; IEEE Internet of Things Journal 2022-08-01
102 Improving Stock Trend Prediction Using LSTM Neural Network Trained on A Complex Trading Strategy
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Abstract: Abstract: Technical analysis in stock trading addresses the crucial matter of making optimal trading decisions promptly. Predicting directional movement in the target market using …		 S. Mahfooz; Iftikhar Ali; M. N. Khan; International Journal for Research in Applied Science and … 2022-07-31
103 Beat Wash-Sale Tax with Multigraph Convolutional Neural Networks Based Trading Strategy
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Abstract: Stock forecasting is a method that uses historical data and mathematical models to predict the future movement of stocks. It gives an indication of how much profit or loss an …		 Qinan Wang; Weiwei Jiang; Security and Communication Networks 2022-07-30
104 How Covid Mobility Restrictions Modified The Population of Investors in Italian Stock Markets (L’evoluzione Della Composizione Del Retail Trading Sul Mercato Azionario Italiano A Seguito Delle Restrizioni Imposte Dalla Pandemia Da Covid) CONSOB – Scuola Normale Superiore Di Pisa
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Abstract: This paper investigates how Covid mobility restrictions impacted the population of investors of the Italian stock market. The analysis tracks the trading activity of individual …		 PAOLA DERIU et. al. SSRN Electronic Journal 2022-07-30
105 A Multi-agent Deep Reinforcement Learning Framework for Algorithmic Trading in Financial Markets
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 Ali Shavandi; Majid Khedmati; Expert Syst. Appl. 2022-07-01
106 A Smart Trader for Portfolio Management Based on Normalizing Flows
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Highlight: In this paper, we study a new kind of portfolio problem, named trading point aware portfolio optimization (TPPO), which aims to obtain excess intraday profit by deciding the portfolio weights and their trading points simultaneously based on microscopic information.		 Mengyuan Yang; Xiaolin Zheng; Qianqiao Liang; Bing Han; Mengying Zhu; ijcai 2022-07-01
107 A Data Science Pipeline for Algorithmic Trading: A Comparative Study of Applications for Finance and Cryptoeconomics
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Highlight: We propose a generally applicable pipeline for designing, programming, and evaluating the algorithmic trading of stock and crypto assets.		 Luyao Zhang; Tianyu Wu; Saad Lahrichi; Carlos-Gustavo Salas-Flores; Jiayi Li; arxiv-cs.HC 2022-06-29
108 Research on Gold and Bitcoin Trading Strategy Based on XGBoost and Zero-one Programming
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Abstract: In the actual trading process, investors can only give the best daily trading strategy based on the past price data of gold and bitcoin, then they need to predict and evaluate the …		 Hao Lin; Yifu He; Mengjie Shi; Other Conferences 2022-06-27
109 Deep Reinforcement Learning Trading Strategy Based on Lstm-a2c Model
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Abstract: Stocks are gaining more and more attention as a form of investment. A good stock trading strategy can help investors gain considerable returns in the rapidly changing stock …		 Nan Zhang; Jingyuan Wang; M. Xiao; Other Conferences 2022-06-15
110 The Complexity of Cryptocurrencies Algorithmic Trading
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Abstract: In this research, we provided an answer to a very important trading question, what is the optimal number of technical tools in order to achieve the best trading results for both …		 Gil Cohen; Mahmoud Qadan; Mathematics 2022-06-12
111 Quantitative Trading Through Random Perturbation Q-Network with Nonlinear Transaction Costs
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Abstract: In recent years, reinforcement learning (RL) has seen increasing applications in the financial industry, especially in quantitative trading and portfolio optimization when the …		 T. Zhu; Wei Zhu; Stats 2022-06-10
112 A Theory of Very Short-time Price Change: Security Price Drivers in Times of High-frequency Trading
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 G. Virgilio; Financial Innovation 2022-06-09
113 A Novel Optimal Profit Resilient Filter Pairs Trading Strategy for Cryptocurrencies
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Abstract: Pairs trading strategies are constructed based on exploiting mean reversion in security prices, which have been demonstrated to perform well for stocks. However, their performance …		 YOU LIANG et. al. 2022 IEEE 46th Annual Computers, Software, and Applications … 2022-06-01
114 Remanufacturing Strategy Choice of A Closed-Loop Supply Chain Network Considering Carbon Emission Trading, Green Innovation, and Green Consumers
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Abstract: Due to increasingly serious environmental pollution problems and governments’ strengthening of environmental impact supervision, manufacturing companies are seeking green …		 Yan Zhou; Xin-Tong Lin; Zhi-Ping Fan; Kar-Hung Wong; International journal of environmental research and public … 2022-06-01
115 The Countercyclical Long-term Operating Accrual-based Trading Strategy in The Stoxx Europe 600 Index: The Importance of Asset and Liability Components
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Abstract: This work uses long-term operating accruals, rather than current, as an accounting measure to identify major anomalies. Past and abundant accounting and financial literature …		 Alberto Sandoval; Javier Márquez; Ignacio Cervera; PloS one 2022-05-26
116 What (If Anything) Is Wrong with High-Frequency Trading?
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Abstract: This essay examines three potential arguments against high-frequency trading and offers a qualified critique of the practice. In concrete terms, it examines a variant of …		 Carl David Mildenberger; Journal of business ethics : JBE 2022-05-26
117 Evolutionary Game Analysis of Air Pollution Co-investment in Emission Reductions By Steel Enterprises Under Carbon Quota Trading Mechanism
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Abstract: Air pollution has become the focus of social attention, and the development of the steel industry has caused serious pollution problems. Currently, air pollution control is …		 Chao Zhang; Xinxin Zhang; Journal of environmental management 2022-05-26
118 Greedy Strategies with Multiobjective Optimization for Investment Portfolio Problem Modeling
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Abstract: The ultimate purpose of portfolio investment is to reduce investment risk and improve total return on the premise of ensuring reasonable allocation of capital. In this paper, we …		 Xinchen Zhang; Linghao Zhang; Qincheng Zhou; Xu Jin; Computational intelligence and neuroscience 2022-05-19
119 DDPG Based on Multi-scale Strokes for Financial Time Series Trading Strategy
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Abstract: With the development of artificial intelligence, more and more financial practitioners apply deep reinforcement learning to financial trading strategies. However, it is difficult …		 Jun Chen; Cong Chen; L. Duan; Zhiqiang Cai; Proceedings of the 2022 8th International Conference on … 2022-05-12
120 Double Auction Mechanisms for Peer-to-peer Energy Trading: A Comparative Analysis
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Abstract: Peer-to-Peer (P2P) energy trading, one of the new paradigms driven by decentralization, decarbonization, and digitalization of the smart grid, has become a widespread technique in …		 Sweta Malik; S. Thakur; Maeve Duffy; J. Breslin; 2022 IEEE 7th International Energy Conference (ENERGYCON) 2022-05-09
121 Pairs Trading Under Delayed Cointegration
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Abstract: Continuous-time pairs trading rules are often developed based on the diffusion limit of the first-order vector autoregressive (VAR(1)) cointegration models. Empirical …		 Tingjin Yan; Mei Choi Chiu; H. Y. Wong; Quantitative Finance 2022-05-05
122 Machine Learning and Social Action in Markets: From First- to Second-generation Automated Trading
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Abstract: Machine learning (ML) models are gaining traction in securities trading because of their ability to recognize and predict patterns. This study examines how ML is transforming …		 C. Borch; Bo Hee Min; Economy and Society 2022-05-04
123 A New Moving Average Approach to Predict The Direction of Stock Movements in Algorithmic Trading
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 Üzeyir Aycel; Yunus Santur; Journal of New Results in Science 2022-04-30
124 Multi-type Data Fusion Framework Based on Deep Reinforcement Learning for Algorithmic Trading
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 Peipei Liu; Yunfeng Zhang; Fangxun Bao; Xunxiang Yao; Caiming Zhang; Appl. Intell. 2022-04-30
125 The Upper Bound of Cumulative Return of A Trading Series
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Abstract: We present an upper bound of cumulative return in financial trading time series to formulate the most possible profit of many trades. The bound can be used to formally analyze the …		 Can Yang; Junjie Zhai; Helong Li; PloS one 2022-04-28
126 Research on Investment Strategies of Stock Market Based on Sentiment Indicators and Deep Reinforcement Learning
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Abstract: With the application of artificial intelligence in the financial field, quantitative trading is considered to be profitable. Based on this, this paper proposes an improved deep …		 Pengcheng Zhou; Jing Tang; Yizhuo Li; Other Conferences 2022-04-22
127 The Profitability of Technical Analysis During The COVID-19 Market Meltdown
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Abstract: This article explores the profitability of technical trading rules around the COVID-19 pandemic market meltdown for the S&P 500 index, Bitcoin, Comex gold spot, crude oil WTI, and …		 Camillo Lento; N. Gradojevic; Journal of Risk and Financial Management 2022-04-20
128 Outperforming Algorithmic Trading Reinforcement Learning Systems: A Supervised Approach to The Cryptocurrency Market
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 L. FELIZARDO et. al. Expert Syst. Appl. 2022-04-01
129 How Online Discussion Board Activity Affects Stock Trading: The Case of GameStop
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Abstract: In January 2021, the stock price of NASDAQ-listed GameStop Corporation surged more than twenty-fold for no discernible economic reason. Many observers attributed this broadly …		 André Betzer; Jan Philipp Harries; Financial markets and portfolio management 2022-03-30
130 An Ensembling Architecture Incorporating Machine Learning Models and Genetic Algorithm Optimization for Forex Trading
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Abstract: Algorithmic trading has become the standard in the financial market. Traditionally, most algorithms have relied on rule-based expert systems which are a set of complex if/then …		 LEONARD KIN YUNG LOH et. al. FinTech 2022-03-27
131 Intelligent Systematic Investment Agent: An Ensemble of Deep Learning and Evolutionary Strategies
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Highlight: Our paper proposes a new approach for developing long-term investment strategies using an ensemble of evolutionary algorithms and a deep learning model by taking a series of short-term purchase decisions.		 Prasang Gupta; Shaz Hoda; Anand Rao; arxiv-cs.AI 2022-03-24
132 Multi-Time Scale Trading Simulation of Source Grid Load Storage Based on Continuous Trading Mechanism for China
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Abstract: The proportion of new energy in power systems is increasing yearly. How to deal with the adverse impact of new energy output uncertainty on its participation in trading from the …		 XUN DOU et. al. Sensors (Basel, Switzerland) 2022-03-18
133 Multi-Objective Reward Generalization: Improving Performance of Deep Reinforcement Learning for Applications in Single-asset Trading
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Highlight: We investigate the potential of Multi-Objective, Deep Reinforcement Learning for stock and cryptocurrency single-asset trading: in particular, we consider a Multi-Objective algorithm which generalizes the reward functions and discount factor (i.e., these components are not specified a priori, but incorporated in the learning process).		 Federico Cornalba; Constantin Disselkamp; Davide Scassola; Christopher Helf; arxiv-cs.LG 2022-03-09
134 Detecting Data-driven Robust Statistical Arbitrage Strategies with Deep Neural Networks
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Highlight: We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets.		 Ariel Neufeld; Julian Sester; Daiying Yin; arxiv-q-fin.CP 2022-03-07
135 Gambling and Online Trading: Emerging Risks of Real-time Stock and Cryptocurrency Trading Platforms
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Abstract: Online platforms enable real-time trading activities that are similar to those of gambling. This study aimed to investigate the associations of traditional investing, real-time …		 A Oksanen; E Mantere; I Vuorinen; I Savolainen; Public health 2022-03-02
136 Development of A Stock Trading System Based on A Neural Network Using Highly Volatile Stock Price Patterns
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Abstract: This paper proposes a pattern-based stock trading system using ANN-based deep learning and utilizing the results to analyze and forecast highly volatile stock price patterns. …		 Jangmin Oh; PeerJ. Computer science 2022-03-02
137 Energy Trading Strategy for Storage-based Renewable Power Plants
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 Tamas Miseta; A. Fodor; Ágnes Vathy-Fogarassy; Energy 2022-03-01
138 Stock Trading Strategies Based on Deep Reinforcement Learning
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Abstract: The purpose of stock market investment is to obtain more profits. In recent years, an increasing number of researchers have tried to implement stock trading based on machine …		 Ya-wei Li; Peipei Liu; Ze Wang; Scientific Programming 2022-03-01
139 Gauging The Effect of Investor Overconfidence on Trading Volume from The Perspective of The Relationship Between Lagged Stock Returns and Current Trading Volume
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 Jiayu Huang; Y. Wang; Y. Fan; Hexuan Li; International Finance 2022-03-01
140 Single Stock Trading with Deep Reinforcement Learning: A Comparative Study
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Abstract: In this paper, we apply Deep Reinforcement Learning (DRL) methods to automate the trading of single stock. The A2C, PPO, DDPG, TD3 and SAC deep reinforcement learning models are …		 Jun Ge; Yuanqi Qin; Yaling Li; yanjia Huang; Hao Hu; 2022 14th International Conference on Machine Learning and … 2022-02-18
141 Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals
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Highlight: As an application, we solve two algorithmic trading problems in which the agent adopts a constant absolute risk-aversion (CARA) utility function, and where the optimal strategies use signals and past observations of prices to improve their performance.		 Fayçal Drissi; arxiv-q-fin.TR 2022-02-15
142 Research on Emission Reduction Strategies of Building Materials Manufacturers and Real Estate Developers in The Context of Carbon Trading
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Abstract: External carbon trading, free transfer between enterprises and, internal carbon trading are the primary forms of carbon trading between real estate enterprises and building …		 Qingzhen Yao; L. Shao; Frontiers in Environmental Science 2022-02-14
143 Intelligent Optimization Based Multi-Factor Deep Learning Stock Selection Model and Quantitative Trading Strategy
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Abstract: With the rapid development of financial research theory and artificial intelligence technology, quantitative investment has gradually entered people’s attention. Compared with …		 Jujie Wang; Zhenzhen Zhuang; Liu Feng; Mathematics 2022-02-12
144 Implementation of A Type-2 Fuzzy Logic Based Prediction System for The Nigerian Stock Exchange
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Highlight: The aim of this research is to develop a prediction system for stock market using Fuzzy Logic Type2 which will handle these uncertainties and complexities of human behaviour in general when it comes to buy, hold or sell decision making in stock trading.		 Isobo Nelson Davies; Donald Ene; Ibiere Boma Cookey; Godwin Fred Lenu; arxiv-cs.AI 2022-02-04
145 Financial Vision Based Reinforcement Learning Trading Strategy
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Abstract: Recent advances in artificial intelligence (AI) for quantitative trading have led to its general superhuman performance among notable trading performance results. However, if we …		 Yun-Cheng Tsai; Fu-Min Szu; Jun-Hao Chen; Samuel Yen-Chi Chen; ArXiv 2022-02-03
146 Applying Attention-based BiLSTM and Technical Indicators in The Design and Performance Analysis of Stock Trading Strategies
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Abstract: With the development of the Internet, information on the stock market has gradually become transparent, and stock information is easy to obtain. For investors, investment …		 MING-CHE LEE et. al. Neural computing & applications 2022-01-28
147 A Blockchain-Based Distributed Computational Resource Trading Strategy for Internet of Things Considering Multiple Preferences
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Highlight: However, there still lack incentive mechanisms to encourage participants to take over tasks from others. To counter this situation, this paper proposes a distributed computational resource trading strategy addressing multiple preferences of IoT users.		 Tonghe Wang; Songpu Ai; Junwei Cao; arxiv-cs.DC 2022-01-24
148 An Advanced Optimization Approach for Long-Short Pairs Trading Strategy Based on Correlation Coefficients and Bollinger Bands
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Abstract: In the financial market, commodity prices change over time, yielding profit opportunities. Various trading strategies have been proposed to yield good earnings. Pairs trading is …		 Chun-Hao Chen; Wei-Hsun Lai; S. Hung; T. Hong; Applied Sciences 2022-01-20
149 Effect of Cryptocurrency Trading and Monetary Corrupt Practices on Nigerian Economic Performance
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Abstract: Digital financial trading has brought a new dimension of financial technology transactions to the globe. Cryptocurrency trading is one of the new dimensions. However, …		 S. K. Fakunmoju; O. Banmore; A. Gbadamosi; Olajide Idowu Okunbanjo; Binus Business Review 2022-01-07
150 Convolutional Neural Network for Stock Trading Using Technical Indicators
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 S. Chandar; Automated Software Engineering 2022-01-03
151 Bi-level Frequency Regulation Resource Trading for Electricity Consumers: A Data-driven Contract Approach
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Abstract: Electricity consumers (ECs) are considered a valuable frequency regulation resource. Nonetheless, due to the finiteness and dispersion of ECs, the dispatching burden of ECs is …		 Liya Ma; Nian Liu; Haonan Sun; Chenxi Li; Wenxia Liu; International Journal of Electrical Power & Energy Systems 2022-01-01
152 Adversarial Trading
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Abstract: Adversarial samples have drawn a lot of attention from the Machine Learning community in the past few years. An adverse sample is an artificial data point coming from an …		 Alexandre Miot; ArXiv 2022-01-01
153 Deep Reinforcement Learning for Automated Stock Trading: Inclusion of Short Selling
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 Eeshaan Asodekar; Arpan Nookala; Sayali Ayre; Anant V. Nimkar; International Syposium on Methodologies for Intelligent … 2022-01-01
154 A Deep Reinforcement Learning-Based Decision Support System for Automated Stock Market Trading
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Abstract: Presently, the volatile and dynamic aspects of stock prices are significant research challenges for stock markets or any other financial sector to design accurate and profitable …		 YASMEEN ANSARI et. al. IEEE Access 2022-01-01
155 Flexible Decision Support System for Algorithmic Trading: Empirical Application on Crude Oi L Markets
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Abstract: Generating reliable trading signals continues to be a challenging task for financial market professionals. This research designs a novel decision-support system (DSS) for …		 C. Tudor; Robert Sova; IEEE Access 2022-01-01
156 Graph-based Stock Correlation and Prediction for High-frequency Trading Systems
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 TAO YIN et. al. Pattern Recognition 2022-01-01
157 Peer-to-Peer Energy Trading in Smart Energy Communities: A Lyapunov-Based Energy Control and Trading System
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Abstract: This paper studies the real-time energy trading problem in a smart community consisting of a group of grid-connected prosumers with controllable loads, renewable generations and …		 Hailing Zhu; K. Ouahada; A. Abu-Mahfouz; IEEE Access 2022-01-01
