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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, which contains more than 1,000 patents on this topic. Based in New York, Paper Digest is dedicated to producing high-quality text analysis results that people can acturally use on a daily basis. Since 2018, we have been serving users across the world with a number of exclusive services on ranking, search, tracking and automatic literature review.

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

Paper Author(s) Source Date
1 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
2 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
3 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
4 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
5 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
6 How Online Discussion Board Activity Affects Stock Trading: The Case of GameStop
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Highlight: Using financial data, as well as an extensive dataset of Reddit posts, we provide empirical evidence for the relationship of Reddit posts and GameStop (retail) trading.		 André Betzer; Jan Philipp Harries; Financial markets and portfolio management 2022-03-30
7 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
8 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
9 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
10 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
11 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
12 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
13 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
14 A Blockchain-Based Distributed Computational Resource Trading System for Industrial Internet of Things Considering Multiple Preferences
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Highlight: However, there still lack incentive mechanisms to encourage participants to take over the tasks from others. To counter this situation, this paper proposes a distributed computational resource trading strategy addressing multiple preferences of IIoT users.		 Tonghe Wang; Songpu Ai; Junwei Cao; arxiv-cs.DC 2022-01-24
15 Effects of COVID-Induced Public Anxiety on European Stock Markets: Evidence From A Fear-Based Algorithmic Trading System
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Abstract: The effect of COVID-induced public anxiety on stock markets, particularly in European stock market returns, is examined in this research. The search volumes for the notion of …		 Yunpeng Sun; Haoning Li; Yuning Cao; Frontiers in psychology 2022-01-14
16 Continuous-time Mean-variance Hedging Under Different Loan and Deposit Rates
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Highlight: This paper investigates a continuous-time mean-variance hedging problem under different loan and deposit rates.		 Chonghu Guan; Xiaomin Shi; Zuo Quan Xu; arxiv-q-fin.MF 2022-01-03
17 Bi-level Frequency Regulation Resource Trading for Electricity Consumers: A Data-driven Contract Approach
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Abstract: Abstract Electricity consumers (ECs) are considered a valuable frequency regulation resource. Nonetheless, due to the finiteness and dispersion of ECs, the dispatching burden of …		 Liya Ma; Nian Liu; Haonan Sun; Chenxi Li; Wenxia Liu; International Journal of Electrical Power & Energy Systems 2022-01-01
18 Graph-based Stock Correlation and Prediction for High-frequency Trading Systems
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 TAO YIN et. al. Pattern Recognition 2022-01-01
19 Optimal Liquidation Problem in Illiquid Markets
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Abstract: 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. …		 Amirhossein Sadoghi; Jan Vecer; Eur. J. Oper. Res. 2022-01-01
20 Network Analysis on Bitcoin Arbitrage Opportunities
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Abstract: 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 …		 Rasa Bruzgė; Alfreda Šapkauskienė; The North American Journal of Economics and Finance 2022-01-01
21 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
22 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
23 An Automatic Trading System for Fuzzy Portfolio Optimization Problem with Sell Orders
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Abstract: 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 …		 Yong Zhang; Weilong Liu; Xingyu Yang; Expert Syst. Appl. 2022-01-01
24 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
25 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
26 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
27 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
28 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
29 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
30 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
31 Deep Learning Algorithms for Hedging with Frictions
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Highlight: For long trading horizons, we propose a pasting algorithm to aggregate the leading-order approximations and the deep learning-based algorithms together, hence fully utilizing both of their advantages.		 Xiaofei Shi; Daran Xu; Zhanhao Zhang; arxiv-q-fin.MF 2021-11-02
32 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
33 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
34 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
35 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
36 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
37 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
38 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
39 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
40 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
41 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
42 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
43 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
44 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
45 Price Trailing for Financial Trading Using Deep Reinforcement Learning
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Abstract: Machine learning methods have recently seen a growing number of applications in financial trading. Being able to automatically extract patterns from past price data and …		 AVRAAM TSANTEKIDIS et. al. IEEE transactions on neural networks and learning systems 2021-07-06
46 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
47 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
48 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
49 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
50 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
51 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
52 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
53 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
54 Order Flow and Price Formation
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Highlight: I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange.		 Fabrizio Lillo; arxiv-q-fin.TR 2021-05-02
55 Optimal Bidding in Hourly and Quarter-hourly Electricity Price Auctions: Trading Large Volumes of Power with Market Impact and Transaction Costs
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Highlight: This paper addresses the question of how much to bid to maximize the profit when trading in two electricity markets: the hourly Day-Ahead Auction and the quarter-hourly Intraday Auction.		 Michał Narajewski; Florian Ziel; arxiv-q-fin.ST 2021-04-29
56 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
57 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
58 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
59 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
60 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
61 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
62 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
63 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
64 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
65 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
66 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
67 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
68 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
69 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
70 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
71 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.		 Antonio Briola; Jeremy Turiel; Riccardo Marcaccioli; Tomaso Aste; arxiv-cs.LG 2021-01-18
72 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
73 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
74 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
75 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
76 Model-free Price Bounds Under Dynamic Option Trading
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Highlight: In this paper we extend discrete time semi-static trading strategies by also allowing for dynamic trading in a finite amount of options, and we study the consequences for the model-independent super-replication prices of exotic derivatives.		 Ariel Neufeld; Julian Sester; arxiv-q-fin.MF 2021-01-04
77 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
78 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
79 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
80 On The Intraday Return Curves of Bitcoin: Predictability and Trading Opportunities
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Abstract: Abstract Motivated by the potential inferences from intraday price data in the controversial Bitcoin market, we apply functional data analysis techniques to study cumulative …		 Elie Bouri; Chi Keung Marco Lau; Tareq Saeed; Shixuan Wang; Yuqian Zhao; International Review of Financial Analysis 2021-01-01
81 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
82 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
83 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
84 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
85 A Novel Hybrid Method for Direction Forecasting and Trading of Apple Futures
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Abstract: 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. …		 Shangkun Deng; Xiaoru Huang; Zhaohui Qin; Zhe Fu; Tianxiang Yang; Appl. Soft Comput. 2021-01-01
86 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
87 Intelligent Portfolio Theory and Application in Stock Investment with Multi-Factor Models and Trend Following Trading Strategies
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Abstract: 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 …		 Heping Pan; Manxiao Long; Procedia Computer Science 2021-01-01
88 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
89 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
90 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
91 Peer-to-Peer Energy Trading Strategy for Energy Balance Service Provider (EBSP) Considering Market Elasticity in Community Microgrid
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Abstract: Abstract The peer-to-peer (P2P) energy trading technology can effectively promote the mutual exchange and complementation of energy among diversified prosumers in the community …		 WANG ZIBO et. al. Applied Energy 2021-01-01
92 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
93 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
94 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
95 A Review of Stock Market Predictions Using Deep Learning Models
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Abstract: Stock trading has always been an appealing option in the world of financial market to make significant profits. As a popular saying goes, “Trading is not gambling”. It is true for …		 Amol Barwal; Nishi Gupta; Journal of University of Shanghai for Science and Technology 2021-01-01
96 How Effective Is China’s Cryptocurrency Trading Ban?
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Abstract: 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 …		 Conghui Chen; Lanlan Liu; Finance Research Letters 2021-01-01
97 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
98 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
99 Multitrading Information Environment
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Abstract: The multitrading information environment provides simultaneous work with several financial instruments on many trading accounts of different forex brokers using optimal trading …		 Felix Osvaldovich Kasparinsky; Proceedings of 23rd Scientific Conference “Scientific … 2021-01-01
100 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
101 Analysis of The Performance of Volatility-based Trading Strategies on Scheduled News Announcement Days: An International Equity Market Perspective
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Abstract: 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 …		 Raquel López; Carlos Esparcia; International Review of Economics & Finance 2021-01-01
102 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
103 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
104 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
105 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
106 Some Results of Stock Trading Strategy Based on Fuzzy System
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 Shiyan Xu; Open Journal of Applied Sciences 2021-01-01
107 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
108 Generating and Optimizing Human-Readable Quantitative Program Trading Strategies Through A Genetic Programming Framework
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Abstract: Abstract In this paper, we provide a highly flexible genetic programming framework for automatic generation and optimization of program trading strategies. We propose the …		 Bin Teng; Yufeng Shi; Xin Wang; Yunchuan Sun; Procedia Computer Science 2021-01-01
109 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
110 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
111 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
112 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
113 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
114 Dynamic Portfolio Choice and Information Trading with Recursive Utility
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Abstract: Abstract This paper examines a consumption-portfolio allocation and information trading problem with recursive utility in continuous time when stock returns are unobservable and …		 Xingjiang Chen; Xinfeng Ruan; Wenjun Zhang; Economic Modelling 2021-01-01
115 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
116 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
117 Deep Adaptive Group-based Input Normalization for Financial Trading
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 Angelos Nalmpantis; Nikolaos Passalis; Avraam Tsantekidis; Anastasios Tefas; Pattern Recognition Letters 2021-01-01