158 Optimal Liquidation Problem in Illiquid Markets
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Abstract: In this research, we develop a trading strategy for the optimal liquidation problem of large-order trading, with different market microstructures, in an illiquid market. We …		 Amirhossein Sadoghi; Jan Vecer; Eur. J. Oper. Res. 2022-01-01
159 Network Analysis on Bitcoin Arbitrage Opportunities
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Abstract: Many studies have shown that investment in Bitcoin could serve to diversify the stock market. The existing literature offers insight into how arbitrage trading may diminish the …		 Rasa Bruzgė; Alfreda Šapkauskienė; The North American Journal of Economics and Finance 2022-01-01
160 Co-evolutionary Dynamics in A Simulation of Interacting Financial-Market Adaptive Automated Trading System
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 Proceedings of the European Modeling & Simulation … 2022-01-01
161 Blockchain-Based Fully Peer-to-Peer Energy Trading Strategies for Residential Energy Systems
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Abstract: This paper proposes two novel strategies for determining the bilateral trading preferences of households participating in a fully Peer-to-Peer (P2P) local energy market. The first …		 Tarek AlSkaif; Jose L. Crespo-Vazquez; Milos Sekuloski; Gijs van Leeuwen; João P. S. Catalão; IEEE Transactions on Industrial Informatics 2022-01-01
162 Auto Uning of Price Prediction Models for High-frequency Trading Via Reinforcement Learning
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 Weipeng Zhang; Ning Zhang; Junchi Yan; Guofu Li; Xiaokang Yang; Pattern Recognit. 2022-01-01
163 An Automatic Trading System for Fuzzy Portfolio Optimization Problem with Sell Orders
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Abstract: This paper deals with a portfolio optimization problem with sell orders, in which the investor will immediately sell the risky assets once their prices reach the preset sell …		 Yong Zhang; Weilong Liu; Xingyu Yang; Expert Syst. Appl. 2022-01-01
164 Risk And Return Model of Digital Cryptocurrency Asset Investment In Indonesia
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Abstract: Cryptocurrency is an investment commodity that can generate returns and already has a license to be traded in exchange trading through the Indonesian Commodity Futures Trading …		 Rico Nur Ilham; Isfenti Sadalia; Nisrul Irawati; Irada Sinta; Al Qalam: Jurnal Ilmiah Keagamaan dan Kemasyarakatan 2022-01-01
165 Study of Machine Learning Algorithms for Potential Stock Trading Strategy Frameworks
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Abstract: Abstract: Purpose: This paper discusses major stock market trends and provides information on stock market forecasting. Stock market forecasting is essentially an attempt to …		 Aakash Agarwal; International Journal of Financial, Accounting, and … 2021-12-25
166 Stationarity Analysis of The Stock Market Data and Its Application to Mechanical Trading
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Highlight: This study proposes a scheme for stationarity analysis of stock price fluctuations based on KM$_2$O-Langevin theory.		 Kazuki Kanehira; Norikazu Todoroki; arxiv-q-fin.ST 2021-12-23
167 Peer-to-Peer Energy Trading in A Micro-grid Using Internet of Things and Blockchain
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Abstract: With advancements in renewable energy techno­logies, consumers are becoming prosumers, and renewable energy resources are being used in distributed networks. In an isolated …		 Mirza Jabbar Aziz Baig; M. Iqbal; M. Jamil; Jahangir Khan; Electronics ETF 2021-12-15
168 Do Emotions Benefit Investment Decisions? Anticipatory Emotion and Investment Decisions in Non-professional Investors
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Abstract: Increasing financial trading performance is big business. A lingering question within academia and industry concerns whether emotions improve or degrade trading performance. In …		 Neal S Hinvest; Muhamed Alsharman; Margot Roell; Richard Fairchild; Frontiers in psychology 2021-12-09
169 Is It Possible to Earn Abnormal Return in An Inefficient Market? An Approach Based on Machine Learning in Stock Trading
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Abstract: Risk management and stock investment decision-making is an essential topic for investors and fund managers, especially in the context of the COVID-19 pandemic. The problem becomes …		 Bui Thanh Khoa; Tran Trong Huynh; Computational intelligence and neuroscience 2021-12-08
170 QuantNet: Transferring Learning Across Trading Strategies
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Abstract: Systematic financial trading strategies account for over 80% of trade volume in equities and a large chunk of the foreign exchange market. In spite of the availability of data …		 A. Koshiyama; Stefano B. Blumberg; Nikan B. Firoozye; P. Treleaven; Sebastian Flennerhag; Quantitative Finance 2021-12-03
171 High-frequency Trading and Market Quality: The Case of A “slightly Exposed” Market
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 Cumhur Ekinci; Oguz Ersan; International Review of Financial Analysis 2021-12-01
172 TradeBot: Bandit Learning for Hyper-parameters Optimization of High Frequency Trading Strategy
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 Weipeng Zhang; Lu Wang; Liang Xie; Ke Feng; Xiang Liu; Pattern Recognit. 2021-12-01
173 The Commodity Futures’ Historical Basis in Trading Strategy and Portfolio Investment
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 Y. Pu; Baochen Yang; Energy Economics 2021-12-01
174 Economic Uncertainty and National Bitcoin Trading Activity
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 J. Wüstenfeld; Teo Geldner; The North American Journal of Economics and Finance 2021-12-01
175 A Novel Trading Strategy Framework Based on Reinforcement Deep Learning for Financial Market Predictions
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Abstract: The prediction of stocks is complicated by the dynamic, complex, and chaotic environment of the stock market. Investors put their money into the financial market, hoping to …		 Li-Chen Cheng; Yu-Hsiang Huang; Ming-Hua Hsieh; Mu-En Wu; Mathematics 2021-11-30
176 A Reinforcement Learning Approach for The Continuous Electricity Market of Germany: Trading from The Perspective of A Wind Park Operator
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Highlight: In this work, we propose a novel autonomous trading approach based on Deep Reinforcement Learning (DRL) algorithms as a possible solution.		 Malte Lehna; Björn Hoppmann; René Heinrich; Christoph Scholz; arxiv-cs.LG 2021-11-26
177 Reinforcement Learning for Options Trading
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Abstract: Reinforcement learning has been applied to various types of financial assets trading, such as stocks, futures, and cryptocurrencies. Options, as a novel kind of derivative, have …		 Wen Wen; Yuyu Yuan; Jincui Yang; Applied Sciences 2021-11-25
178 COVID-19 and Market Structure Dynamics
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Abstract: We examine the impact of COVID-19 on market structure in the U.S. Specifically, we analyze the impact of both the COVID-19-induced market uncertainty period as well as the …		 Justin Cox; Donovan Woods; Journal of banking & finance 2021-11-19
179 The Effects of Cryptocurrency Trading Websites on Airlines’ Advertisement Campaigns
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Abstract: In future years, airline companies will be leaning more and more towards cryptocurrencies to implement their digital marketing strategies as leaders seek to gain an understanding …		 D. Sakas; N. Giannakopoulos; Dimitrios P. Reklitis; Thomas K. Dasaklis; J. Theor. Appl. Electron. Commer. Res. 2021-11-12
180 Decentralized P2P Electricity Trading Model for Thailand
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Abstract: Thailand’s power system has been facing an energy transition due to the increasing amount of Renewable Energy (RE) integration, prosumers with self-consumption, and …		 Anchisa Pinyo; Athikom Bangviwat; Christoph Menke; Antonello Monti; Sensors (Basel, Switzerland) 2021-11-08
181 Optimal Pairs Trading with Time-Varying Volatility
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Highlight: We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type.		 T. N. Li; A. Tourin; arxiv-math.OC 2021-11-04
182 Learning FX Trading Strategies with FQI and Persistent Actions
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Abstract: Automated Trading Systems are constantly increasing their impact on financial markets, but learning from historical data, detecting interesting patterns and producing profitable …		 ANTONIO RIVA et. al. Proceedings of the Second ACM International Conference on … 2021-11-03
183 Multi‐party Computation Mechanism for Anonymous Equity Block Trading: A Secure Implementation of Turquoise Plato Uncross
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Abstract: Dark pools are financial trading venues where orders are entered and matched in secret so that no order information is leaked. By preventing information leakage, dark pools offer …		 J. Cartlidge; N. Smart; Y. Alaoui; Intelligent Systems in Accounting, Finance and Management 2021-11-01
184 Multi-party Computation Mechanism for Anonymous Equity Block Trading: A Secure Implementation of Turquoise Plato Uncross
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Abstract: Dark pools are financial trading venues where orders are entered and matched in secret so that no order information is leaked. By preventing information leakage, dark pools offer …		 John Cartlidge; Nigel P Smart; Younes Talibi Alaoui; Intelligent systems in accounting, finance and management : … 2021-11-01
185 Exploration of Algorithmic Trading Strategies for The Bitcoin Market
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Highlight: Building on previous work, in this paper, we utilise both features internal to the Bitcoin network and external features to inform the prediction of various machine learning models.		 Nathan Crone; Eoin Brophy; Tomas Ward; arxiv-cs.LG 2021-10-28
186 Trading Via Selective Classification
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Highlight: For ternary classification, in addition to classes for the price going up or down, we include a third class that corresponds to relatively small price moves in either direction, and gives the classifier another way to avoid making a directional prediction.		 Nestoras Chalkidis; Rahul Savani; arxiv-q-fin.TR 2021-10-28
187 Trading Strategy in A Local Energy Market, A Deep Reinforcement Learning Approach
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Abstract: In response to energy transition fueled by the increasing energy generation mix and dynamic environment, this paper presents an energy trading strategy utilising real microgrid …		 Olamide Jogunola; Yakubu Tsado; B. Adebisi; R. Nawaz; 2021 IEEE Electrical Power and Energy Conference (EPEC) 2021-10-22
188 Optimal Trading: A Model Predictive Control Approach
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Highlight: We develop a dynamic trading strategy in the Linear Quadratic Regulator (LQR) framework.		 Simon Clinet; Jean-François Perreton; Serge Reydellet; arxiv-math.ST 2021-10-21
189 An Automated Portfolio Trading System with Feature Preprocessing and Recurrent Reinforcement Learning
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Highlight: We propose a novel portfolio trading system, which contains a feature preprocessing module and a trading module.		 Lin Li; arxiv-q-fin.TR 2021-10-11
190 Systemic Failures and Organizational Risk Management in Algorithmic Trading: Normal Accidents and High Reliability in Financial Markets
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Abstract: This article examines algorithmic trading and some key failures and risks associated with it, including so-called algorithmic ‘flash crashes’. Drawing on documentary sources, 189 …		 Bo Hee Min; Christian Borch; Social studies of science 2021-10-06
191 The Stock Market As A Casino: Associations Between Stock Market Trading Frequency and Problem Gambling
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Abstract: Personal investors decrease their stock market investment returns by trading frequently, which the behavioral finance literature has primarily explained via investors’ …		 Moritz Mosenhauer; Philip W S Newall; Lukasz Walasek; Journal of behavioral addictions 2021-09-28
192 Towards Private On-Chain Algorithmic Trading
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Highlight: In this paper we present ChainBot, an approach for creating algorithmic trading bots with the help of blockchain technology.		 Ceren Kocaoğullar; Arthur Gervais; Benjamin Livshits; arxiv-cs.CR 2021-09-23
193 Exploring Coevolutionary Dynamics of Competitive Arms-Races Between Infinitely Diverse Heterogenous Adaptive Automated Trader-Agents
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Highlight: Here we present first results from two independent sets of experiments, where we use minimal-intelligence trading-agents but in which the space of possible strategies is continuous and hence infinite.		 Nik Alexandrov; Dave Cliff; Charlie Figuero; arxiv-cs.CE 2021-09-21
194 Financial Trading with Feature Preprocessing and Recurrent Reinforcement Learning
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Highlight: This paper proposes to trade financial assets automatically using feature preprocessing skills and Recurrent Reinforcement Learning (RRL) algorithm.		 Lin Li; arxiv-q-fin.TR 2021-09-11
195 INVESTORS’ LEGAL PROTECTION AGAINST INSIDER TRADING IN CAPITAL MARKET IN INDONESIA
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Abstract: This study aimed to assess insider trading on a trading buying and selling shares in the capital market. Besides, it also evaluated investors’ legal protection against insider …		 Dewi Asttuty Mochtar; Dewi Rahayu; Journal of Southwest Jiaotong University 2021-08-30
196 Structural Break-aware Pairs Trading Strategy Using Deep Reinforcement Learning
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Abstract: is an effective statistical arbitrage strategy considering the spread of paired stocks in a stable cointegration relationship. Nevertheless, rapid market changes may break the …		 JING-YOU LU et. al. The Journal of supercomputing 2021-08-17
197 Multi-Agent Reinforcement Learning for Automated Peer-to-Peer Energy Trading in Double-Side Auction Market
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Highlight: For this reason, in this paper we model this task as a multi-agent reinforcement learning (MARL) problem and propose an algorithm called DA-MADDPG that is modified based on MADDPG by abstracting the other agents’ observations and actions through the DA market public information for each agent’s critic.		 Dawei Qiu; Jianhong Wang; Junkai Wang; Goran Strbac; ijcai 2021-08-13
198 Τ-Access Policy: Attribute-based Encryption Scheme for Social Network Based Data Trading
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Abstract: The rapid development of social technology has replaced physical interaction in the trading market. The implication of this technology is to provide access to the right …		 Shamsher Ullah; Lan Zhang; Muhammad Wasif Sardar; M. T. Hussain; China Communications 2021-08-01
199 How Can Carbon Trading Price Distortion Be Corrected? An Empirical Study from China’s Carbon Trading Pilot Markets
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Abstract: The essence of carbon trading is to optimize the allocation of factor resources by using price leverage. However, the effect of the carbon trading market might be seriously …		 Liangpeng Wu; Environmental science and pollution research international 2021-07-31
200 Gambling-Like Day Trading During The COVID-19 Pandemic – Need for Research on A Pandemic-Related Risk of Indebtedness and Mental Health Impact
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Abstract: Stock exchange trading increasingly has been highlighted as a possible cause of gambling disorder, typically in rapid and excessive day trading which may cause over-indebtedness …		 Anders Håkansson; Fernando Fernández-Aranda; Susana Jiménez-Murcia; Frontiers in psychiatry 2021-07-26
201 Gambling-Like Day Trading During The COVID-19 Pandemic – Need for Research on A Pandemic-Related Risk of Indebtedness and Mental Health Impact
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Abstract: Stock exchange trading increasingly has been highlighted as a possible cause of gambling disorder, typically in rapid and excessive “day trading” which may cause over-indebtedness …		 A. Håkansson; F. Fernández-Aranda; S. Jiménez-Murcia; Frontiers in Psychiatry 2021-07-26
202 Pengaruh Frekuensi Perdagangan, Volume Perdagangan, & Kapitalisasi Pasar Terhadap Return Saham Pada Sektor Pariwisata Yang Terdaftar Di BEI
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Abstract: Purpose, – This study aims to determine how much influence the trading frequency, trading volume, and market capitalization either partially or simultaneously on stock returns in …		 Kristina Maysie; Jurnal Manajemen Sains dan Organisasi 2021-07-14
203 Impact of The Implementation of Carbon Emission Trading on Corporate Financial Performance: Evidence from Listed Companies in China
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Abstract: With the development of ecological paradigm coupled with the relentless implementation of myriad environmental policies in China, the rapid development of carbon emission trading …		 Meijuan Liu; Chang Zhou; Feifei Lu; Xiaohan Hu; PloS one 2021-07-01
204 High‐frequency Trading: Definition, Implications, and Controversies
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 Khairul Zharif Zaharudin; M. Young; Wei‐Huei Hsu; Journal of Economic Surveys 2021-06-21
205 Cryptocurrency Trading, Gambling and Problem Gambling
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Abstract: Some forms of speculative trading share similarities with gambling. Decisions are often based on limited information, short-term motives for gain, and highly volatile and …		 Paul Delfabbro; Daniel King; Jennifer Williams; Neophytos Georgiou; Addictive behaviors 2021-06-16
206 Deep Reinforcement Learning on A Multi-asset Environment for Trading
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Highlight: Our results in this study are preliminary and need further improvement.		 Ali Hirsa; Joerg Osterrieder; Branka Hadji-Misheva; Jan-Alexander Posth; arxiv-q-fin.TR 2021-06-15
207 RCURRENCY: Live Digital Asset Trading Using A Recurrent Neural Network-based Forecasting System
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Highlight: In this paper, we present RCURRENCY, an RNN-based trading engine to predict data in the highly volatile digital asset market which is able to successfully manage an asset portfolio in a live environment.		 Yapeng Jasper Hu; Ralph van Gurp; Ashay Somai; Hugo Kooijman; Jan S. Rellermeyer; arxiv-cs.AI 2021-06-13
208 Factors Affecting China’s Carbon Trading Price—A Case Study Based on Tianjin Carbon Emissions Trading Market
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Abstract: Building a carbon emission trading market is an effective way to control carbon emissions. The carbon emission trading price is the key to the carbon trading market, and it will …		 Yuwei Du; Songsheng Chen; 2021-06-03
209 Deep Reinforcement Learning in Quantitative Algorithmic Trading: A Review
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Highlight: We can look at the stock market historical price series and movements as a complex imperfect information environment in which we try to maximize return – profit and minimize risk.		 Tidor-Vlad Pricope; arxiv-cs.LG 2021-05-31
210 Learning About Latent Dynamic Trading Demand
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Highlight: This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact.		 Xiao Chen; Jin Hyuk Choi; Kasper Larsen; Duane J. Seppi; arxiv-q-fin.TR 2021-05-27
211 The Impact of Margin Trading on Stock Volatility: Based from 2014 to 2016 Shanghai and Shenzhen 300 Index
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Abstract: The paper study the impact of margin trading on the volatility of the stock market, We selected 469 observation values among the daily Shanghai and Shenzhen 300 index from May …		 Chuanyang Gong; The International Journal of Business and Management 2021-05-27
212 Quantitative Day Trading from Natural Language Using Reinforcement Learning
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Highlight: Building on these shortcomings, we propose a deep reinforcement learning approach that makes time-aware decisions to trade stocks while optimizing profit using textual data.		 Ramit Sawhney; Arnav Wadhwa; Shivam Agarwal; Rajiv Ratn Shah; naacl 2021-05-23
213 A Parallel-network Continuous Quantitative Trading Model with GARCH and PPO
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Highlight: Thus, we propose a parallel-network continuous quantitative trading model with GARCH and PPO to enrich the basical deep reinforcement learning model, where the deep learning parallel network layers deal with 3 different frequencies data (including GARCH information) and proximal policy optimization (PPO) algorithm interacts actions and rewards with stock trading environment.		 Zhishun Wang; Wei Lu; Kaixin Zhang; Tianhao Li; Zixi Zhao; arxiv-q-fin.TR 2021-05-08
214 Deep Reinforcement Trading with Predictable Returns
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Highlight: Modern deep reinforcement learning (DRL) offers a framework for optimizing sequential trader decisions but lacks theoretical guarantees of convergence.		 Alessio Brini; Daniele Tantari; arxiv-q-fin.PM 2021-04-29
215 Quantum Quantitative Trading: High-Frequency Statistical Arbitrage Algorithm
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Highlight: We propose quantum algorithms for high-frequency statistical arbitrage trading in this work by utilizing variable time condition number estimation and quantum linear regression.The algorithm complexity has been reduced from the classical benchmark O(N^2d) to O(sqrt(d)(kappa)^2(log(1/epsilon))^2 )).		 Xi-Ning Zhuang; Zhao-Yun Chen; Yu-Chun Wu; Guo-Ping Guo; arxiv-quant-ph 2021-04-29
216 Quantum Computational Quantitative Trading: High-frequency Statistical Arbitrage Algorithm
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Abstract: Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet. We …		 Xi-Ning Zhuang; Zhao-Yun Chen; Yuchun Wu; G. Guo; New Journal of Physics 2021-04-29
217 Information Transmission Between China’s IH and SGX FTSE A50 Stock Index Futures Markets: The Role of Trading Restrictions
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Abstract: After China’s stock market crash in 2015, the Chinese government imposed a series of trading restrictions on the stock index futures market. This paper examines how the relative …		 T. Wen; Ping Li; Yunbi An; Emerging Markets Finance and Trade 2021-04-28
218 Crowdsensing Data Trading Based on Combinatorial Multi-Armed Bandit and Stackelberg Game
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Highlight: In this paper, we propose a data trading mechanism based on Combinatorial Multi-Armed Bandit and three-stage Hierarchical Stackelberg game, called CMAB-HS, to tackle the problem of quality unknown seller selection and incentive strategy design.		 B. An; M. Xiao; A. Liu; X. Xie; X. Zhou; icde 2021-04-22
219 Calibrating An Adaptive Farmer-Joshi Agent-based Model for Financial Markets
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Highlight: We replicate the contested calibration of the Farmer and Joshi agent based model of financial markets using a genetic algorithm and a Nelder-Mead with threshold accepting algorithm following Fabretti.		 Ivan Jericevich; Murray McKechnie; Tim Gebbie; arxiv-q-fin.CP 2021-04-20
220 A Comparative Evaluation of Predominant Deep Learning Quantified Stock Trading Strategies
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Abstract: This study first reconstructs three deep learning powered stock trading models and their associated strategies that are representative of distinct approaches to the problem and …		 Haohan Zhang; arxiv-q-fin.TR 2021-03-28
221 Intraday Trading Strategy Based on Time Series and Machine Learning for Chinese Stock Market
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Highlight: This article comes up with an intraday trading strategy under T+1 using Markowitz optimization and Multilayer Perceptron (MLP) with published stock data obtained from the Shenzhen Stock Exchange and Shanghai Stock Exchange.		 Q. Wang; Y. Zhou; J. Shen; arxiv-q-fin.TR 2021-03-24
222 The Impact of Securities Margin Trading on The Stock Market Volatility and Liquidity —— Based on The Empirical Results of Shanghai and Shenzhen Markets
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Abstract: Securities margin trading is a momentous financial innovation in China’s capital market, since formally carried out in March 2010. The intention of this policy is to enhance the …		 Li-ru Bai; Yiming Li; Proceedings of the 6th International Conference on … 2021-03-22
223 Diversity-driven Knowledge Distillation for Financial Trading Using Deep Reinforcement Learning
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Abstract: Deep Reinforcement Learning (RL) is increasingly used for developing financial trading agents for a wide range of tasks. However, optimizing deep RL agents is notoriously …		 Avraam Tsantekidis; Nikolaos Passalis; Anastasios Tefas; Neural networks : the official journal of the International … 2021-03-17
224 Trading Signals In VIX Futures
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Highlight: We propose a new approach for trading VIX futures.		 M. Avellaneda; T. N. Li; A. Papanicolaou; G. Wang; arxiv-q-fin.CP 2021-03-02
225 Do Put Warrants Unwind Short‐sale Restrictions? Further Evidence from The Taiwan Stock Exchange
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Abstract: This study investigates the relationship between stock short‐selling restrictions and bearish equity warrants on the Taiwan Stock Exchange to clarify the substitutive role of put …		 Yi‐Wei Chuang; Wei‐Che Tsai; P. Weng; Chi Yin; Journal of Futures Markets 2021-03-01
226 Time Matters: Exploring The Effects of Urgency and Reaction Speed in Automated Traders
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Highlight: We consider issues of time in automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching.		 Henry Hanifan; Ben Watson; John Cartlidge; Dave Cliff; arxiv-cs.MA 2021-02-28
227 Two Robust Long Short-term Memory Frameworks for Trading Stocks
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Abstract: This paper aims to find a superior strategy for the daily trading on a portfolio of stocks for which traditional trading strategies perform poorly due to the low frequency of new …		 Dušan Fister; Matjaž Perc; Timotej Jagrič; Applied intelligence (Dordrecht, Netherlands) 2021-02-27
228 Enhancing Efficacy of Water Quality Trading with Automation: A Case Study in Virginia’s Nutrient Trading Program
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Abstract: The complexity of water quality trading (WQT) policy can lead to the promulgation of regulations that are challenging to comply with and to enforce. As a result, transaction costs …		 Linnea Saby; J. Goodall; L. Band; Benjamin D. Bowes; M. Fults; JAWRA Journal of the American Water Resources Association 2021-02-10
229 Commission Fee Is Not Enough: A Hierarchical Reinforced Framework for Portfolio Management
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Highlight: To address these issues, we propose a hierarchical reinforced stock trading system for portfolio management (HRPM).		 Rundong Wang; Hongxin Wei; Bo An; Zhouyan Feng; Jun Yao; aaai 2021-02-09
230 Universal Trading for Order Execution with Oracle Policy Distillation
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Highlight: In this paper, we propose a novel universal trading policy optimization framework to bridge the gap between the noisy yet imperfect market states and the optimal action sequences for order execution.		 YUCHEN FANG et. al. aaai 2021-02-09
231 Bertram’s Pairs Trading Strategy with Bounded Risk
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 Vladim’ir Hol’y; M. Černý; Central European Journal of Operations Research 2021-02-08
232 Bertram’s Pairs Trading Strategy with Bounded Risk
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Highlight: This model is generalized to the form where the riskiness of profit, measured by its per-time-unit volatility, is controlled (e.g. in case of existence of limits on riskiness of trading strategies imposed by regulatory bodies).		 Vladimír Holý; Michal Černý; arxiv-q-fin.MF 2021-02-08
233 Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin
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Abstract: Cryptocurrencies such as Bitcoin (BTC) have seen a surge in value in the recent past and appeared as a useful investment opportunity for traders. However, their short term …		 Iftikhar Ahmad; Muhammad Ovais Ahmad; Mohammed A Alqarni; Abdulwahab Ali Almazroi; Muhammad Imran Khan Khalil; PeerJ. Computer science 2021-02-03
234 Nine Challenges in Modern Algorithmic Trading and Controls
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Highlight: In this inaugural article, we discuss nine major challenges that contemporary Algo trading faces.		 Jackie Shen; arxiv-q-fin.TR 2021-01-21
235 Does Trading Activity of China’s A-Share Improve After The Inclusion of China’s A-Share in The MSCI Index?
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Abstract: This paper mainly studies whether the inclusion of China’s A-shares in the MSCI (Morgan Stanley Capital International) index improved the trading activity. Taking all China’s …		 H. Deng; Journal of Service Science and Management 2021-01-21
236 Deep Reinforcement Learning for Active High Frequency Trading
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Highlight: We introduce the first end-to-end Deep Reinforcement Learning (DRL) based framework for active high frequency trading in the stock market.		 Antonio Briola; Jeremy Turiel; Riccardo Marcaccioli; Alvaro Cauderan; Tomaso Aste; arxiv-cs.LG 2021-01-18
237 Is It A Great Autonomous FX Trading Strategy or You Are Just Fooling Yourself
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Highlight: In this paper, we propose a method for evaluating autonomous trading strategies that provides realistic expectations, regarding the strategy’s long-term performance.		 Murilo Sibrao Bernardini; Paulo Andre Lima de Castro; arxiv-cs.SE 2021-01-15
238 Optimal Statistical Arbitrage Trading of Berkshire Hathaway Stock and Its Replicating Portfolio
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Abstract: In this paper, we make use of the replicating asset for statistical arbitrage trading, where the replicating asset is constructed by a portfolio that mimics the returns from a …		 An-Sing Chen; Che-Ming Yang; PloS one 2021-01-15
239 Herding and Feedback Trading in Cryptocurrency Markets
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Abstract: This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, …		 Timothy King; Dimitrios Koutmos; Annals of operations research 2021-01-13
240 MODEL PENERAPAN APLIKASI “VIRTUAL TRADING” DALAM MENINGKATKAN MINAT INVESTASI MAHASISWA SEBAGAI INVESTOR PEMULA
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Abstract: The purpose of this research is to find out and analyze the ease of shares investing in the capital market through implementation of virtual trading application (simulation …		 A. Makkulau; Rusdiaman Rauf; 2021-01-09
241 Forecasting and Trading Cryptocurrencies with Machine Learning Under Changing Market Conditions
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Abstract: This study examines the predictability of three major cryptocurrencies-bitcoin, ethereum, and litecoin-and the profitability of trading strategies devised upon machine learning …		 Helder Sebastião; Pedro Godinho; Financial innovation 2021-01-06
242 A Novel Hybrid Method for Direction Forecasting and Trading of Apple Futures
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Abstract: In this research, a novel hybrid method MCXGBoost–Bagging–RegPSO​ is proposed for direction forecasting of the high-frequency Apple Futures’ price and simulation trading. First, a …		 Shangkun Deng; Xiaoru Huang; Zhaohui Qin; Zhe Fu; Tianxiang Yang; Appl. Soft Comput. 2021-01-01
243 A Multi-Strategic Approach to Automated Trading
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Abstract: Modern Computing methods have resulted in a shift of interest in the trading world; from the traditional ways to a more quantitative outlook. With these methods readily available, …		 Pranit Mahajan; Yagnesh Salian; Vinayak Jadhav; Sujata Kulkarni; 2021 International Conference on Communication information … 2021-01-01
244 Uncovering Retail Trading in Bitcoin
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Abstract: In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these …		 Anantha Divakaruni; Peter Zimmerman; Working paper (Federal Reserve Bank of Cleveland) 2021-01-01
245 Practical Algorithmic Trading Using State Representation Learning and Imitative Reinforcement Learning
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Abstract: Algorithmic trading allows investors to avoid emotional and irrational trading decisions and helps them make profits using modern computer technology. In recent years, …		 Deog-Yeong Park; Ki-Hoon Lee; IEEE Access 2021-01-01
246 Using Eurodollar Pack Spreads to Trade Treasury Curves
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Abstract: This paper aims to find if the market-based measure of monetary policy expectations such as the Eurodollar future rates has predictive power in anticipating trend changes in …		 Hugo De Vere; ERN: Monetary Policy Objectives; Policy Designs; Policy … 2021-01-01
247 Trading Cryptocurrencies As A Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume
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Abstract: This paper examines the impact of COVID-19 lockdowns on Bitcoin trading volume. Using data from Apple mobility trends and several time-series econometric models, we find that …		 Cristian A. Pinto-Gutierrez; PSN: Exchange Rates & Currency (International) (Topic) 2021-01-01
248 Risk Capital Allocation Under Market Liquidity Constraints
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Abstract: We develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market risk and for predicting liquidity-adjusted VaR (L-VaR) under …		 Mazin A. M. Al Janabi; Social Science Research Network 2021-01-01
249 Quantifying The High-Frequency Trading Arms Race
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 Matteo Aquilina; Eric B. Budish; Peter O’Neill; SSRN Electronic Journal 2021-01-01
250 The Features of Building A Portfolio of Trading Strategies Using The SAS OPTMODEL Procedure
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Abstract: The article describes the original information technology of the algorithmic trading, designed to solve the problem of forming the optimal portfolio of trade strategies. The …		 Oleksandr Terentiev; Tetyana Prosiankina-Zharova; Volodymyr Savastiyanov; Valerii Lakhno; Vira Kolmakova; Comput. 2021-01-01
251 Algorithmic Trading, High-frequency Trading: Implications for MiFID II and Market Abuse Regulation (MAR) in The EU
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 RABEEA SADAF et. al. SSRN Electronic Journal 2021-01-01
252 Inferring Financial Bubbles from Option Data
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Abstract: Financial bubbles arise when the underlying asset’s market price deviates from its fundamen- tal value. Unlike other bubble tests that use time series data and assume a …		 Robert A. Jarrow; Simon S. Kwok; Journal of Applied Econometrics 2021-01-01
253 Market Risk Prediction Under Illiquid Market Environments: A Comparison of Alternative Modeling Techniques
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Abstract: This paper bridges the gap in trading risk management literatures, and particularly from the perspective of emerging and illiquid markets. We find that under certain trading …		 Mazin A. M. Al Janabi; Risk Management & Analysis in Financial Institutions … 2021-01-01
254 Intelligent Portfolio Theory and Application in Stock Investment with Multi-Factor Models and Trend Following Trading Strategies
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Abstract: This paper documents a computational form of the Intelligent Portfolio Theory for investing and trading in stock markets with two multi-factor models and two trend following …		 Heping Pan; Manxiao Long; Procedia Computer Science 2021-01-01
255 Bitcoin Trading in Australia: Sneaking in Under The A$10,000 Reporting Threshold
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Abstract: Bitcoin trading on an Australian Cryptocurrency Exchange using an Australian bank means that transactions of A$10,000 or more are automatically reported to AUSTRAC. This analysis, …		 Jackie Johnson; Social Science Research Network 2021-01-01
256 EFFECT OF MACROECONOMIC FACTORS ON TRADING VOLUMES OF MANUFACTURING AND ALLIED COMPANIES LISTED IN NAIROBI SECURITIES EXCHANGE
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Abstract: Purpose: The purpose of the study was to establish the effect of macroeconomic factors on stocks trading volumes of manufacturing and allied companies listed in Nairobi Securities …		 Gabriel Chege; Stanley Kirika; International Journal of Finance and Accounting 2021-01-01
257 Research on Trading Strategy of Regulation Market of Generation Company Based on Trading Interval Decision-making Model
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Abstract: With the continuous acceleration of Yunnan electricity market reform, the trading variety of power market is increasingly abundant, and Frequency Regulation Market will be …		 Chunfeng Mu; Shuangquan Liu; Qinggui Chen; Xiangrui Liu; 2021 China International Conference on Electricity … 2021-01-01
258 TradeZilla Using Algorithmic Trading
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Abstract: As everything in the future is getting automated and the stock market which is a very important part of the economic engine, which keeps a big part of globalization moving, needs …		 Dheeraj Othalasseril; Sana Shaikh; 2021 IEEE India Council International Subsections … 2021-01-01
259 Generating and Optimizing Human-Readable Quantitative Program Trading Strategies Through A Genetic Programming Framework
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Abstract: In this paper, we provide a highly flexible genetic programming framework for automatic generation and optimization of program trading strategies. We propose the input/output …		 Bin Teng; Yufeng Shi; Xin Wang; Yunchuan Sun; Procedia Computer Science 2021-01-01
260 Pengaruh Volume Perdagangan Saham, Frekuensi Perdagangan Saham Dan Kapitalisasi Pasar Terhadap Harga Saham
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Abstract: Abstract. This study was conducted to analyze volume of stockt trading,ferecueny of  stock trading and market capitalization and their effect on stock prices. In this study, the …		 Siska Dwiyanti Wahyudin; Handri Handri; Lasmanah Lasmanah; 2021-01-01
261 The Joint Impact of Fragmentation Into The Dark and Algorithmic Trading on Implicit Trading Costs and Market Manipulation
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 Michael Aitken; Drew Harris; Frederick Harris; The Journal of Investing 2021-01-01
262 A Stock Index Prediction Method and Trading Strategy Based on The Combination of Lasso-Grid Search-Random Forest
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 Shaozhen Chen; Hui Zhu; Wenxuan Liang; Liang Yuan; Xianhua Wei; 2021-01-01
263 Stock Trading Rule Discovery with Double Deep Q-network
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 Yong Shi; Wei Li; Luyao Zhu; Kun Guo; Erik Cambria; Appl. Soft Comput. 2021-01-01
264 Developing A Simulated Microcosm of A Contemporary Betting Exchange for The Discovery of Transferable and Profitable Algorithmic Betting Strategies
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Abstract: Since the dotcom boom of the early 2000s the betting industry has been transformed by the rise of betting exchanges, from a market dominated solely by traditional bookmakers, to …		 James Keen; SSRN Electronic Journal 2021-01-01
265 Stock-Trading Simulations As A Resource for Management Instructors
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Abstract: This article reviews stock-trading simulations as a resource for use in management courses. Stock-trading simulations have three highly desirable qualities for educators: (1) they …		 Jason R. Pierce; Management Teaching Review 2021-01-01
266 An Intelligent Trading Mechanism Based on The Group Trading Strategy Portfolio to Reduce Massive Loss By The Grouping Genetic Algorithm
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Abstract: It is always difficult and challenge to obtain suitable trading signals for the desired securities in financial markets. The popular way to deal with it is through the use of …		 Chun-Hao Chen; Yu-Hsuan Chen; Vicente Garcia Diaz; Jerry Chun-Wei Lin; Electronic Commerce Research 2021-01-01
267 Machine Learning and Speed in High-Frequency Trading
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Abstract: The creative destruction wrought by high-frequency algorithmic tradinghas raised increasing concerns about the eect of machine learning behaviorsand ultra high-frequency trading …		 Jasmina Arifovic; Xuezhong He; Lijian Wei; Journal of Economic Dynamics & Control 2021-01-01
268 Crash-based Quantitative Trading Strategies: Perspective of Behavioral Finance
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Abstract: Inspired by the studies on stock market crashes, we use documented indicators from behavioral finance to construct two quantitative trading strategies, i.e., Crash + Timing …		 Yan Fang; Jie Yuan; J. Jimmy Yang; Shangjun Ying; Finance Research Letters 2021-01-01
269 Machine Learning Predictions of Credit and Equity Risk Premia
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Abstract: The emergence of algorithmic high-frequency trading in the market for credit risk affords accurate inference of new risk measures. When combined with machine learning predictive …		 Arben Kita; Econometric Modeling: Capital Markets – Risk eJournal 2021-01-01
270 The Determinants of Positive Feedback Trading Behaviors in Bitcoin Markets
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Abstract: This study investigates the positive feedback trading behavior in Bitcoin markets and analyzes its potential determinants. Our results show significant evidence of positive …		 Jying-Nan Wang; Yen-Hsien Lee; Hung-Chun Liu; Ming-Chih Lee; Finance Research Letters 2021-01-01