118 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
119 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
120 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
121 Intraday Time-series Momentum and Investor Trading Behavior
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Abstract: 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 …		 Olena Onishchenko; Jing Zhao; Duminda Kuruppuarachchi; Helen Roberts; Journal of Behavioral and Experimental Finance 2021-01-01
122 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
123 Taps: A Trading Approach Based on Deterministic Sign Patterns
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Abstract: Abstract We propose a new methodology for trading financial instruments based on deterministic sign patterns. These patterns are obtained from the m-dimensional elementary sample …		 Xi Liu; Dimitrios D. Thomakos; Expert Syst. Appl. 2021-01-01
124 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
125 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
126 How Much Do The Central Bank Announcements Matter on Financial Market? Application of The Rule-based Trading System Approach
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Abstract: 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 …		 Janusz Brzeszczynski; Jerzy Gajdka; Tomasz Schabek; Ali M. Kutan; Expert Syst. Appl. 2021-01-01
127 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
128 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
129 Short Term Trading Models Using Hurst Exponent and Machine Learning
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Abstract: Predicting the direction of Stock Indices has always been an appealing topic which has motivated researchers over the years to develop better predictive models. Recently, Machine …		 Gursewak Singh Sidhu; Ali Ibrahim Ali Metwaly; Animesh Tiwari; Ritabrata Bhattacharyya; Social Science Research Network 2021-01-01
130 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
131 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
132 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
133 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
134 Ensemble Classifier for Stock Trading Recommendation
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 Chukiat Worasucheep; Applied Artificial Intelligence 2021-01-01
135 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
136 Active Trading Strategies
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 Modern Equity Investing Strategies 2021-01-01
137 Peer Review #1 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.2)
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138 Peer Review #2 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.2)
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139 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
140 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
141 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
142 Legal Considerations Around Smart Contracts: Contracts Between Computer Programs
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Abstract: Algorithmic trading – where two computer programs deal directly with each other – is a commonplace of modern securities trading. However, in general such trading occurs subject to …		 Simon Gleeson; Cryptocurrency Research eJournal 2021-01-01
143 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
144 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
145 The Determinants of Positive Feedback Trading Behaviors in Bitcoin Markets
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Abstract: Abstract This study investigates the positive feedback trading behavior in Bitcoin markets and analyzes its potential determinants. Our results show significant evidence of …		 Jying-Nan Wang; Yen-Hsien Lee; Hung-Chun Liu; Ming-Chih Lee; Finance Research Letters 2021-01-01
146 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
147 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
148 Crash-based Quantitative Trading Strategies: Perspective of Behavioral Finance
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Abstract: Abstract Inspired by the studies on stock market crashes, we use documented indicators from behavioral finance to construct two quantitative trading strategies, i.e., …		 Yan Fang; Jie Yuan; J. Jimmy Yang; Shangjun Ying; Finance Research Letters 2021-01-01
149 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
150 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
151 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
152 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
153 An Intelligent Quantitative Trading System Based on Intuitionistic-GRU Fuzzy Neural Networks
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Abstract: 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
154 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
155 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
156 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
157 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
158 Does High-Frequency Trading Impede Order Execution in The Stock Market?
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 Kun Li; Procedia Computer Science 2021-01-01
159 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
160 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
161 Algorithmic Trading and Firm Value
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Abstract: 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 …		 Brian C. Hatch; Shane A. Johnson; Qin Emma Wang; Jun Zhang; Journal of Banking and Finance 2021-01-01
162 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
163 AN ALGORITHMIC TRADING APPLICATION IN CRYPTO EXCHANGE
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 Ayser AYDIN; JOURNAL OF ACADEMIC SOCIAL RESOURCES 2021-01-01
164 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
165 Algorithmic Trading Methods
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 2021-01-01
166 Breaking VIX at Open: Evidence of Uncertainty Creation and Resolution
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Abstract: 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 …		 Jingjing Chen; George J. Jiang; Chaowen Yuan; Dongming Zhu; ERN: Other Econometric Modeling: Derivatives (Topic) 2021-01-01
167 Optimasi Indikator Linear Weighted Moving Average Menggunakan Teknik Martingale Sebagai Metode Peningkatan Profit Trading
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Abstract: Forex Trading is familiar to ordinary people as a way of investing, many of investor buying and selling transactions of foreign exchange or stocks using the MetaTrader software as …		 Abdillah Baraja; 2021-01-01
168 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
169 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
170 A Parallel Multi-module Deep Reinforcement Learning Algorithm for Stock Trading
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Abstract: 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 …		 Cong Ma; Jiangshe Zhang; Junmin Liu; Lizhen Ji; Fei Gao; Neurocomputing 2021-01-01
171 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
172 Implied Volatility Forecast and Option Trading Strategy
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Abstract: 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 …		 Dehong Liu; Yucong Liang; Lili Zhang; Peter Lung; Rizwan Ullah; International Review of Economics & Finance 2021-01-01
173 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
174 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
175 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
176 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
177 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
178 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
179 Pairs Trading: Is It Applicable to Exchange-traded Funds?
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Abstract: 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 …		 Ekin Tokat; Ahmet Cevdet Hayrullahoğlu; Borsa Istanbul Review 2021-01-01
180 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
181 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
182 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
183 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
184 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
185 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
186 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
187 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
188 Back-Testing of Trading Strategies
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 Modern Equity Investing Strategies 2021-01-01
189 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
190 Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets
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Abstract: Limit order books (LOBs) have generated big financial data for analysis and prediction from both academic community and industry practitioners. This article presents a benchmark …		 Charles Huang; Weifeng Ge; Hongsong Chou; Xin Du; 2021-01-01
191 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
192 Predict High-frequency Trading Marker Via Manifold Learning
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Abstract: 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 …		 HENRY HAN et. al. Knowl. Based Syst. 2021-01-01
193 Two Shades of Opacity: Hidden Orders and Dark Trading
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Abstract: 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 …		 Hans Degryse; Nikolaos Karagiannis; Geoffrey Tombeur; Gunther Wuyts; Journal of Financial Intermediation 2021-01-01
194 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
195 Stock Trading Via Feedback Control Methods
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 B. Ross Barmish; James A. Primbs; Encyclopedia of Systems and Control 2021-01-01
196 Online Financial Trading Among Young Adults: Integrating The Theory of Planned Behavior, Technology Acceptance Model, and Theory of Flow
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Abstract: ABSTRACT This paper aims to examine the mechanism that explains young consumers’ intention to perform online financial trading by integrating technology acceptance model, flow …		 Saeed Pahlevan Sharif; Navaz Naghavi; International Journal of Human–Computer Interaction 2021-01-01
197 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
198 A Q-learning Agent for Automated Trading in Equity Stock Markets
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Abstract: 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 …		 Jagdish Chakole; Mugdha S. Kolhe; Grishma D. Mahapurush; Anushka Yadav; Manish P. Kurhekar; Expert Syst. Appl. 2021-01-01
199 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
200 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
201 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
202 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
203 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
204 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
205 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
206 Chinese Lexicography and Stock Trading
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Abstract: Abstract Chinese stocks with lexicographically earlier tickers are traded more frequently. Quantitatively, all else held equal, a backward change in lexicographic position by one …		 Cui Hu; Ben G. Li; International Review of Economics & Finance 2021-01-01
207 Trading Strategies Using Reinforcement Learning
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 조현민; Shin， Hyun Joon; Journal of the Korea Academia Industrial Cooperation Society 2021-01-01
208 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
209 Optimal Mean-Reverting Trading Strategies
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 Generalized Integral Transforms in Mathematical Finance 2021-01-01
210 THE DIFFERENCE IN ABNORMAL RETURN AND TRADING VOLUME ACTIVITY ANALYSIS DURING AND AFTER PRESIDENTIAL ELECTION ON 17 APRIL 2019 IN TRANSPORT, INFRASTRUCTURE AND UTILITY COMPANY LISTED IN INDONESIA STOCK EXCHANGE IN 2019
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Abstract: This study is an event study that aims to analyze whether or not there are any differences in Abnormal Returns Stock and Trading Volume Activity before and after the Presidential …		 Febrina Nafasati; Dian Indudewi; Abu Mansur; 2021-01-01
211 Applying Deep Reinforcement Learning in Automated Stock Trading
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 Hieu Trung Nguyen; Ngoc Hoang Luong; 2021-01-01
212 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
213 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
214 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
215 Time Weighted Price Contribution
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Abstract: 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 …		 Hossein Jahanshahloo; Laima Spokeviciute; Finance Research Letters 2021-01-01
216 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
217 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
218 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
219 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
220 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
221 Bargaining Strategies in Bilateral Electricity Trading Based on Fuzzy Bayesian Learning
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Abstract: Abstract Bilateral electricity trading is a general transaction mode in electricity market, market subjects’ trading strategies will influence social welfare of the market. This …		 Zuo Yi; Zhao Xin-gang; Zhang Yu-zhuo; International Journal of Electrical Power & Energy Systems 2021-01-01
222 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
223 Acceptability of Mobile Stock Trading Application: A Study of Young Investors in Malaysia
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Abstract: 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 …		 Lee-Lee Chong; Hway-Boon Ong; Siow-Hooi Tan; Technology in Society 2021-01-01
224 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
225 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
226 Optimal Configuration of Multi-type Energy Storage for Integrated Energy System Considering Multi-energy Trading With Load Substitution
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Abstract: How to consider the impact of load substitution on user-side participating in multi-energy trading on system operation when configuring multi-type energy storage (MES) is an …		 Jun Wang; Wei Du; Dongmei Yang; Guoxin He; Xiaochen Zhang; E3S Web of Conferences 2021-01-01