271 Algorithms Put to Test: Control of Algorithms in Securities Trading Through Mandatory Market Simulations?
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Abstract: In the European Union, the algorithmic trading regime introduced by MiFID II requires firms to test and simulate their algorithms before deploying them on the market. While there …		 Patrick Raschner; Social Science Research Network 2021-01-01
272 Dynamic Portfolio Choice and Information Trading with Recursive Utility
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Abstract: This paper examines a consumption-portfolio allocation and information trading problem with recursive utility in continuous time when stock returns are unobservable and when …		 Xingjiang Chen; Xinfeng Ruan; Wenjun Zhang; Economic Modelling 2021-01-01
273 Adversarial Attacks Against Reinforcement Learning-Based Portfolio Management Strategy
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Abstract: Many researchers have incorporated deep neural networks (DNNs) with reinforcement learning (RL) in automatic trading systems. However, such methods result in complicated …		 Yu-Ying Chen; Chiao-Ting Chen; Chuan-Yun Sang; Yao-Chun Yang; Szu-Hao Huang; IEEE Access 2021-01-01
274 High Frequency and Dynamic Pairs Trading with Ant Colony Optimization
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Abstract: In recent years, there has been an explosion of research in metaheuristics, which provides efficient solutions that are close to optimal with lower computing times. Applying …		 José Cerda; Nicolás Rojas-Morales; Marcel C. Minutolo; Werner Kristjanpoller; Computational Economics 2021-01-01
275 Overview of The Software Complex for High-Frequency Exchange Trading on The Stock Market
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Abstract: A computational complex for processing large volumes of data generated on exchanges in high-frequency mode is described. Procedures for conducting exchange trades, strategies for …		 Igor Gasanov; Anton Ereshko; 2021 14th International Conference Management of … 2021-01-01
276 Analysis of The Performance of Volatility-based Trading Strategies on Scheduled News Announcement Days: An International Equity Market Perspective
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Abstract: This study explores the performance of volatility-based trading strategies on scheduled news announcement days. The design of the investment strategies is based on the fall of the …		 Raquel López; Carlos Esparcia; International Review of Economics & Finance 2021-01-01
277 A Multi-layer and Multi-ensemble Stock Trader Using Deep Learning and Deep Reinforcement Learning
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Abstract: The adoption of computer-aided stock trading methods is gaining popularity in recent years, mainly because of their ability to process efficiently past information through machine …		 Salvatore Carta; Andrea Corriga; Anselmo Ferreira; Alessandro Sebastian Podda; Diego Reforgiato Recupero; Applied Intelligence 2021-01-01
278 Uncovering Retail Trading in Bitcoin: The Impact of COVID-19 Stimulus Checks
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Abstract: In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these …		 Anantha Divakaruni; Peter Zimmerman; 2021-01-01
279 The Effect Of Stock Price, Share Return, Share Trading Volume, And Return Variant On Bid-Ask Spread On Textile And Garment Companies Listed On The Indonesia Stock Exchange, 2019-2020
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Abstract: This study aims to obtain empirical evidence of the effect of Stock Price, Stock Return, Stock Trading Volume, and Return Variant on the Bid-Ask Spread of Stocks in Textile and …		 Heny Sidanti; Annisa Istikhomah; International Journal of Science, Technology & Management 2021-01-01
280 What Happened to The Rest? A Principled Approach to Clean-Up Costs in Algorithmic Trading
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Abstract: This article proposes a practical and computationally efficient methodology to assign a value for clean-up cost, the opportunity cost associated with the cancelled portion of an …		 Petter N. Kolm; Nicholas Westray; Capital Markets: Asset Pricing & Valuation eJournal 2021-01-01
281 A Parallel Multi-module Deep Reinforcement Learning Algorithm for Stock Trading
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Abstract: In recent years, deep reinforcement learning (DRL) algorithm has been widely used in algorithmic trading. Many fully automated trading systems or strategies have been built using …		 Cong Ma; Jiangshe Zhang; Junmin Liu; Lizhen Ji; Fei Gao; Neurocomputing 2021-01-01
282 Concept for Automated Energy Trading in MV and LV Electrical Distribution Grids Based on Approximated Supply Function Equilibrium
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Abstract: The introduction of new technologies and local energy trading concepts in distribution grids are on a rise. However, even though significant progress is being made, there is no …		 Perica Ilak; Lin Herenčić; Helena Benković; Ivan Rajšl; IEEE EUROCON 2021 – 19th International Conference on Smart … 2021-01-01
283 Discontinued Positive Feedback Trading and The Decline of Momentum Profitability
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Abstract: We present evidence that equity momentum strategies are partially driven by positive-feedback trading intermediated via the mutual fund sector. We identify a U.S.-specific …		 Itzhak Ben-David; Jiacui Li; Andrea Rossi; Yang Song; S&P Global Market Intelligence Research Paper Series 2021-01-01
284 Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in The Natural Gas and Crude Oil Markets?
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Abstract: For fixed maturity, under the no-arbitrage assumption, futures prices should follow a martingale with respect to the trading time, at least under the pricing measure. Therefore, a …		 Christian-Oliver Ewald; Erik Haugom; Gudbrand Lien; Ståle Størdal; Yuexiang Wu; OPER: Single Decision Maker (Topic) 2021-01-01
285 A New Strategy for Short-Term Stock Investment Using Bayesian Approach
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Abstract: In this paper, an application of the Bayesian classifier for short-term stock trend prediction is presented. In order to use Bayesian classifier effectively, we transform the …		 Tai Vo-Van; Ha Che-Ngoc; Nghiep Le-Dai; Thao Nguyen-Trang; Computational Economics 2021-01-01
286 The Impact of Algorithmic Trading on Liquidity in Futures Markets: New Insights Into The Resiliency of Spreads and Depth
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 Alex Frino; Dionigi Gerace; Masud Behnia; Journal of Futures Markets 2021-01-01
287 Impact of Real-World Market Conditions on Returns of Deep Learning Based Trading Strategies
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Abstract: Based on recent advancements in natural language processing, computer vision and robotics, a growing number of researchers and traders attempt to predict future asset prices using …		 Mirko Corletto; Matthias Kissel; Klaus Diepold; 2021 International Conference on Electrical, Computer, … 2021-01-01
288 Ensemble Classifier for Stock Trading Recommendation
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 Chukiat Worasucheep; Applied Artificial Intelligence 2021-01-01
289 Peer Review #2 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.2)
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 2021-01-01
290 The Profitability of Trading Strategies from Sharia-compliant and Conventional Banks in The GCC: A Comparative Study
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Abstract: Purpose The purpose of this research was to examine the effectiveness of filter rules and investigate the weak form of the efficient market hypothesis (EMH) on sample shares of …		 Hesham I. Almujamed; Journal of Investment Compliance 2021-01-01
291 Peer Review #1 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.2)
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 2021-01-01
292 US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks
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Abstract: We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US …		 Olga Dodd; Bart Frijns; Ivan Indriawan; Roberto Pascual; Capital Markets: Market Microstructure eJournal 2021-01-01
293 A New Hybrid VMD-ICSS-BiGRU Approach for Gold Futures Price Forecasting and Algorithmic Trading
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 Yuze Li; Shouyang Wang; Yunjie Wei; Qing Zhu; IEEE Transactions on Computational Social Systems 2021-01-01
294 Algorithmic Trading Methods
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 2021-01-01
295 Multi-asset Scenario Building for Trend-following Trading Strategies
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Abstract: This paper presents a new method for improving the performance of trend-following trading strategies. This new approach improves the inherent problem of trend-following …		 Andreas Thomann; Ann. Oper. Res. 2021-01-01
296 A Cooperative Dynamic Approach to Pairs Trading
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Abstract: Based on recent works on stocks comovement, Pairs Trading’s strategy is enhanced by reducing the stock universe to the stocks with the lower volatility on a given date. From this …		 J. P. Ramos-Requena; M. N. López-García; M. A. Sánchez-Granero; J. E. Trinidad-Segovia; Complexity 2021-01-01
297 Price-Bands: A Technical Tool for Stock Trading
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Abstract: Given a stochastic process with known finite dimensional distributions, we construct lower and upper bounds within which future values of the stochastic process run, at a fixed …		 Jinwook Lee; Joonhee Lee; András Prékopa; 2021-01-01
298 Efek Pemilu Presiden Terhadap Volume Perdagangan Saham Di Pasar Modal Indonesia
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Abstract: The “reason for this research is to see the average difference of stock trading volume activity after and before the implementation of the Presidential Election. This research …		 Citra Puspa Permata; Muhammad Abdul Ghoni; Disclosure: Journal of Accounting and Finance 2021-01-01
299 Rational Quantitative Trading in Efficient Markets
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Abstract: We present a model of financial markets where quantitative trading emerges endogenously as an automated price-contingent strategy under human discretion. Pricecontingent trading …		 Stefano Rossi; Katrin Tinn; J. Econ. Theory 2021-01-01
300 A Study on High-frequency Trading, Technology and Regulations in India
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 Rajan Lakshmi; Vedala Naga Sailaja; International Journal of Financial Services Management 2021-01-01
301 Uang Virtual (Cryptocurrency) Sebagai Sarana Tindak Pidana Pencucian Uang Dalam Perdagangan Saham
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Abstract: The continuation of the electronic media that is widely discussed today is virtual money, commonly known as cryptocurrency. Cryptocurrency can also be referred to as an unformed …		 Dewanti Arya Maha Rani; I Nyoman Gede Sugiartha; Ni Made Sukaryati Karma; 2021-01-01
302 Modifying ORB Trading Strategies Using Particle Swarm Optimization and Multi-objective Optimization
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Abstract: Opening range breakout (ORB) is a well-known trading strategy in which predetermined price thresholds are used to characterize price movements. However, some researchers have …		 Jia-Hao Syu; Mu-En Wu; Journal of Ambient Intelligence and Humanized Computing 2021-01-01
303 Ensembling and Dynamic Asset Selection for Risk-Controlled Statistical Arbitrage
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Abstract: In recent years, machine learning algorithms have been successfully employed to leverage the potential of identifying hidden patterns of financial market behavior and, …		 Salvatore M. Carta; Sergio Consoli; Alessandro Sebastian Podda; Diego Reforgiato Recupero; Maria Madalina Stanciu; IEEE Access 2021-01-01
304 An Intelligent Quantitative Trading System Based on Intuitionistic-GRU Fuzzy Neural Networks
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Abstract: Quantitative trading based on intelligent algorithms has been a hot topic in the financial fields. However, the high noises and outliers increase the uncertainty and …		 Yuan Wang; Chao Luo; Appl. Soft Comput. 2021-01-01
305 Two Shades of Opacity: Hidden Orders and Dark Trading
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Abstract: Regulators are concerned that large volumes of trading outside lit venues (i.e., dark trading) harms the functioning of financial markets. In contrast, regulators are neutral …		 Hans Degryse; Nikolaos Karagiannis; Geoffrey Tombeur; Gunther Wuyts; Journal of Financial Intermediation 2021-01-01
306 Oil Price Volatility Forecasts: What Do Investors Need to Know?
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Abstract: Contrary to the current practice that mainly considers stand-alone statistical loss functions, the aim of the paper is to assess oil price volatility forecasts based on …		 Stavros Degiannakis; George Filis; Journal of International Money and Finance 2021-01-01
307 Algorithmic Trading and Firm Value
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Abstract: Using data from 2002 to 2013, we show that algorithmic trading has a positive impact on firm value. Most of this positive impact flows through the channels of stock liquidity, …		 Brian C. Hatch; Shane A. Johnson; Qin Emma Wang; Jun Zhang; Journal of Banking and Finance 2021-01-01
308 Does Gender and Family Income Impact Stock Trading of B-School Students? Findings from A Stock Simulation Exercise
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Abstract: Educators across the globe utilize online stock market simulation games to introduce students to trading in the stock market. The primary objective of the simulation exercise is …		 Nisha Prakash; Subburaj Alagarsamy; Vision: The Journal of Business Perspective 2021-01-01
309 IS BITCOIN IMMUNE TO THE COVID-19 PANDEMIC?
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Abstract: This study examines how Bitcoin’s trading characteristics react to the COVID-19 pandemic, using detailed futures trading data from the Chicago Mercantile Exchange. The results …		 S. Thomas Kim; Svetlana Orlova; Applied Finance Letters 2021-01-01
310 Principles of Multitrading
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Abstract: Modern software and hardware tools provide unprecedented freedom for a variety of activities in the forex markets, from trading to analyzing the feasibility of models of nonlinear …		 Феликс Освальдович Каспаринский; Russian Digital Libraries Journal 2021-01-01
311 DERIVATIVE MARKETS-USING OPTIONS TRADING STRATEGY IN MONGOLIAN STOCK MARKET
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Abstract: This study identifies some opportunities to introduce derivative instruments based on the practical experience of other countries, and provides some estimates of the …		 Davaadalai Darkhabaatar; 2021-01-01
312 Research on Stock Market Analysis Based on Deep Learning
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Abstract: Quantitative trading can analyze financial data with its mathematical models and artificial intelligence models, and conduct transactions through computer programs to maximize …		 Allam Maalla; Chong Yao Zhuang; Qin Hui Feng; Lu Shen; 2021 IEEE 4th Advanced Information Management, … 2021-01-01
313 LASSO-based High-frequency Return Predictors for Profitable Bitcoin Investment
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Abstract: This article explores the Bitcoin return predictability of variables constructed from one-minute high-frequency Bitcoin trading data. During the training period of 2012–2018, …		 Weige Huang; Xiang Gao; Applied Economics Letters 2021-01-01
314 Designing Strategies for Autonomous Stock Trading Agents Using A Random Forest Approach
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Abstract: Machine learning-based autonomous agents are valuable for back-testing stock trading strategies, including algorithmic trading. Several studies in the financial literature have …		 Monira Aloud; 2021-01-01
315 Does High-Frequency Trading Impede Order Execution in The Stock Market?
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 Kun Li; Procedia Computer Science 2021-01-01
316 Trading Decision Making Based on Hybrid Neural Network
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Abstract: Now, with the dominance of electronic stock trading, it is possible to find and make profit from the price difference in real time. Machine learning has been applied in stock …		 Wu Haotian; 2021 6th International Conference on Intelligent Computing … 2021-01-01
317 Dark Pool Trading and Information Acquisition
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Abstract: Theory suggests that dark pools may facilitate or discourage information acquisition. We find that more dark pool trading leads to greater information acquisition. We measure …		 Jonathan Brogaard; Jing Pan; The Review of Financial Studies 2021-01-01
318 Pair Trading with Machine Learning Strategy in China Stock Market
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Abstract: Pair trading is a valuable market-neutral strategy used by many hedge funds. Instead of focusing on prices, pair trading values reliabilities by analyzing relative prices of two …		 Lizi Zhang; 2021 2nd International Conference on Artificial … 2021-01-01
319 Spot Trading Strategy Considering Multiple Constraints for Electricity Retailers
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Abstract: In order to solve the inert trading and irrational trading of electricity retailers in the spot market trading environment, increase the income of electricity retailers and reduce …		 Guang Zhou; Yulong Jin; Kang Chen; ZhiCheng Zhou; IOP Conference Series: Earth and Environmental Science 2021-01-01
320 Optimal Bitcoin Trading with Inverse Futures
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Abstract: We consider an optimal trading problem for an investor who trades Bitcoin spot and Bitcoin inverse futures, plus a risk-free asset. The investor seeks an optimal strategy to …		 Jun Deng; Huifeng Pan; Shuyu Zhang; Bin Zou; Ann. Oper. Res. 2021-01-01
321 AN ALGORITHMIC TRADING APPLICATION IN CRYPTO EXCHANGE
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 Ayser AYDIN; JOURNAL OF ACADEMIC SOCIAL RESOURCES 2021-01-01
322 Pairs Trading: Is It Applicable to Exchange-traded Funds?
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Abstract: Among the various statistical trading strategies, pairs trading has been widely employed as a market neutral strategy owing to its simple approach and ease of application. In this …		 Ekin Tokat; Ahmet Cevdet Hayrullahoğlu; Borsa Istanbul Review 2021-01-01
323 Design of Simulated Stock Forecasting Trading System Based on Time Series
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Abstract: The stock market is a highly complex nonlinear dynamic system. The stock price involves many uncertain factors. The influencing factors of the stock market are very complex and …		 Mingchen Zhang; 2021 IEEE 4th International Conference on Information … 2021-01-01
324 Applying Technical Trading Rules to Beat Long-Term Investing: Evidence from Asian Markets
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Abstract: We provide evidence that the use of technical trading rules provides traders the opportunity to generate profits from actively buying and selling individual stocks across Asian …		 Thomas S. Coe; Kittipong Laosethakul; Asia-pacific Financial Markets 2021-01-01
325 Implied Volatility Forecast and Option Trading Strategy
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Abstract: We examine the implied volatility derived from an improved Artificial Bee Colony with Back Propagation (BP) neural network model that is Artificial Bee Colony-Back Propagation …		 Dehong Liu; Yucong Liang; Lili Zhang; Peter Lung; Rizwan Ullah; International Review of Economics & Finance 2021-01-01
326 Policy Gradient Learners in Trading Agricultural ETFs
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Abstract: This paper analyzes the use of Reinforcement Learning in trading Agricultural ETFs. The first section of the paper examines the performance of using a naive trading strategy to be …		 Alexander Fleiss; Vishal Dhileepan; Rohan Mehta; Zoe Wang; Corina Perez-Cobb; Social Science Research Network 2021-01-01
327 Predict High-frequency Trading Marker Via Manifold Learning
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Abstract: High-frequency trading (HFT) has continuously evolved and dominated trading in the past decades. However, HFT trading marker prediction is a rarely investigated problem in Fintech …		 HENRY HAN et. al. Knowl. Based Syst. 2021-01-01
328 Quantum Computing in High Frequency Trading and Fraud Detection
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Abstract: Quantum Computing in high-frequency trading and fraud detection is an analysis of quantum computing and how it can be used by the different industries especially finance. It is an …		 Apoorva Ganapathy; Engineering International 2021-01-01
329 Optimal VWAP Strategies Under Regime Switching
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Abstract: In this paper, we analyze the problem of trading a large position in the market place when the stock price dynamic follows a regime switching process. In this work, we are …		 Moustapha Pemy; 2021 55th Annual Conference on Information Sciences and … 2021-01-01
330 Algorithmic Trading Regulation: The Frameworks for Human Supervision and Direct Market Interventions
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Abstract: This paper examines the regulation of algorithmic trading in the capital markets and focuses on the human supervision and director market interventions. We compare the regulation …		 Joseph Lee; Lukas Schu; Legal Perspectives in Information Systems eJournal 2021-01-01
331 THE EFFECT OF CAPITAL GAIN AND DIVISION OF DIVIDENDS ON SHARE TRADING VOLUME IN PT. UNILEVER INDONESIA Tbk
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Abstract: This study aims to determine, understand, and analyze the effect of capital gains and dividends on the volume of stock trading at PT. Unilever Indonesia tbk. the population in …		 Anggi Aladini; Nafisah Nurulrahmatia; 2021-01-01
332 Algorithmic Finance: Algorithmic Trading Across Speculative Time-Spaces
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 Thomas Skou Grindsted; Annals of the American Association of Geographers 2021-01-01
333 Novel Deep Reinforcement Algorithm With Adaptive Sampling Strategy for Continuous Portfolio Optimization
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Abstract: Quantitative trading targets favorable returns by determining patterns in historical data through statistical or mathematical approaches. With advances in artificial intelligence, …		 Szu-Hao Huang; Yu-Hsiang Miao; Yi-Ting Hsiao; IEEE Access 2021-01-01
334 Stock Trading Via Feedback Control Methods
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 B. Ross Barmish; James A. Primbs; Encyclopedia of Systems and Control 2021-01-01
335 Breaking VIX at Open: Evidence of Uncertainty Creation and Resolution
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Abstract: We decompose daily (close-to-close) changes of VIX into overnight (close-to-open) and trading-hour (open-to-close) changes. Consistent with the notion that non-trading creates …		 Jingjing Chen; George J. Jiang; Chaowen Yuan; Dongming Zhu; ERN: Other Econometric Modeling: Derivatives (Topic) 2021-01-01
336 Automated Stock Trading System Using Deep Reinforcement Learning and Price and Sentiment Prediction Modules
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 Roberto Fray da Silva; 2021-01-01
337 A SPEA-Based Group Trading Strategy Portfolio Optimization Algorithm
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 Chun-Hao Chen; Chong-You Ye; Yeong-Chyi Lee; Tzung-Pei Hong; 2021-01-01
338 DAMPAK CURRENT RATIO DAN RETURN ON EQUITY TERHADAP TRADING VOLUME ACTIVITY DENGAN PRICE TO BOOK VALUE SEBAGAI VARIABEL MODERATING PADA JAKARTA ISLAMIC INDEX PERIODE 2015 – 2019
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Abstract: Investors always believe that if the company performs well it can increase the volume of stock trading. Therefore, many companies are trying to increase company activity and …		 Elly Susanti; 2021-01-01
339 Who Profits From Trading Options?
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Abstract: We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. We find that retail investors in particular favor a consistent …		 Jianfeng Hu; Antonia Kirilova; Seongkyu Park; Doojin Ryu; SSRN Electronic Journal 2021-01-01
340 Machine Learning, Market Manipulation and Collusion on Capital Markets: Why The ‘Black Box’ Matters
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Abstract: This paper offers a novel perspective on the implications of increasingly autonomous and “black box” algorithms, within the ramification of algorithmic trading, for the integrity …		 Alessio Azzutti; Wolf-Georg Ringe; H. Siegfried Stiehl; CompSciRN: Other Machine Learning (Topic) 2021-01-01
341 Active Trading in ETFs: The Role of High-Frequency Algorithmic Trading
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Abstract: In the study reported here, we explored high-frequency algorithmic trading and its effect on exchange-traded funds (ETFs). Using the cancel rate, the trade-to-order ratio, …		 Archana Jain; Chinmay Jain; Christine X. Jiang; Financial Analysts Journal 2021-01-01
342 Optimal Trading Strategies for Multi-Energy Microgrid Cluster Considering Demand Response Under Different Trading Modes: A Comparison Study
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Abstract: The linkage of neighborhood multi-energy microgrids (MEMGs) may overcome the disadvantage of one single microgrid (MG) since surplus/deficient energy can meet balance internally …		 Qiong Wu; Zhun Xie; Hongbo Ren; Qifen Li; Yongwen Yang; ERN: Energy (Topic) 2021-01-01
343 Bargaining Strategies in Bilateral Electricity Trading Based on Fuzzy Bayesian Learning
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Abstract: Bilateral electricity trading is a general transaction mode in electricity market, market subjects’ trading strategies will influence social welfare of the market. This study aims …		 Zuo Yi; Zhao Xin-gang; Zhang Yu-zhuo; International Journal of Electrical Power & Energy Systems 2021-01-01
344 News and Intraday Retail Investor Order Flow in Foreign Exchange Markets
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Abstract: This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and …		 Filia Kaourma; Andreas Milidonis; George Nishiotis; Marios A. Panayides; FEN: Behavioral Finance (Topic) 2021-01-01
345 Design of Optimized Trading Strategies with Web Assembly
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Abstract: Web Assembly is growing and also the most widely studied area which interests many developers when it comes to performance and speed to make web development fast as ever. When it …		 Shubham R Rahate; International Journal for Research in Applied Science and … 2021-01-01
346 Transferring Trading Strategy Knowledge to Deep Learning Models
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Abstract: Trading strategies are constantly being employed in the financial markets in order to increase consistency, reduce human errors of judgment and boost the probability of taking …		 Avraam Tsantekidis; Anastasios Tefas; Knowledge and Information Systems 2021-01-01
347 Stock Trading Indices: A Mechanism for Attracting Speculative Capital
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 ANNA SLOBODIANYK et. al. XIV International Scientific Conference “INTERAGROMASH 2021 2021-01-01
348 Research on Financial Data Analysis Based on Applied Deep Learning in Quantitative Trading
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Abstract: This research aiming at the situation of traditional quantitative trading that cannot be effectively identified in the case of major stock fluctuations, a shock index is designed …		 Allam Maalla; ChongYao Zhuang; QinHui Feng; 2021 IEEE 4th Advanced Information Management, … 2021-01-01
349 Dynamic Time Warping: S&P 500 Sector ETF Pattern Matching Trading Strategy
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Abstract: The authors examine an optimized Markowitz efficient portfolio by applying a quantitative trading strategy to the S&P 500 sector exchanged-traded funds (ETFs). First, they …		 Alexander Fleiss; Che Liu; Gihyen Eom; Serena Yu; Wo Zhang; 2021-01-01
350 Sustainable Development of The Business Debt Trading Market in Vietnam: A View of Vietnam Debt and Asset Trading Corporation
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Abstract: Along with production and business activities, debt is also a major concern of Vietnamese businesses. Debt can help businesses do business better, but it can also make businesses …		 Hong Nhung Do; Thi Dieu Huong Tran; 2021-01-01
351 Uncovering Retail Trading in Bitcoin: The Impact of COVID-19 Stimulus Checks
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Abstract: In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these …		 Peter Zimmerman; Anantha Divakaruni; Law & Economics eJournal 2021-01-01
352 The Relation Between Trading Volume Concentration and Stock Returns
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Abstract: The Taiwan Stock Exchange discloses data on daily trading volume across brokerage firms for each listed stock. Market practitioners suggest that the concentration of trading …		 Chen-Chang Lo; Yaling Lin; Jiann-Lin Kuo; Yi Ting Wen; International Journal of Economics and Financial Research 2021-01-01
353 Digitalization of Data Analysis Tools As The Key for Success in The Online Trading Markets
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Abstract: Digitalization is the process, which takes places in the contemporary world, severe competition in all markets, growing demand for new and easy technologies, changing software …		 Andrii Roskladka; Roman BAIEV; Access Journal – Access to Science, Business, Innovation in … 2021-01-01
354 High-frequency Electricity Trading: Empirics, Fundamentals, and Stochastics
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Abstract: In the wake of the continuous digital transformation and the rapid increase in the amount of available data, trading on financial markets takes place at ever higher frequencies. …		 Marcel Kremer; 2021-01-01
355 Building Intelligent Moving Average-Based Stock Trading System Using Metaheuristic Algorithms
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Abstract: Many studies have been proposed to prove that technical analysis can help investors make trading decisions. The moving average (MA) is a widely used technical indicator that plays …		 Shu-Yu Kuo; Yao-Hsin Chou; IEEE Access 2021-01-01
356 Flocking-based Decentralised Double Auction for P2P Energy Trading Within Neighbourhoods
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Abstract: Renewable energy sources are highly unreliable and create unreliable energy surplus and energy demands. These energy surpluses and demands can be traded frequently within …		 Kosala Yapa Bandara; Subhasis Thakur; John Breslin; International Journal of Electrical Power & Energy Systems 2021-01-01
357 A Q-learning Agent for Automated Trading in Equity Stock Markets
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Abstract: Trading strategies play a vital role in Algorithmic trading, a computer program that takes and executes automated trading decisions in the stock market. The conventional wisdom is …		 Jagdish Chakole; Mugdha S. Kolhe; Grishma D. Mahapurush; Anushka Yadav; Manish P. Kurhekar; Expert Syst. Appl. 2021-01-01
358 Online Financial Trading Among Young Adults: Integrating The Theory of Planned Behavior, Technology Acceptance Model, and Theory of Flow
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Abstract: This paper aims to examine the mechanism that explains young consumers’ intention to perform online financial trading by integrating technology acceptance model, flow model, and …		 Saeed Pahlevan Sharif; Navaz Naghavi; International Journal of Human–Computer Interaction 2021-01-01
359 Trading Cryptocurrencies As A Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume
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Abstract: This paper examines the impact of COVID-19 lockdowns on Bitcoin trading volume. Using data from Apple mobility trends and several time-series econometric models, we find that …		 Alexander Guzmán; Christian Pinto-Gutiérrez; María-Andrea Trujillo; Mathematics 2021-01-01
360 Transactions of The National Pension Service of Korea in The KOSPI200 Futures Market
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Abstract: It is known that the National Pension Service (NPS) of Korea contributes to the market stability because it tends to pursue the negative feedback trading strategy in the Korean …		 Meong Ae Kim; Mincheol Woo; Journal of Derivatives and Quantitative Studies: 선물연구 2021-01-01
361 A Study on High Frequency Trading: Technology and Regulations in India
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 Vedala Naga Sailaja; Rajan Lakshmi Amirapu; International Journal of Financial Services Management 2021-01-01
362 FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance
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Abstract: Deep reinforcement learning (DRL) has been envisioned to have a competitive edge in quantitative finance. However, there is a steep development curve for quantitative traders to …		 Xiao-Yang Liu; Hongyang Yang; Jiechao Gao; Christina Wang; ArXiv 2021-01-01
363 Algorithmic Trading for A Buy-sell Platform: Study and Comparison
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Abstract: With the high-paced change in the world, the market trends are changing fast and so do the technological innovations. The market is constantly moving and being affected by a …		 Aishwarya Sakhare; Nihar Mhaskar; Vicky Mishra; Madhuri Chavan; ITM Web of Conferences 2021-01-01
364 Trading Frictions and The Post-Earnings-Announcement Drift
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Abstract: We use laboratory experiments to analyze how the existence of trading frictions (a transaction fee and a ban on short selling and margin buying) affects occurrence and strength of …		 Josef Fink; Stefan Palan; Erik Theissen; Behavioral & Experimental Accounting eJournal 2021-01-01
365 THE IMPACT OF INDONESIAN PRESIDENTIAL ELECTION THE 2019 ON ABNORMAL RETURN AND STOCK TRADING VOLUME ACTIVITY ON IDX (EMPIRIST EVENT STUDY ON STOCK LISTED IN THE LQ 45 INDEX IN 2019)
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Abstract: Political events can affect stock prices in economic or non-economic terms. The political events of the general election are quite interesting topics for testing the information …		 Ahmad Amrulah Arif; Sudjono Sudjono; 2021-01-01
366 FinRL-Podracer: High Performance and Scalable Deep Reinforcement Learning for Quantitative Finance
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Abstract: Machine learning techniques are playing more and more important roles in finance market investment. However, finance quantitative modeling with conventional supervised learning …		 ZECHU LI et. al. ArXiv 2021-01-01
367 Customizable and Committee Data Mining Framework for Stock Trading
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Abstract: This study proposes a customizable and committee data mining (DM) framework for stock trading. The underlying conjecture is that different stocks may have different trading …		 Hui-Chih Hung; Yu-Jen Chuang; Muh-Cherng Wu; Appl. Soft Comput. 2021-01-01
368 A ML-Based Stock Trading Model for Profit Predication
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 Jimmy Ming-Tai Wu; Lingyun Sun; Gautam Srivastava; Chun-Wei Lin; 2021-01-01
369 A Brief Review of Responsible AI and Socially Responsible Investment in Financial and Stock Trading
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Abstract: Automated trading is used in most of the major markets of our world. In order to ensure sustainable development, incorporating ethical and socially responsible ideas while …		 A. K. M. AMANAT ULLAH et. al. 2021-01-01
370 Pairs Trading Via Unsupervised Learning
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Abstract: This paper develops a pairs trading strategy via unsupervised learning. Unlike conventional pairs trading strategies that identify pairs based on return time series, we identify …		 Chulwoo Han; Zhaodong He; Alenson Jun Wei Toh; DecisionSciRN: Investment Decision-Making (Topic) 2021-01-01
371 Market Impact Decay and Capacity
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Abstract: Recent studies have documented that market impact decays slowly through time. We study the impact of such slow decay on trading strategies’ capacity. To do so, we propose a …		 Hector Chan; PSN: Other International Political Economy: Investment & … 2021-01-01
372 Applying Deep Reinforcement Learning in Automated Stock Trading
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 Hieu Trung Nguyen; Ngoc Hoang Luong; 2021-01-01
373 Performance Evaluation of High Frequency Trading Using A Deep Learning
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 Woosik Lee; Journal of Next-generation Convergence Information Services … 2021-01-01
374 Trading Signatures: Investor Trade Allocation in Stock Markets
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Abstract: Investors in stock markets face a huge amount of financial information. For that reason, they must decide how to distribute their trading effort across different securities. We …		 Kęstutis Baltakys; Juho Kanniainen; Jari Saramäki; Mikko Kivelä; ERN EM Feeds 2021-01-01
375 Ultra-short-term Trading System Using A Neural Network-based Ensemble of Financial Technical Indicators
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Abstract: The proposed paper presents the analysis, design, implementation and evaluation of an ultra-short-term frequency trading system for the foreign exchange (FOREX) market, which …		 Theodoros Zafeiriou; Dimitris Kalles; Neural Computing and Applications 2021-01-01
376 The Relationships Between Abnormal Return, Trading Volume Activity and Trading Frequency Activity During The COVID-19 in Indonesia
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Abstract: This study aims to determine whether there are differences in the average abnormal return, trading volume activity, and trading frequency activity in pharmaceutical stocks before …		 G EnricoFernandaSaputra; Nur Aisyah Febrianti Pulungan; Bambang Subiyanto; Journal of Asian Finance, Economics and Business 2021-01-01
377 Intelligent Algorithmic Trading Strategy Using Reinforcement Learning and Directional Change
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Abstract: Designing a profitable trading strategy plays a critical role in algorithmic trading, where the algorithm can manage and execute automated trading decisions. Determining a …		 Monira Essa Aloud; Nora Alkhamees; IEEE Access 2021-01-01
378 Genetic Algorithms and Applications for Stock Trading Optimization
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 Vivek Kapoor; Shubhamoy Dey; Advances in Computational Intelligence and Robotics 2021-01-01
379 Customer Adaptive Automated Trading System with Capital Risk Analysis Using Machine Learning
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Abstract: Stock market plays a huge role in the economy of our country. Several attempts have been made to analyse and predict the stock market. While the existing systems try to exploit …		 Harsh Agarwal; Aditi Kandoi; Bhavya Ahir; Sudhir Dhage; 2021 3rd International Conference on Signal Processing and … 2021-01-01
380 Stochastic Optimization of Trading Strategies in Sequential Electricity Markets
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Abstract: Quantity and price risks determine key uncertainties market participants face in electricity markets with increased volatility, for instance due to high shares of renewables. In …		 Emil Kraft; Marianna Russo; Dogan Keles; Valentin Bertsch; Research Papers in Economics 2021-01-01
381 A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance
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Abstract: In the present paper, we test the benefit of using Markov-Switching models and volatility futures diversification in a Euro-based stock portfolio. With weekly data of the …		 Oscar V. De la Torre-Torres; Evaristo Galeana-Figueroa; José Álvarez-García; 2021-01-01
382 On The Intraday Return Curves of Bitcoin: Predictability and Trading Opportunities
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Abstract: Motivated by the potential inferences from intraday price data in the controversial Bitcoin market, we apply functional data analysis techniques to study cumulative intraday …		 Elie Bouri; Chi Keung Marco Lau; Tareq Saeed; Shixuan Wang; Yuqian Zhao; International Review of Financial Analysis 2021-01-01
383 Algorithmic Trading Bot
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Abstract: Algorithmic trading uses algorithms that follow a trend and defined set of instructions to perform a trade. The trade can generate revenue at an inhuman and enhanced speed and …		 Medha Mathur; Satyam Mhadalekar; Sahil Mhatre; Vanita Mane; ITM Web of Conferences 2021-01-01
384 Parallelizing High-Frequency Trading Using GPGPU
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Abstract: The world of trading and market has evolved greatly. With the aid of technology, traders and trading establishments use trading platforms to perform various transactions. They are …		 Aditya Anil; Ashwin Sudha Arun; Lalitha Ramchandar; A. Balasundaram; National Academy Science Letters 2021-01-01
385 A Synchronous Deep Reinforcement Learning Model for Automated Multi-stock Trading
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Abstract: Automated trading is one of the research areas that has benefited from the recent success of deep reinforcement learning (DRL) in solving complex decision-making problems. Despite …		 Rasha AbdelKawy; Walid M. Abdelmoez; Amin Shoukry; Progress in Artificial Intelligence 2021-01-01
386 Optimal Pairs Trading Strategy Under Geometric Brownian Motion and Its Application to The US Stocks
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Abstract: This study is a study on pair trading, a representative market-neutral investment strategy. A general pair trading strategy uses econometric techniques to select a pair of stocks …		 Dong Hoon Shin; International journal for innovation education and research 2021-01-01
387 An Intelligent Hybrid System for Forecasting Stock and Forex Trading Signals Using Optimized Recurrent FLANN and Case-Based Reasoning
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Abstract: An accurate prediction of future stockmarket trends is a bit challenging as it requires a profound understanding of stock technical indicators, including market-dominant factors …		 D. K. Bebarta; T. K. Das; Chiranji Lal Chowdhary; Xiao-Zhi Gao; Int. J. Comput. Intell. Syst. 2021-01-01
388 The Profitability of Pair Trading Strategy in Stock Markets: Evidence from Toronto Stock Exchange
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Abstract: Market practitioners and speculators attempt to make benefits from the existence of market price gaps and profit opportunities by arbitrage strategies Although some investors …		 GholamReza Keshavarz Haddad; Hassan Talebi; International Journal of Finance & Economics 2021-01-01
389 Algo-Trading Using Statistical Learning and Optimizing Sharpe Ratio and Drawdown
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Abstract: Modernization in computers and Machine Learning have created new opportunities for improving the methods involved in trading, Changes have been noticed parallelly at the level of …		 Penumatcha Bharath Varma; Dr. Jaypal Medida; Neeraj Kasheety; Hanumanula Sravya; Chinthapalli Amarnath Reddy; International Journal of Recent Technology and Engineering … 2021-01-01
390 Time Weighted Price Contribution
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Abstract: In the era of high frequency trading and the pervasiveness of irregularly spaced trading, we control for the time element in the Modified Weighted Price Contribution (MWPC) model …		 Hossein Jahanshahloo; Laima Spokeviciute; Finance Research Letters 2021-01-01