227 Flocking-based Decentralised Double Auction for P2P Energy Trading Within Neighbourhoods
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Abstract: 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
228 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
229 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
230 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
231 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
232 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
233 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
234 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
235 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
236 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
237 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
238 Customizable and Committee Data Mining Framework for Stock Trading
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Abstract: 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 …		 Hui-Chih Hung; Yu-Jen Chuang; Muh-Cherng Wu; Appl. Soft Comput. 2021-01-01
239 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
240 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
241 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
242 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
243 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
244 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
245 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
246 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
247 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
248 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
249 Global Market Inefficiencies
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Abstract: 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 …		 Söhnke M. Bartram; Mark Grinblatt; Journal of Financial Economics 2021-01-01
250 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
251 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
252 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
253 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
254 A Comprehensive Hierarchical Blockchain System for Carbon Emission Trading Utilizing Blockchain of Things and Smart Contract
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Abstract: Abstract Climate change is a major issue that has disastrous implications on the environment, which, if continued, will cause severe consequences. One of the leading causes of …		 Alia Al Sadawi; Batool Madani; Sara Saboor; Malick Ndiaye; Ghassan Abu-Lebdeh; Technological Forecasting and Social Change 2021-01-01
255 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
256 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
257 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
258 Predictive Ability of Similarity-based Futures Trading Strategies
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Abstract: 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 …		 Mi-Hsiu Chiang; Hsin-Yu Chiu; Wei-Yu Kuo; Pacific-basin Finance Journal 2021-01-01
259 The Analysis of Some Trading Strategy on The Stock Market with The Liquidity Shortage
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 Marek; EUROPEAN RESEARCH STUDIES JOURNAL 2021-01-01
260 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
261 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
262 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
263 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
264 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
265 Peer-to-peer Trading Optimizations on Net-zero Energy Communities with Energy Storage of Hydrogen and Battery Vehicles
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Abstract: 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 …		 Jia Liu; Hongxing Yang; Yuekuan Zhou; Applied Energy 2021-01-01
266 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
267 An Iterative Uniform-price Auction Mechanism for Peer-to-peer Energy Trading in A Community Microgrid
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Abstract: 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 …		 Shuang Xu; Yong Zhao; Yuanzheng Li; Yue Zhou; Applied Energy 2021-01-01
268 Volatility Timing, Sentiment, and The Short-term Profitability of VIX-based Cross-sectional Trading Strategies
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Abstract: 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 …		 Wenjie Ding; Khelifa Mazouz; Qingwei Wang; Journal of Empirical Finance 2021-01-01
269 Intraday Interactions Between High-frequency Trading and Price Efficiency
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Abstract: 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 …		 Imen Ben Ammar; Slaheddine Hellara; Finance Research Letters 2021-01-01
270 Trading Strategy of Structured Mutual Fund Based on Deep Learning Network
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Abstract: 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 …		 Jiao Chen; Changqing Luo; Lurun Pan; Yun Jia; Expert Syst. Appl. 2021-01-01
271 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
272 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
273 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
274 Trader Positions in VIX Futures
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Abstract: 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 …		 Yu-Lun Chen; J. Jimmy Yang; Journal of Empirical Finance 2021-01-01
275 Does Air Pollution Influence Investor Trading Behavior? Evidence from China
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Abstract: 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 …		 Mengmeng Guo; Mengxin Wei; Lin Huang; Emerging Markets Review 2021-01-01
276 How to Use Exotic Assets for Trading Strategy Improvement
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 Dominik Cisár; SSRN Electronic Journal 2021-01-01
277 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
278 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
279 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
280 Uncovering The Complex Asymmetric Relationship Between Trading Activity and Commodity Futures Price: Evidenced from QNARDL Study
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Abstract: Abstract This study cracks the multidimensional asymmetric relationship between trading activity (volume and open interest) and commodity futures prices to analyze the short-term …		 Sangram Keshari Jena; Amine Lahiani; Aviral Kumar Tiwari; David Roubaud; Resources Policy 2021-01-01
281 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
282 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
283 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
284 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
285 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
286 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
287 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
288 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
289 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
290 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
291 Pricing Spread Option With Liquidity Adjustments
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Highlight: We consider a partial-impact and a full-impact model in which the price impact is caused by every trading strategy in the market.		 Kevin Shuai Zhang; Traian Pirvu; arxiv-q-fin.CP 2021-01-01
292 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
293 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
294 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
295 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
296 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
297 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
298 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
299 Peer Review #1 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.1)
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 2021-01-01
300 Peer Review #2 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.1)
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 2021-01-01
301 Entropy Trading Strategies Reveal Inefficiencies in Japanese Stock Market
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Abstract: 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 …		 Levan Efremidze; Darrol J. Stanley; Clemens Kownatzki; International Review of Economics & Finance 2021-01-01
302 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
303 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
304 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
305 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
306 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
307 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
308 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
309 Optimal Trade Execution Under Endogenous Order Flow
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Abstract: We consider a novel portfolio liquidation model with self-exciting order flow in which a large investor’s trading activity has an impact of future order flow. We allow for both …		 Ying Chen; Ulrich Horst; Hoang Hai Tran; Capital Markets: Market Microstructure eJournal 2021-01-01
310 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
311 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
312 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
313 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
314 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
315 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
316 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
317 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
318 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
319 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
320 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
321 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
322 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
323 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
324 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
325 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
326 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
327 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
328 Stock Markets and Female Participation in The Labor Force
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Abstract: 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 …		 Menachem (Meni) Abudy; Yevgeny Mugerman; Zvi Wiener; Journal of International Financial Markets, Institutions … 2021-01-01
329 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
330 The Relationship Between Trading Volume and Returns Volatility on Warsaw Stock Exchange
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Abstract: This study examined the relationships between conditional variance of individual stock returns and trading volume and mixed variable in terms of trading volume with price movement …		 Lesław Markowski; 2021-01-01
331 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
332 MODERN METHODS OF THE BANK`S INVESTMENT DEVELOPMENT BASED ON THE PAIR TRADING MODELS
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Abstract: The article deals with the problem of analysis of banking activity and modern methods of investment development of the bank based on pairs trading models. The essence of the pair …		 Inna Viadrova; Irina Bitner; 2021-01-01
333 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
334 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
335 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: 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
336 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
337 Energy Sharing Platform Based on Call Auction Method with The Maximum Transaction Volume
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Abstract: 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 …		 Lingling Sun; Jing Qiu; Xiao Han; Zhao Yang Dong; Energy 2021-01-01
338 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
339 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
340 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
341 Does The Investment Horizon of Institutional Investors Matter for Stock Liquidity?
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Abstract: Abstract This paper examines the role of the investment horizon of institutional investors on stock liquidity of firms. We show that an increase in long-term institutional …		 Xiaoqiong Wang; Siqi Wei; International Review of Financial Analysis 2021-01-01
342 Trading Institutions in Experimental Asset Markets: Theory and Evidence
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Abstract: We report the results of an experiment designed to study the role of institutional structure in the formation of bubbles and crashes in laboratory asset markets. In this study, in …		 Bulent Guler; Volodymyr Lugovskyy; Daniela Puzzello; Steven James Tucker; SSRN Electronic Journal 2021-01-01
343 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
344 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
345 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
346 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
347 A Novel Communication Efficient Peer-to-peer Energy Trading Scheme for Enhanced Privacy in Microgrids
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Abstract: 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 …		 Khalid Umer; Qi Huang; Mohsen Khorasany; Muhammad Afzal; Waqas Amin; Applied Energy 2021-01-01
348 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
349 Margin Trading and Stock Idiosyncratic Volatility: Evidence from The Chinese Stock Market
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Abstract: 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. …		 Pingshu Gui; Yifeng Zhu; International Review of Economics & Finance 2021-01-01
350 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
351 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
352 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
353 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
354 Trading Activity and Price Discovery in Bitcoin Futures Markets
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Abstract: 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 …		 Jui-Cheng Hung; Hung-Chun Liu; J. Jimmy Yang; Journal of Empirical Finance 2021-01-01