391 When and How Are Rule 10b5-1 Plans Used for Insider Stock Sales?
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Abstract: We study Securities and Exchange Commission (SEC) Rule 10b5-1 stock trading plans. The empirical evidence shows that firm, transaction, and CEO compensation characteristics are …		 Eliezer M. Fich; Robert Parrino; Anh L. Tran; Corporate Governance & Finance eJournal 2021-01-01
392 Intraday Volatility Smile: Effects of Fragmentation and High Frequency Trading on Price Efficiency
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 Stephanie Ligot; Roland Gillet; Iryna Veryzhenko; Journal of International Financial Markets, Institutions … 2021-01-01
393 Introduction to Financial Markets and Algorithmic Trading
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Abstract: This is the initial chapter of a book that presents algorithmic trading. This chapter carefully covers the foreign exchange (FX) market and the stock market. It explores how we …		 Tshepo Chris Nokeri; 2021-01-01
394 The Analysis of Some Trading Strategy on The Stock Market with The Liquidity Shortage
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 EUROPEAN RESEARCH STUDIES JOURNAL 2021-01-01
395 Quants, Strategic Speculation, and Financial Market Quality
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Abstract: We study the effects of quantitative equity investing, an increasingly popular investment style, on financial market quality. Within a noisy REE model of strategic speculation …		 George Malikov; Paolo Pasquariello; Capital Markets: Asset Pricing & Valuation eJournal 2021-01-01
396 Robust Energy Trading for Interconnected Microgrids Under Uncertain Electricity Price
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Abstract: This paper studies the energy trading between the interconnected microgrid, considering the uncertain electricity price of the microgrid and main grid for energy trading, we …		 Hengdu Hu; Bing Wang; Shiqin Yang; 2021 40th Chinese Control Conference (CCC) 2021-01-01
397 Peer-to-peer Trading Optimizations on Net-zero Energy Communities with Energy Storage of Hydrogen and Battery Vehicles
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Abstract: This study develops peer-to-peer energy trading management and optimization approaches of renewable energy systems integrated with energy storage of hydrogen and battery vehicles …		 Jia Liu; Hongxing Yang; Yuekuan Zhou; Applied Energy 2021-01-01
398 Common Dynamic Factors for Cryptocurrencies and Multiple Pair-trading Statistical Arbitrages
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Abstract: In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset …		 Gianna Figá-Talamanca; Sergio Focardi; Marco Patacca; Decisions in Economics and Finance 2021-01-01
399 A Comparative Study of Deep Learning Techniques for Financial Indices Prediction
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Abstract: Automated trading is an approach to investing whereby market predictions are combined with algorithmic decision-making strategies for the purpose of generating high returns while …		 ARGYRIOS P. KETSETSIS et. al. 2021-01-01
400 Blockchain-Enhanced Fair and Efficient Energy Trading in Industrial Internet of Things
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Abstract: As the technical support of the industrial Internet of Things, blockchain technology has been widely used in energy trading, data transactions, and Internet of Vehicles. However, …		 JIANWEN HU et. al. Mobile Information Systems 2021-01-01
401 Optimal Portfolio Execution with A Markov Chain Approximation Approach
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Abstract: We study the problem of executing a large multi-asset portfolio in a short time period where the objective is to find an optimal trading strategy that minimizes both the trading …		 Jingnan Chen; Liming Feng; Jiming Peng; Yu Zhang; IMA Journal of Management Mathematics 2021-01-01
402 Volatility Timing, Sentiment, and The Short-term Profitability of VIX-based Cross-sectional Trading Strategies
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Abstract: This paper explores the profitability of simple short-term cross-sectional trading strategies based on the implied volatility index (VIX), often referred to as an “investor fear …		 Wenjie Ding; Khelifa Mazouz; Qingwei Wang; Journal of Empirical Finance 2021-01-01
403 Intraday Interactions Between High-frequency Trading and Price Efficiency
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Abstract: We examine intraday interactions between high-frequency trading (HFT) and the informational quality of prices to provide evidence on the role of HFT in the price discovery …		 Imen Ben Ammar; Slaheddine Hellara; Finance Research Letters 2021-01-01
404 European Financial Institution Physical Geolocation and The High-frequency Trading Potential
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 Piotr Staszkiewicz; Ewa Łosiewicz-Dniestrzańska; Anna Grygiel-Tomaszewska; The Digitalization of Financial Markets 2021-01-01
405 Trading Strategy of Structured Mutual Fund Based on Deep Learning Network
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Abstract: Considering the trading behavior and trading share numbers, we construct a deep learning network for trading strategies of structured mutual funds. Using data of the structured …		 Jiao Chen; Changqing Luo; Lurun Pan; Yun Jia; Expert Syst. Appl. 2021-01-01
406 Diverse Distributed Renewable Energy Trading Paradigms: A Business Model Review
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Abstract: There are diverse distributed Renewable Energy (RE) trading business models (BM) which enable consumer-prosumer/generator energy trading; however, their efficiency and …		 M. A. C. L. Gunarathna; R. J. Yang; A. Song; Journal of Environmental Planning and Management 2021-01-01
407 A Fuzzimetric Predictive Analytics Model to Reduce Emotional Stock Trading
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 Issam Kouatli; Mahmoud Arayssi; Intelligent and Fuzzy Techniques for Emerging Conditions … 2021-01-01
408 Learning Sentiment-Aware Trading Strategies for Bitcoin Leveraging Deep Learning-Based Financial News Analysis
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 Nikolaos Passalis; S. Seficha; Avraam Tsantekidis; Anastasios Tefas; 2021-01-01
409 Trading on Online Social Mood: A Machine Learning Strategy Based on Twitter Sentiment
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Abstract: This paper examines the potential of using online social sentiment data in algorithmic trading strategies. Several machine learning models are tested to produce a trading signal …		 Chengying He; Mason Lin; Ning Wang; International Journal of Financial Engineering 2021-01-01
410 Pairs Trading with General State Space Models
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Abstract: This study examines pairs trading using a general state space model framework. It models the spread between the prices of two assets as an unobservable state variable assuming …		 Guang Zhang; Quantitative Finance 2021-01-01
411 Some Results of Stock Trading Strategy Based on Fuzzy System
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 Shiyan Xu; Open Journal of Applied Sciences 2021-01-01
412 Predictive Ability of Similarity-based Futures Trading Strategies
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Abstract: A trading rule that draws on the similarity-based analogical reasoning is proposed in an attempt to simulate the technical trading mentality—one that selectively perceives …		 Mi-Hsiu Chiang; Hsin-Yu Chiu; Wei-Yu Kuo; Pacific-basin Finance Journal 2021-01-01
413 Insider Trading and The Algorithmic Trading Environment
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 Millicent Chang; John Gould; Yuyun Huang; Sirimon Treepongkaruna; Joey Wenling Yang; International Review of Finance 2021-01-01
414 Algorithmic Trading Using Machine Learning and Neural Network
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 Devansh Agarwal; Richa Sheth; Narendra Shekokar; Computer Networks, Big Data and IoT 2021-01-01
415 COOPERATIVE GAME THEORY BASED PEER TO PEER ENERGY TRADING ALGORITHM
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Abstract: The energy sector is undergoing a paradigm shift to integrate the increasing volume of embedded renewable energy generation and creating local energy communities or LECs that have …		 Sweta Malik; Maeve Duffy; Subhasis Thakur; Barry Hayes; John G. Breslin; 2021-01-01
416 When Machines Trade on Corporate Disclosures: Using Text Analytics for Investment Strategies
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Abstract: In this study, we evaluate several trading strategies based on the textual content of corporate disclosures using machine learning. To obtain a conservative estimate of …		 Hans Christian Schmitz; Bernhard Lutz; Dominik Wolff; Dirk Neumann; Accounting Technology & Information Systems eJournal 2021-01-01
417 Global Market Inefficiencies
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Abstract: Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant …		 Söhnke M. Bartram; Mark Grinblatt; Journal of Financial Economics 2021-01-01
418 Bitcoin Transaction Strategy Construction Based on Deep Reinforcement Learning
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Abstract: The emerging cryptocurrency market has lately received great attention for asset allocation due to its decentralization uniqueness. However, its volatility and brand new trading …		 Fengrui Liu; Yang Li; Baitong Li; Jiaxin Li; Huiyang Xie; Applied Soft Computing 2021-01-01
419 Algorithmic Trading Using Trend Following Strategy: Evidence from Indian Information Technology Stocks
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 Molla Ramizur Rahman; Data Science and Data Analytics 2021-01-01
420 An Iterative Uniform-price Auction Mechanism for Peer-to-peer Energy Trading in A Community Microgrid
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Abstract: With the rapid deployment of distributed photovoltaic (PV) systems in residential buildings, peer-to-peer (P2P) energy trading in a community microgrid is highly desired since it …		 Shuang Xu; Yong Zhao; Yuanzheng Li; Yue Zhou; Applied Energy 2021-01-01
421 Does Air Pollution Influence Investor Trading Behavior? Evidence from China
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Abstract: Building on the research linking environmental factors to investor mood, we posit that there is a negative relation between air pollution and individual trading strategies. …		 Mengmeng Guo; Mengxin Wei; Lin Huang; Emerging Markets Review 2021-01-01
422 How to Use Exotic Assets for Trading Strategy Improvement
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 Dominik Cisár; SSRN Electronic Journal 2021-01-01
423 Last Hour Momentum in The Chinese Stock Market
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Abstract: PurposeTo capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the T+0 …		 Lu Yang; China Finance Review International 2021-01-01
424 Quantifying The High-Frequency Trading Arms Race
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Abstract: We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as latency arbitrage. The key difference between message data and widely …		 Matteo Aquilina; Eric Budish; Peter O’Neill; Research Papers in Economics 2021-01-01
425 Uncovering The Complex Asymmetric Relationship Between Trading Activity and Commodity Futures Price: Evidenced from QNARDL Study
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Abstract: This study cracks the multidimensional asymmetric relationship between trading activity (volume and open interest) and commodity futures prices to analyze the short-term dynamics …		 Sangram Keshari Jena; Amine Lahiani; Aviral Kumar Tiwari; David Roubaud; Resources Policy 2021-01-01
426 Using Genetic Algorithms to Develop Investment Strategies
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Abstract: Genetic algorithms (GAs) are a powerful search technique. The use of genetic algorithms (GAs) will help in the development of better trading systems. The genetic algorithms (GAs) …		 Advances in Computational Intelligence and Robotics 2021-01-01
427 Trader Positions in VIX Futures
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Abstract: We investigate the dynamic changes in trader positions of market participants in the VIX futures markets. We find that in a low-VIX period, below the 23.81 threshold determined by …		 Yu-Lun Chen; J. Jimmy Yang; Journal of Empirical Finance 2021-01-01
428 Attention: How High-frequency Trading Improves Price Efficiency Following Earnings Announcements
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 Bidisha Chakrabarty; Pamela C. Moulton; Xu Wang; Journal of Financial Markets 2021-01-01
429 An Effective Correlation-Based Pair Trading Strategy Using Genetic Algorithms
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 Chun-Hao Chen; Wei-Hsun Lai; Tzung-Pei Hong; 2021-01-01
430 Neural Networks in Financial Trading
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Abstract: AbstractIn this study, we generate 50 Multi-layer Perceptons, 50 Radial Basis Functions, 50 Higher Order Neural Networks and 50 Recurrent Neural Network and we explore their …		 Georgios Sermpinis; Andreas Karathanasopoulos; Rafael Rosillo; David de la Fuente; Annals of Operations Research 2021-01-01
431 Pairs Trading Strategy for A and H Shares Based on Kalman-HMM Approach
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Abstract: Pairs trading is a statistical arbitrage strategy that takes advantage of unbalanced financial markets. A common difficulty for quantitative trading participants is the detection …		 Ming Zang; Proceedings of Business and Economic Studies 2021-01-01
432 Acceptability of Mobile Stock Trading Application: A Study of Young Investors in Malaysia
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Abstract: Mobile financial services have been adopted rapidly during the digitisation era. This study therefore aims to investigate the antecedents of mobile stock trading adoption among …		 Lee-Lee Chong; Hway-Boon Ong; Siow-Hooi Tan; Technology in Society 2021-01-01
433 Portfolio Diversification Benefits of Alternative Currency Investment in Bitcoin and Foreign Exchange Markets
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Abstract: This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets. The following methods are applied for the …		 Muhammad Owais Qarni; Saiqb Gulzar; Financial Innovation 2021-01-01
434 Lockdown and Retail Trading in The Equity Market
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Abstract: This paper examines the trading patterns of Australian retail investors during the COVID-19 pandemic in 2020. It addresses the possibility that the Australian stock market may be …		 Mardy Chiah; Jason Tian; Angel Zhong; Journal of Behavioral and Experimental Finance 2021-01-01
435 Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, and Regulatory Challenges
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 Robert Zupko; The Social Science Journal 2021-01-01
436 A Novel Synergetic LSTM-GA Stock Trading Suggestion System in Internet of Things
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Abstract: The Internet of Things (IoT) play an important role in the financial sector in recent decades since several stock prediction models can be performed accurately according to …		 Jimmy Ming-Tai Wu; Lingyun Sun; Gautam Srivastava; Chun-Wei Lin; Mob. Inf. Syst. 2021-01-01