355 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
356 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
357 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
358 Commonality and Contrarian Trading Among Algorithmic Traders
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Abstract: 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 …		 Devika Arumugam; P. Krishna Prasanna; Journal of Behavioral and Experimental Finance 2021-01-01
359 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
360 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
361 Culture and The Regulation of Insider Trading Across Countries
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Abstract: Abstract We find that individualistic countries regulate insider trading activities more intensely. The result is robust to controlling for alternative culture variables, …		 Brandon N. Cline; Claudia R. Williamson; Haoyang Xiong; Journal of Corporate Finance 2021-01-01
362 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
363 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
364 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
365 Learning Representation of Stock Traders and Immediate Price Impacts
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Abstract: 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 …		 Wen-Jie Xie; Mu-Yao Li; Wei-Xing Zhou; Emerging Markets Review 2021-01-01
366 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
367 Distributed Power Trading System Based on Blockchain Technology
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Abstract: The power trading system has the characteristics of nonlinearity, dynamics, and complexity. Part of the business data in the trading system needs to be exposed to numerous …		 Shuguo Chen; Weibin Ding; Zhongzheng Xiang; Yuanyuan Liu; Complex. 2021-01-01
368 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
369 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
370 Learning from Trading Activity in Laboratory Security Markets with Higher-order Uncertainty
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Abstract: Abstract This experiment examines forecasting behavior under varying information conditions to assess the extent to which traders in security markets incorporate information in …		 Radhika Lunawat; Journal of Socio-economics 2021-01-01
371 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
372 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
373 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
374 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
375 Multi-level Trading Community Formation and Hybrid Trading Network Construction in Local Energy Market
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Abstract: 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
376 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
377 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
378 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
379 Blockchain Equity System Transaction Method and System Research Based on Machine Learning and Big Data Algorithm
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Abstract: With the development of machine learning and big data, traditional equity trading system methods can no longer meet the current trading needs, and there are still problems such as …		 Kanghua Peng; Wirel. Commun. Mob. Comput. 2021-01-01
380 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
381 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
382 Liquidity, Informed Trading, and A Market Surveillance System: Evidence from The Vietnamese Stock Market
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Abstract: 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 …		 Rong Chen; Heng (Griffin) Geng; Hai Lin; Phuong Thi Ly Nguyen; Pacific-basin Finance Journal 2021-01-01
383 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
384 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
385 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
386 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
387 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
388 A New Allocation Rule for The Housing Market Problem with Ties
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Abstract: We address a general housing market problem with a set of agents and a set of houses. Each agent has a weak ordinal preference list that allows ties on houses as well as an …		 Xinsheng Xiong; Xianjia Wang; Kun He; Journal of Combinatorial Optimization 2021-01-01
389 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
390 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
391 Market Manipulation Rules and IPO Underpricing
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Abstract: 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 …		 Huu Nhan Duong; Abhinav Goyal; Vasileios Kallinterakis; Madhu Veeraraghavan; Journal of Corporate Finance 2021-01-01
392 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
393 Option Trading Volume By Moneyness, Firm Fundamentals, and Expected Stock Returns
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Abstract: 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 …		 Yi Zhou; Journal of Financial Markets 2021-01-01
394 Fundamental Volatility and Informative Trading Volume in A Rational Expectations Equilibrium
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Abstract: 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 …		 Dan Luo; Yipeng Mao; Economic Modelling 2021-01-01
395 Energy Trading Among Electric Vehicles Based on Stackelberg Approaches: A Review
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Abstract: 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 …		 Muhammad Adil; M. A. Parvez Mahmud; Abbas Z. Kouzani; Khoo Sui Yang; Sustainable Cities and Society 2021-01-01
396 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
397 Peer-to-peer Energy Trading of Net-zero Energy Communities with Renewable Energy Systems Integrating Hydrogen Vehicle Storage
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Abstract: 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
398 Traders, Forecasters and Financial Instability: A Model of Individual Learning of Anchor-and-adjustment Heuristics
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Abstract: 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 …		 Tomasz Makarewicz; Journal of Economic Behavior and Organization 2021-01-01
399 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
400 Robust Pricing Under Strategic Trading
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Abstract: 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
401 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
402 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
403 Deep Reinforcement Learning for Portfolio Management
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Highlight: We make several innovations, such as adding short mechanism and designing an arbitrage mechanism, and applied our model to make decision optimization for several randomly selected portfolios.		 Gang Huang; Xiaohua Zhou; Qingyang Song; arxiv-q-fin.CP 2020-12-26
404 Deep Stock Trading: A Hierarchical Reinforcement Learning Framework for Portfolio Optimization and Order Execution