437 How Effective Is China’s Cryptocurrency Trading Ban?
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Abstract: Cryptocurrency trading is subject to strict government-imposed restrictions in China since September 2017, when trading platforms were shut down. Using a VAR-GARCH-BEKK model, we …		 Conghui Chen; Lanlan Liu; Finance Research Letters 2021-01-01
438 Low-Latency Hardware Accelerator for Improved Engle-Granger Cointegration in Pairs Trading
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Abstract: Pairs trading is a solidly profitable strategy in the algorithmic trading area, and an important step of this strategy is selecting pairs of stocks. Compared with other existing …		 Shuang Liang; Siyuan Lu; Jun Lin; Zhongfeng Wang; IEEE Transactions on Circuits and Systems I: Regular Papers 2021-01-01
439 Insider Trading Regulation and Shorting Constraints. Evaluating The Joint Effects of Two Market Interventions
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Abstract: Modern capital markets are subject to many interventions and regulations, some of which curtail the implementation of specific trading strategies in a market. While we understand …		 Robert Merl; Thomas Stockl; Stefan Palan; SSRN Electronic Journal 2021-01-01
440 Implementation of Fibonacci Retracements and Exponential Moving Average (EMA) Trading Strategy in Indonesia Stock Exchange
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Abstract: Based on KSEI statistic data on March 2021, IDX individual stock market investor is increasing 199% compared to 2018 becoming 4,848,954 number of investors. 56.9% population of …		 Lusindah Lusindah; Erman Sumirat; European Journal of Business and Management Research 2021-01-01
441 Peer Review #1 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.1)
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442 Peer Review #2 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.1)
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443 Entropy Trading Strategies Reveal Inefficiencies in Japanese Stock Market
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Abstract: We empirically test the weak-form of the Efficient Market Hypothesis on Japanese equity markets with trading strategies timing both large and small capitalization portfolios. We …		 Levan Efremidze; Darrol J. Stanley; Clemens Kownatzki; International Review of Economics & Finance 2021-01-01
444 Characteristics of High-Frequency Trading and Its Forecasts
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Abstract: High-frequency trading (HFT), which is a type of algorithmic trading, accounts for a significant percentage of trading volume in equity markets. Co-location, a low-latency …		 Shigeki Kohda; Kenichi Yoshida; 2021 IEEE 45th Annual Computers, Software, and Applications … 2021-01-01
445 The Determinants of Online Stock Investment in Malaysia: A Case in Early Phase of COVID-19 Pandemic
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Abstract: The purpose of this research is to determine the factors that affect the behavioral intention of Malaysians individuals to adopt online stock trading. The primary data is …		 Tan Yong-Da; Melissa Teoh Teng-Tenk; Lee Teck-Heang; South Asian Journal of Social Studies and Economics 2021-01-01
446 The Effects of Information Content of Cash Flow Statement, Dividend Payout Ratio, Economic Value Added and Corporate Social Responsibility on Stock Trading Volume
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Abstract: Purpose – This study aims to empirically test and analyze the influence of information content of cash flow statements, Dividend Payout Ratio (DPR), Economic Value Added (EVA) …		 Dwi Luvira Oktavianingsih; Otniel Safkaur; Pascalina V. S. Sesa; 2021-01-01
447 A Finite Difference Scheme for Pairs Trading with Transaction Costs
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Abstract: We consider a pairs trading stochastic control problem with transaction costs and constraints on the gross market exposure, and propose a new monotone Finite Difference scheme …		 Zequn Li; Agnès Tourin; Computational Economics 2021-01-01
448 Decision Making Process of Stock Trading Implementing DRQN And ARIMA
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Abstract: The approach to collect realistic trading signals throughout the transaction process to broaden advantages is a long-studied issue. The rapid expansion and dynamic character on …		 Monirul Islam Pavel; Dewan Ahmed Muhtasim; Omar Faruk; 2021 IEEE Madras Section Conference (MASCON) 2021-01-01
449 Survey on The Application of Deep Learning in Algorithmic Trading
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Abstract: Algorithmic trading is one of the most concerned directions in financial applications. Compared with traditional trading strategies, algorithmic trading applications perform …		 Yongfeng Wang; Guofeng Yan; Data Science in Finance and Economics 2021-01-01
450 Perlindungan Hukum Pemegang Saham Minoritas Terhadap Implikasi Praktik Insider Trading Dalam Perdagangan Saham Di Pasar Modal
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Abstract: The capital market is a means provided in order to find sources of financing and as a means of investment that involves all potential public funds, both those available …		 Elza Syarief; Junaidi Junaidi; Journal of law and policy 2021-01-01
451 Algorithmic Trading and Efficiency of The Stock Market in Poland
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Abstract: The aim of the article is to investigate the impact of algorithmic trading on the returns obtained in the context of market efficiency theory. The research hypothesis is that …		 Rafał Jóźwicki; Paweł Trippner; Karolina Kłos; 2021-01-01
452 Application of Bi-Directional Grid Constrained Stochastic Processes to Algorithmic Trading
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Abstract: Bi-directional Grid Constrained (BGC) Stochastic Processes (BGCSP) become more constrained the further they drift away from the origin or time axis are examined here. As they …		 Aldo Taranto; Shahjahan Khan; Journal of Mathematics and Statistics 2021-01-01
453 Quantified Investment Strategies and Excess Returns: Stock Price Forecasting Based on Machine Learning
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Abstract: Under frequent trading strategy, this paper assumes that rational investors will adopt a long-term conservative frequent trading strategy. By studying historical data by machine …		 Zihe Tang; Yanqi Cheng; Ziyao Wang; 2021-01-01
454 Algorithmic Trading Using Technical Indicators
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Abstract: Financial markets are volatile and dynamic. The uncertainties involved in the market and various economic factors affect the asset price. Predicting trends in asset prices and …		 Tanishq Salkar; Aditya Shinde; Neelaya Tamhankar; Narendra Bhagat; 2021 International Conference on Communication information … 2021-01-01
455 Algorithmic Trading Efficiency and Its Impact on Market-Quality
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 Ritesh Kumar Dubey; A. Sarath Babu; Rajneesh Ranjan Jha; Urvashi Varma; Asia-Pacific Financial Markets 2021-01-01
456 A Novel Algorithmic Trading Strategy Using Hidden Markov Model for Kalman Filtering Innovations
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Abstract: The development of algorithmic trading has been one of the most prominent trends in finance and its applications. Hidden Markov Models (HMMs) help enhance the predictive power of …		 Ethan Johnson-Skinner; You Liang; Na Yu; Alin Morariu; 2021 IEEE 45th Annual Computers, Software, and Applications … 2021-01-01
457 An Algorithmic Multiple Trading Strategy Using Data-Driven Random Weights Innovation Volatility
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Abstract: Algorithmic trading uses a computer program that follows a defined set of instructions (an algorithm) to place a trade and can generate profits at a speed and frequency that is …		 Md. Erfanul Hoque; A. Thavaneswaran; Alex Paseka; Ruppa K. Thulasiram; 2021 IEEE 45th Annual Computers, Software, and Applications … 2021-01-01
458 Improving Pairs Trading Strategies Via Reinforcement Learning
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Abstract: There has been a growing interest in applying reinforcement learning (RL) to financial trading problems. One particular interesting problem is pairs trading, which is a …		 Cheng Wang; Patrik Sandås; Peter Beling; 2021 International Conference on Applied Artificial … 2021-01-01
459 I Feel The Need for Speed: Exploiting Latest Generation FPGAs in Providing New Capabilities for High Frequency Trading
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Abstract: ACM Reference Format: Mark Klaisoongnoen, Nick Brown, and Oliver Brown. 2021. I feel the need for speed: Exploiting latest generation FPGAs in providing new capabilities for high …		 Mark Klaisoongnoen; Nick Brown; Oliver Brown; Proceedings of the 11th International Symposium on Highly … 2021-01-01
460 Strategic Trading with Information Acquisition and Long-Memory Stochastic Liquidity
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Abstract: This paper investigates the strategic interaction of information acquisition and noise trading patterns, as well as its significant implications in market equilibrium outcomes. We …		 Jinhui Han; Guiyuan Ma; Adrian Kennedy; Journal of Economic Dynamics & Control 2021-01-01
461 High Frequency Trading and Stock Index Returns: A Nonlinear Dynamic Analysis
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Abstract: This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More …		 Aydin A. Cecen; Pawan Jain; Linlan Xiao; ERN: Other Econometric Modeling: International Financial … 2021-01-01
462 The Profitability of Trading Strategies Based on Historical Prices and Risk: Evidence from Thailand
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Abstract: Historical trends in share prices can be used in trading strategies to generate profits. Two such strategies are the momentum and contrarian trading strategies. The contrarian …		 Parichat SinlapatesParichat; Surachai Chancharat; International Journal of Monetary Economics and Finance 2021-01-01
463 Tipping in Korea
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Abstract: Prior research documents that analyst revisions are important information events and that some investors trade ahead of them. However, prior studies have been unable to show which …		 William J. Bazley; Emily Kim; Felix Meschke; Kevin Pisciotta; Accounting 2021-01-01
464 Decentralized Finance: Regulating Cryptocurrency Exchanges
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Abstract: Global financial markets are in the midst of a transformative movement. The creation of Bitcoin and Facebook’s proposed distribution of Diem mark a watershed moment in the …		 Kristin N. Johnson; Social Science Research Network 2021-01-01
465 A Derivative-free Optimization Approach for The Autotuning of A Forex Trading Strategy
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Abstract: A trading strategy simply consists in a procedure which defines conditions for buying or selling a security on a financial market. These decisions rely on the values of some …		 Alberto De Santis; Umberto Dellepiane; Stefano Lucidi; Stefania Renzi; Optimization Letters 2021-01-01
466 Unsupervised Learning for Pairs Trading in The National Stock Exchange of India
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Abstract: Pairs Trading is a widely known and used market-neutral trading strategy that utilizes the concept of statistical arbitrage. It is based on the idea of mean-reverting time series …		 Chetan Tayal; Lalitha V.P; Journal of University of Shanghai for Science and Technology 2021-01-01
467 A Decision Support System for Trading in Apple Futures Market Using Predictions Fusion
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Abstract: In the last decade, High-Frequency Trading (HFT) has become a popular issue in the futures market, which has attracted much attention from numerous researchers. In this study, an …		 SHANGKUN DENG et. al. IEEE Access 2021-01-01
468 Intraday Time-series Momentum and Investor Trading Behavior
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Abstract: This paper documents intraday time-series momentum in Taiwanese exchange-traded funds, as evidenced by the predictive relationship between the last half-hour return and the first …		 Olena Onishchenko; Jing Zhao; Duminda Kuruppuarachchi; Helen Roberts; Journal of Behavioral and Experimental Finance 2021-01-01
469 How Much Do The Central Bank Announcements Matter on Financial Market? Application of The Rule-based Trading System Approach
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Abstract: This paper proposes a rule-based trading system to investigate how much the central bank’s announcements matter on a financial market. We design a novel investment strategy and we …		 Janusz Brzeszczynski; Jerzy Gajdka; Tomasz Schabek; Ali M. Kutan; Expert Syst. Appl. 2021-01-01
470 Learning to Trade in Financial Time Series Using High-frequency Through Wavelet Transformation and Deep Reinforcement Learning
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Abstract: Deep learning-based financial approaches have received attention from both investors and researchers. This study demonstrates how to optimize portfolios, asset allocation, and …		 Jimin Lee; Hayeong Koh; Hi Jun Choe; Appl. Intell. 2021-01-01
471 Pairs Trading in Cryptocurrency Market: A Long-short Story
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Abstract: Pairs trading that is built on ’Relative-Value Arbitrage Rule’ is a popular short-term speculation strategy enabling traders to make profits from temporary mispricing of close …		 Saji Thazhungal Govindan Nair; Investment Management and Financial Innovations 2021-01-01
472 Retail Trading and Stock Volatility: The Case of Robinhood
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Abstract: We examine the relation between Robinhood usership and stock market volatility. We show that daily fluctuations in Robinhood usership, which is used to proxy retail trading, …		 Cooper Jones; 2021-01-01
473 The Effect of Company Size, Company Growth, Financial Conditions, Debt Default And Audit Opinion 2016-2019 on Going Concern Audit Opinions (Empire Study of Trading Companies Listed on The Indonesia Stock Exchange)
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Abstract: The purpose of this study is to see the effect of company size, company growth, financial condition and debt default on going concern audit opinions in 2016-2019 on trading …		 Charles Ayu Kartika Kinata; Journal of Economics, Finance And Management Studies 2021-01-01
474 The Profitability of Volatility Trading on Exchange-traded Dollar-rupee Options: Evidence of A Volatility Risk Premium?
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Abstract: This article examines the profitability of short volatility strategies in the exchange-traded USDINR options market. Returns from delta-hedged short positions in straddles, …		 Aparna Bhat; Global Business Review 2021-01-01
475 The Impact of Margin Trading on Stock Volatility: Based on 2014 to 2016 Shanghai and Shenzhen 300 Index
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Abstract: The paper study the impact of margin trading on the volatility of the stock market, We selected 469 observation values among the daily Shanghai and Shenzhen 300 index from May …		 Chuanyang Gong; International Journal of Business and Management 2021-01-01
476 Stock Markets and Female Participation in The Labor Force
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Abstract: This paper examines the relation between female participation in the labor force and stock market trading volume. We focus on the first teaching day of the year at kindergartens …		 Menachem (Meni) Abudy; Yevgeny Mugerman; Zvi Wiener; Journal of International Financial Markets, Institutions … 2021-01-01
477 Video Face Recognition of Virtual Currency Trading System Based on Deep Learning Algorithms
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Abstract: Virtual currency trading develops rapidly, taking up a large proportion in the whole economy, and has become an important part of people’s daily life. Firstly, a reliable virtual …		 Jun Wei; IEEE Access 2021-01-01
478 THE EFFECT OF LIQUIDITY, COMPANY SIZE, AND ASSET STRUCTURE ON STRUCTURE TRADING COMPANY CAPITAL IN THE IDX
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Abstract: This his research is to see how liquidity, company scale, and asset composition affect trading companies’ capital structures on the Indonesia Stock Exchange. In this sample, the …		 Sri Laksmi Pardanawati; 2021-01-01
479 The Impacts of Futures Introduction on Spot Market Volatility: Evidence from The Bitcoin Market
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Abstract: The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic. Conflicting results had been obtained with different sample periods …		 Chuanhai Zhang; Huan Ma; GIDEON BRUCE ARKORFUL; Zhe Peng; ERN: Futures (Topic) 2021-01-01
480 Trading Volume Activity Memediasi Hubungan Perubahan Tarif Pajak Penghasilan Badan Terhadap Return Saham
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Abstract: Stock returns can describe the acquisition of returns on the buying and selling activities of shares carried out by investors.  The rate of returns are received by investor can be …		 Ni Nyoman Sri Wardani; I Ketut Budiartha; E-Jurnal Akuntansi 2021-01-01
481 Greed and Individual Trading Behavior in Experimental Asset Markets
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Abstract: Greed has been shown to be an important economic motive. Both the popular press as well as scientific papers have mentioned questionable practices by greedy bankers and investors …		 Karlijn Hoyer; Stefan Zeisberger; Seger M. Breugelmans; Marcel Zeelenberg; 2021-01-01
482 How Do Carbon Trading Platform Participation and Government Subsidy Motivate Blue Carbon Trading of Marine Ranching? A Study Based on Evolutionary Equilibrium Strategy Method
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Abstract: Amidst the efforts to develop a low-carbon economy, blue carbon sequestration provides new approaches and opportunities for economic growth. Not only will blue carbon …		 Xiaole Wan; Qianqian Li; Lulian Qiu; Yuanwei Du; Marine Policy 2021-01-01
483 THE INFLUENCE OF INFORMATION ON TRADING BEHAVIOR WITH PERSONALITY TRAITS AS MODERATION VARIABLE FOR STOCK TRADERS
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Abstract: The development of investment in Indonesia has increased rapidly over the past few years. One of the key factors affecting stock traders’ trading behavior is information. …		 Ronaldo Susanto; Mariana Ing Malelak; International Journal of Financial and Investment Studies … 2021-01-01
484 Do Retail Traders Destabilize Financial Markets? An Investigation Surrounding The COVID-19 Pandemic
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Abstract: Economic theory suggests that speculative trading can lead to instability in financial markets. Using a novel dataset on retail trading activity in the US, this study extends the …		 Ahmed S. Baig; Benjamin M. Blau; Hassan A. Butt; Awaid Yasin; International Finance eJournal 2021-01-01
485 Energy Sharing Platform Based on Call Auction Method with The Maximum Transaction Volume
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Abstract: Based on extensive research work on the application of energy trading models, energy sharing strategies are applied to smart homes. This paper addresses an energy sharing platform …		 Lingling Sun; Jing Qiu; Xiao Han; Zhao Yang Dong; Energy 2021-01-01
486 The Impact of Margin and Short Selling on Stock Pricing Efficiency – Based on The Growth Enterprise Market and The Science and Technology Innovation Board
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Abstract: This paper takes the margin and short selling targets of the science and technology innovation board and the growth enterprise board of China’s stock market as the research …		 Chengzhu Sun; E3S Web of Conferences 2021-01-01
487 High-frequency Volatility Modeling: A Markov-Switching Autoregressive Conditional Intensity Model
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Abstract: We develop a Markov-Switching Autoregressive Conditional Intensity model for high-frequency volatility modelling via the absolute price change point process. By incorporating a …		 Yifan Li; Ingmar Nolte; Sandra Nolte; Journal of Economic Dynamics and Control 2021-01-01
488 Aggregate Congressional Trading and Stock Market Returns
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Abstract: Purpose What information do members of Congress (politicians) use when they trade stocks? The purpose of this paper is to attempt to answer this question by investigating the …		 Serkan Karadas; Minh Tam Tammy Schlosky; Joshua C. Hall; Journal of Financial Economic Policy 2021-01-01
489 Important Trading Point Prediction Using A Hybrid Convolutional Recurrent Neural Network
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Abstract: Stock performance prediction plays an important role in determining the appropriate timing of buying or selling a stock in the development of a trading system. However, precise …		 Xinpeng Yu; Dagang Li; Applied Sciences 2021-01-01
490 Half-day Trading and Spillovers
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Abstract: This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March 2020. We use the dynamic conditional …		 Yifan Chen; Limin Yu; Jianhua Gang; Frontiers of Business Research in China 2021-01-01
491 A Novel Communication Efficient Peer-to-peer Energy Trading Scheme for Enhanced Privacy in Microgrids
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Abstract: Peer-to-peer energy trading is an emerging concept for implementing power markets with a large number of distributed energy resources. The success of such trading depends on the …		 Khalid Umer; Qi Huang; Mohsen Khorasany; Muhammad Afzal; Waqas Amin; Applied Energy 2021-01-01
492 How Effective Are Stock Market Reforms in Emerging Market Economies? Evidence from A Panel VAR Model of The Indian Stock Market
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Abstract: The paper uses a panel VAR framework to estimate the impact of a series of reforms aimed at reducing transactions cost and information cost in India’s secondary market for equity, …		 Sumon Kumar Bhaumik; Manisha Chakrabarty; Ali M. Kutan; Ekta Selarka; Journal of Quantitative Economics 2021-01-01
493 FAKTOR-FAKTOR YANG MEMPENGARUHI IHSG PADA PERUSAHAAN PERBANKAN TAHUN 2015-2019
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Abstract: The research aims to determine the effect of the inflation rate, exchange rate,interest rate, and trading volume on the Composite Stock Price Index. Sampling using the Purposive …		 Mondra Neldi; Nurul Syahira; Elfiswandi Elfiswandi; Zefriyenni Zefriyenni; Fitri Yeni; 2021-01-01
494 Margin Trading and Stock Idiosyncratic Volatility: Evidence from The Chinese Stock Market
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Abstract: In this paper, we find that the idiosyncratic volatility (IV) effect on expected returns exists and cannot be explained by other variables in the Chinese stock market. The Chinese …		 Pingshu Gui; Yifeng Zhu; International Review of Economics & Finance 2021-01-01
495 Comparison of Deep Reinforcement Learning Algorithms in Enhancing Energy Trading in Microgrids
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Abstract: This paper aims to introduce a solution to Sudan’s inadequate electricity supply; focusing on current unconnected rural areas and the high cost of connecting these areas to …		 Moayad ELamin; Fay Elhassan; Mahmoud A. Manzoul; 2020 International Conference on Computer, Control, … 2021-01-01
496 Trading Activity and Price Discovery in Bitcoin Futures Markets
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Abstract: This study examines the impact of trading activities on price discovery in the Bitcoin futures markets. We find that trades of hedgers are positively correlated with the modified …		 Jui-Cheng Hung; Hung-Chun Liu; J. Jimmy Yang; Journal of Empirical Finance 2021-01-01
497 Unfairly Defiled: A Long Term Perspective on Portfolio Insurance As A Strategy for Limiting Portfolio Losses
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Abstract: The invention of portfolio insurance as a strategy for limiting portfolio losses was introduced in the early 1980s and gained spectacular popularity throughout the decade, …		 Jeffrey Ludwig; Journal of Investment and Management 2021-01-01
498 Multiple Strategies for Trading Short-term Stock Index Futures Based on Visual Trend Bands
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Abstract: Many day traders focus on forecasts of stock index futures. These securities are suitable for frequent and time-sensitive trading as well as for short-term investments. However, …		 Hsien-Ming Chou; Chihli Hung; Multimedia Tools and Applications 2021-01-01
499 PRODUCT STRATEGY OF TRADING COMPANY
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Abstract: The article considers the problem of product strategy development of trading company. The analysis of the existing product strategy of wholesale trading company is given. Certain …		 I. A. Tolmacheva; 2021-01-01
500 Insider Trading in Brazil’s Stock Market
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Abstract: How much insider trading happens in Brazil’s stock market? Previous research has used the model proposed by Easley et al. [1996] to estimate the probability of insider trading …		 Thiago Marzagão; 2021-01-01
501 Price Discovery in The Cryptocurrency Market: Evidence from Institutional Activity
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Abstract: This study analyzes the role of information shares of futures contracts in the price discovery of Bitcoin as well as its impact on the correlation of Bitcoin and traditional …		 Bao Doan; Huy Pham; Binh Nguyen Thanh; Journal of Industrial and Business Economics 2021-01-01
502 Commonality and Contrarian Trading Among Algorithmic Traders
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Abstract: We examine the trading behavior of two heterogeneous groups of Algorithmic Traders (ATs), namely High-Frequency Traders (HFTs) and Buy-side Algorithmic Traders (BATs). We find …		 Devika Arumugam; P. Krishna Prasanna; Journal of Behavioral and Experimental Finance 2021-01-01
503 Decentralized Local Energy Trading in Microgrids With Voltage Management
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Abstract: Local energy trading in microgrids is one of the emerging concepts in the area of distribution networks. A proper business model is required to manage local energy trading. The …		 Amrit Paudel; Mohsen Khorasany; Hoay Beng Gooi; IEEE Transactions on Industrial Informatics 2021-01-01
504 The Connectedness Between COVID-19 and Trading Value in Stock Market: Evidence from Thailand
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Abstract: This study examines the connectedness between the number of COVID-19 cases in Thailand and trading value among investors in the Stock Exchange of Thailand. Daily data of COVID-19 …		 Guntpishcha Gongkhonkwa; Journal of Asian Finance, Economics and Business 2021-01-01
505 Culture and The Regulation of Insider Trading Across Countries
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Abstract: We find that individualistic countries regulate insider trading activities more intensely. The result is robust to controlling for alternative culture variables, additional …		 Brandon N. Cline; Claudia R. Williamson; Haoyang Xiong; Journal of Corporate Finance 2021-01-01
506 PENGARUH ABNORMAL RETURN Dan TRADING VOLUME ACTIVITY TERHADAP HARGA SAHAM
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Abstract: The purpose of this study is to determine 1) the effect of abnormal return on stock price, 2) the effect of trading volume activity on stock price, 3) the effect between abnormal …		 Cindy Ananda; 2021-01-01
507 Analisis Perbandingan Harga Saham Dan Trading Volume Activity Sebelum Dan Pasca Pandemi COVID-19
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Abstract: Abstract —This study aims to determine the Comparison of Stock Prices and Trading Volume Activities before and after COVID-19. This study uses a descriptive method with survey …		 Rengganis Riva Sakinah; Azib Asroi; 2021-01-01
508 Study on Indian Stock Market Performance Based on Commodities
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Abstract: A stock exchange facilitates trading shares of pubicly listed companies. The trading process is operated through two non-separable and mutually supporting segments called as …		 Deepika N.; Nirupama Bhat Mundukur; Victer Paul; 2021-01-01
509 Learning Representation of Stock Traders and Immediate Price Impacts
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Abstract: We use 239-day trading-level data for a stock on the Shanghai Stock Exchange, including about 440,000 traders and 1.77 million trading relationships, to study the representation …		 Wen-Jie Xie; Mu-Yao Li; Wei-Xing Zhou; Emerging Markets Review 2021-01-01
510 Attention Constraint, Public Information, and Strategic Trading
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Abstract: We investigate the effect of institutional investor attention and the public information about asset value on the financial market by studying a strategic trading problem, where …		 Hao Jiang; Yong Ma; Tianyang Wang; 2021-01-01
511 Learning from Trading Activity in Laboratory Security Markets with Higher-order Uncertainty
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Abstract: This experiment examines forecasting behavior under varying information conditions to assess the extent to which traders in security markets incorporate information in trading …		 Radhika Lunawat; Journal of Socio-economics 2021-01-01
512 Forecasting Trading Volume in Local Housing Markets Through A Time-series Model and A Deep Learning Algorithm
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Abstract: PurposeIt is important to forecast local trading volumes as well as global trading volumes because the real estate market is always characterized as a localized market. The house …		 Changro Lee; Keith Key-Ho Park; Engineering, Construction and Architectural Management 2021-01-01
513 Trading Cryptocurrencies Using Second Order Stochastic Dominance
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Abstract: This research is the first attempt to customize a trading system that is based on second order stochastic dominance (SSD) to five known cryptocurrencies’ daily data: Bitcoin, …		 Gil Cohen; Mathematics 2021-01-01
514 Gambling and Online Trading Emerging Risks of Real-Time Stock and Cryptocurrency Trading Platforms
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 Atte Oksanen; Eerik Mantere; Ilkka Vuorinen; Iina Savolainen; SSRN Electronic Journal 2021-01-01
515 An Indicator for Month-trading of Stocks
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Abstract: Some individual investors who find day-trading of stocks incompatible with their lifestyle might want to adopt month–trading instead. In this paper, we use the historical monthly …		 Y. B. Koh; Yew Seong Ng; Ah Hin Pooi; ITM Web of Conferences 2021-01-01
516 Leverage and Information: Are Short Sellers and Margin Traders Twin Sisters or Stepsisters?
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Abstract: As leveraged investors, are margin traders as informed as short sellers? Using a unique dataset on stock-level short selling and margin trading from three international stock …		 Zhuo Chen; Pengfei Li; Zhengwei Wang; Bohui Zhang; Emerging Markets: Finance eJournal 2021-01-01
517 THE EXISTENCE OF CRIMINAL SANCTION IN INSIDER TRADING IN THE ACT NUMBER 8 OF 1995 CONCERNING CAPITAL MARKET AFTER THE FINANCIAL SERVICES AUTHORITY REGULATION NUMBER 36/POJK.04/2018
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Abstract: This article is written because of the existence of the Securities Exchange Act (UUPM) No. 8 of 1995 concerning criminal sanctions for perpetrators of insider trading crimes. …		 Wahyu Nur Fatimah; 2021-01-01
518 Multi-level Trading Community Formation and Hybrid Trading Network Construction in Local Energy Market
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Abstract: Community-based trading structures play important roles in the development of local energy market (LEM). In this paper, a decentralized optimization model for the trading …		 Li Ma; Lingfeng Wang; Zhaoxi Liu; Applied Energy 2021-01-01
519 The Interplay Between Investor Activity on Virtual Investment Community and The Trading Dynamics: Evidence From The Bitcoin Market
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Abstract: Virtual investment community has become an important information source for investors. This study contributes to the related literature by investigating the endogenous interplay …		 Peng Xie; Information Systems Frontiers 2021-01-01
520 A Multivariate Load Trading Optimization Method for Energy Internet Based on LSTM and Gaming Theory
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Abstract: Energy Internet is a complex nonlinear system. There are many stakeholders in the load trading market, which is usually regarded as a multi-player gaming. Although gaming theory …		 Mingming Pan; Shiming Tian; Jindou Yuan; Songsong Chen; Sheng He; Energies 2021-01-01
521 Portfolio Optimization in Both Long and Short Selling Trading Using Trend Ratios and Quantum-Inspired Evolutionary Algorithms
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Abstract: Stock selection is the first problem that investors encounter when investing in the stock market and is paramount. The Sharpe ratio is a common assessment strategy. However, the …		 Yao-Hsin Chou; Yu-Chi Jiang; Shu-Yu Kuo; IEEE Access 2021-01-01
522 Do Electronic Markets Improve Execution If You Cannot Identify Yourself?
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Abstract: We study two aspects of the transition to electronic markets for large uninformed traders: (1) the increase in trading frequency, and (2) the move to anonymous trading, which …		 John J. Shim; Yenan Wang; Capital Markets: Market Microstructure eJournal 2021-01-01
523 Impact of Corporate Insider on Insider Trading: Evidence from Pakistan Stock Exchange
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Abstract: The purpose of this study is to investigate the impact of a corporate insider on insider trading in Pakistan. For this purpose, 30 top firms will be extracted from 540 Listed …		 Bismah Rao; Business And Management Studies: An International Journal 2021-01-01
524 Liquidity, Informed Trading, and A Market Surveillance System: Evidence from The Vietnamese Stock Market
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Abstract: This paper investigates the effectiveness of a market surveillance system (MSS) on improving the market quality of the Vietnamese stock market, as measured by liquidity and …		 Rong Chen; Heng (Griffin) Geng; Hai Lin; Phuong Thi Ly Nguyen; Pacific-basin Finance Journal 2021-01-01
525 FUTURES TRADING, SPOT PRICE VOLATILITY AND STRUCTURAL BREAKS: EVIDENCE FROM ENERGY SECTOR
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Abstract: The present study empirically examines the impact of Stock Futures on India’s underlying Energy Sector Stocks by incorporating the Structural breaks in the AR (1)-GARCH (1, 1) …		 Sanjeeta Shirodkar; Guntur Anjana Raju; International Journal of Energy Economics and Policy 2021-01-01
526 Fundamental Volatility and Informative Trading Volume in A Rational Expectations Equilibrium
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Abstract: This paper presents a tractable model of asset price with informative trading volume. Investors condition demands on their rational expectations of both the equilibrium price and …		 Dan Luo; Yipeng Mao; Economic Modelling 2021-01-01
527 Bayesian Analysis of Time-varying Interactions Between Stock Returns and Foreign Equity Flows
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Abstract: This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a …		 Boubekeur Baba; Güven Sevil; Financial Innovation 2021-01-01
528 Using A Genetic Algorithm to Build A Volume Weighted Average Price Model in A Stock Market
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Abstract: Research on stock market prediction has been actively conducted over time. Pertaining to investment, stock prices and trading volume are important indicators. While extensive …		 Seung Hwan Jeong; Hee Soo Lee; Hyun Nam; Kyong Joo Oh; Sustainability 2021-01-01
529 Risk Trading in Energy Communities
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Abstract: Local energy communities are proposed as a regulatory framework to enable the market participation of end-consumers. However, volatile local market-clearing prices, and …		 Niklas Vespermann; Thomas Hamacher; Jalal Kazempour; IEEE Transactions on Smart Grid 2021-01-01
530 The Benefits of Access: Evidence from Private Meetings with Portfolio Firms
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Abstract: We analyze the monitoring efforts of a large active asset manager that involve high-level private meetings with portfolio firms that are unobservable to outsiders. Our analysis …		 Marco Becht; Julian R. Franks; Hannes F. Wagner; Corporate Governance & Finance eJournal 2021-01-01
531 Integration of Prosumer Peer-to-peer Trading Decisions Into Energy Community Modelling
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Abstract: Peer-to-peer (P2P) exchange of renewable energy is an attractive option to empower citizens to actively participate in the energy transition. Whereas previous research has …		 ALEJANDRO PENA-BELLO et. al. Nature Energy 2021-01-01
532 Novel Energy Trading System Based on Deep-Reinforcement Learning in Microgrids
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Abstract: Inefficiencies in energy trading systems of microgrids are mainly caused by uncertainty in non-stationary operating environments. The problem of uncertainty can be mitigated by …		 SEONGWOO LEE et. al. Energies 2021-01-01
533 A Culture of Greed: Bubble Formation in Experimental Asset Markets with Greedy and Non-Greedy Traders
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Abstract: We investigate the relation between the motive of greed and several asset market indicators such as trading activity and bubble formation in the form of mispricing, overpricing, …		 Karlijn Hoyer; Stefan Zeisberger; Seger Breugelmans; Marcel Zeelenberg; DecisionSciRN: Financial Decision-Making (Topic) 2021-01-01
534 Market Manipulation Rules and IPO Underpricing
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Abstract: Using a large sample of 13,459 initial public offerings (IPOs) from 37 countries, we find that trading rules on market manipulation reduce IPO underpricing. The effect is weaker …		 Huu Nhan Duong; Abhinav Goyal; Vasileios Kallinterakis; Madhu Veeraraghavan; Journal of Corporate Finance 2021-01-01
535 Option Trading Volume By Moneyness, Firm Fundamentals, and Expected Stock Returns
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Abstract: I examine the link between option and equity markets by considering the informational content of the option trading volume with respect to moneyness and maturity when the trade …		 Yi Zhou; Journal of Financial Markets 2021-01-01
536 Peer-to-peer Energy Trading of Net-zero Energy Communities with Renewable Energy Systems Integrating Hydrogen Vehicle Storage
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Abstract: This study presents peer energy trading management approaches in a net-zero energy community with fundamental units of university campus, commercial office and high-rise …		 Jia Liu; Hongxing Yang; Yuekuan Zhou; Applied Energy 2021-01-01
537 Kairos: A Remunerative Framework for Minimum Investment Portfolio Management
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Abstract: Quantitative analysis as a technique of rendering market conditions using an arithmetic value has been employed by several investors for identifying trading opportunities. …		 Jimil Shah; Manan Doshi; Anant V. Nimkar; 2021 International Conference on Communication information … 2021-01-01
538 Energy Trading Among Electric Vehicles Based on Stackelberg Approaches: A Review
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Abstract: Integration of renewable and other distributed generated energy resources has put enormous strains on the traditional power grid. The world is moving towards green energy and …		 Muhammad Adil; M. A. Parvez Mahmud; Abbas Z. Kouzani; Khoo Sui Yang; Sustainable Cities and Society 2021-01-01
539 The Jordanian Capital Market: Liquidity Cost During COVID19 Pandemic Infection
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Abstract: Article history: Received: November 15, 2020 Received in revised format: January 28 2021 Accepted: March 2, 2021 Available online: March 2, 2021 The COVID-19 outbreak has affected …		 Hadeel Yaseen; Ghassan Omet; 2021-01-01
540 Traders, Forecasters and Financial Instability: A Model of Individual Learning of Anchor-and-adjustment Heuristics
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Abstract: Bao et al. (2017) show that in laboratory subjects have problems with both trading an experimental asset and forecasting its price. In this paper I explore these experimental …		 Tomasz Makarewicz; Journal of Economic Behavior and Organization 2021-01-01
541 Robust Pricing Under Strategic Trading
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Abstract: We study strategic trading with a market maker who does not know the joint distribution of public information and an asset’s value, and hence cannot interpret information …		 Aibo Gong; Shaowei Ke; Yawen Qiu; Rui Shen; Journal of Economic Theory 2021-01-01
542 Multi-Agent System Based Two-Phase Market Model to Incorporate Demand Response in Grid-Tied Microgrids
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Abstract: In this paper, a MEMF is proposed to manage power balance in grid-tied microgrids. The MEMF maintains two virtual markets viz. Local market in which potential sellers and buyers …		 H. Manjunatha; G. Purushothama; International Journal of Renewable Energy Research 2021-01-01
543 Exploration of Quant Trading Talents’ Training Mode of University Education Based on Artificial Intelligence
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Abstract: In recent years, the topic of artificial intelligence has become more and more popular, especially machine learning has become a hot issue in academia. Quant trading ability has …		 Jiaxuan Chen; Journal of Physics: Conference Series 2021-01-01
544 Voting and Trading in Symbiosis
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Abstract: The notion of political stability of Chapter 2 is applied to the general equilibrium analysis of Chapter 1, highlighting how trading and voting mechanisms help each other’s …		 Hervé Crès; Mich Tvede; Democracy, the Market, and the Firm 2021-01-01
545 Distributed Transaction Cooperative Game Strategy with Network Fee Is Considered
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Abstract: With the rapid development of distributed power supply, the pilot project of distributed power generation transaction has been carried out in China. The development of distributed …		 XIAODAN ZHUANG et. al. 2021 4th International Conference on Energy, Electrical and … 2021-01-01
546 Option Trading, Managerial Risk-taking, and Brand Development
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Abstract: Active option markets have been shown to provide downside risk protection for investors and managers and improve stock price informativeness that leads to better corporate …		 Po-Hsuan Hsu; Fengfei Li; Yoshio Nozawa; Managerial Marketing eJournal 2021-01-01
547 Memory and Trading
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Abstract: I test the predictions of human memory models in a high-stakes trading environment. Using alphabetical rankings of stocks from portfolio statements, I estimate plausibly random …		 Constantin Charles; Decision-Making in Economics eJournal 2021-01-01
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