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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; arxiv-cs.AI 2020-12-23
405 Methods Matter: A Trading Agent With No Intelligence Routinely Outperforms AI-Based Traders
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Highlight: In this paper we present results from exhaustive testing over wide ranges of parameter values, using parallel cloud-computing facilities, where we conduct millions of tests and thereby create much richer data from which firmer conclusions can be drawn.		 Dave Cliff; Michael Rollins; arxiv-cs.CE 2020-11-29
406 On Simultaneous Long-Short Stock Trading Controllers With Cross-Coupling
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Highlight: The main contributions of this paper are three-fold: First, we put forward a novel architecture in which we cross-couple two SLS controllers for the two-stock case.		 Atul Deshpande; John A Gubner; B. Ross Barmish; arxiv-q-fin.ST 2020-11-18
407 FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance
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Highlight: In this paper, we introduce a DRL library FinRL that facilitates beginners to expose themselves to quantitative finance and to develop their own stock trading strategies.		 XIAO-YANG LIU et. al. arxiv-q-fin.TR 2020-11-18
408 Collective Dynamics Of Dark Web Marketplaces
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Abstract: Dark web marketplaces are websites that facilitate trade in illicit goods, mainly using Bitcoin. Since dark web marketplaces are unregulated, they do not offer any user …		 ABEER ELBAHRAWY et. al. Scientific reports 2020-11-02
409 Learning Financial Asset-Specific Trading Rules Via Deep Reinforcement Learning
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Highlight: In this paper, a novel DRL model with various feature extraction modules is proposed.		 Mehran Taghian; Ahmad Asadi; Reza Safabakhsh; arxiv-cs.AI 2020-10-27
410 Trading Strategies Of A Leveraged ETF In A Continuous Double Auction Market Using An Agent-Based Simulation
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Highlight: In this paper, we compare different strategies of trading for a proposed trading model and report the results of our investigation regarding how best to suppress an increase in market volatility.		 Isao Yagi; Shunya Maruyama; Takanobu Mizuta; arxiv-q-fin.TR 2020-10-25
411 Adversarial Attacks On Deep Algorithmic Trading Policies
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Highlight: In this paper, we develop a threat model for deep trading policies, and propose two attack techniques for manipulating the performance of such policies at test-time.		 Yaser Faghan; Nancirose Piazza; Vahid Behzadan; Ali Fathi; arxiv-cs.LG 2020-10-21
412 Taking Over The Stock Market: Adversarial Perturbations Against Algorithmic Traders
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Highlight: In this study, we present a realistic scenario in which an attacker influences algorithmic trading systems by using adversarial learning techniques to manipulate the input data stream in real time.		 Elior Nehemya; Yael Mathov; Asaf Shabtai; Yuval Elovici; arxiv-q-fin.TR 2020-10-19
413 Tail-risk Protection: Machine Learning Meets Modern Econometrics
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Highlight: In this paper, we present a dynamic tail risk protection strategy that targets a maximum predefined level of risk measured by Value-At-Risk while controlling for participation in bull market regimes.		 Bruno Spilak; Wolfgang Karl Härdle; arxiv-q-fin.RM 2020-10-07
414 Investor Sentiment And Trading Behavior
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Abstract: The aim of this paper is to model trading decisions of financial investors based on a sentiment index. For this purpose, we analyze a dynamical model, which includes the sentiment …		 Giovanni Campisi; Silvia Muzzioli; Chaos (Woodbury, N.Y.) 2020-10-02
415 High-Frequency Trading On Decentralized On-Chain Exchanges
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Highlight: In this work we formalize, analytically exposit and empirically evaluate an augmented variant of front-running: sandwich attacks, which involve front- and back-running victim transactions on a blockchain-based DEX.		 Liyi Zhou; Kaihua Qin; Christof Ferreira Torres; Duc V Le; Arthur Gervais; arxiv-cs.CR 2020-09-29
416 Solving The Optimal Trading Trajectory Problem Using Simulated Bifurcation
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Highlight: Inspired by such we apply the SB approach to the portfolio integer optimization problem with quantity constraints and trading activities.		 Kyle Steinhauer; Takahisa Fukadai; Sho Yoshida; arxiv-q-fin.CP 2020-09-17
417 Which Trading Agent Is Best? Using A Threaded Parallel Simulation Of A Financial Market Changes The Pecking-Order
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Highlight: In this paper we use BSE, a public-domain market simulator, to run a set of experiments generating benchmark results from several well-known trading algorithms.		 Michael Rollins; Dave Cliff; arxiv-q-fin.TR 2020-09-15
418 Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies
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Highlight: We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well as respective overall high-frequency based market statistics with respect to temporal aspects.		 Alla A. Petukhina; Raphael C. G. Reule; Wolfgang Karl Härdle; arxiv-q-fin.TR 2020-09-09
419 TradAO: A Visual Analytics System For Trading Algorithm Optimization
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Highlight: With the wide applications of algorithmic trading, it has become critical for traders to build a winning trading algorithm to beat the market.		 KA WING TSANG et. al. arxiv-cs.HC 2020-08-25
420 Adaptive Trading Strategies Across Liquidity Pools
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Highlight: In this article, we provide a flexible framework for optimal trading in an asset listed on different venues.		 Bastien Baldacci; Iuliia Manziuk; arxiv-q-fin.TR 2020-08-18
421 A Free Boundary Problem Arising From A Multi-state Regime-switching Stock Trading Model
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Highlight: In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process.		 Chonghu Guan; Jing Peng; Zuo Quan Xu; arxiv-math.AP 2020-08-17
422 Trading Imbalance In Chinese Stock Market-A High-Frequency View
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Abstract: Although an imbalance of buying and selling profoundly affects the formation of market trends, a fine-granularity investigation of this perplexity of trading behavior is still …		 Shan Lu; Jichang Zhao; Huiwen Wang; Entropy (Basel, Switzerland) 2020-08-15
423 Investment Sizing With Deep Learning Prediction Uncertainties For High-frequency Eurodollar Futures Trading
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Highlight: In this work we show that prediction uncertainty estimates gleaned from deep learning models can be useful inputs for influencing the relative allocation of risk capital across trades.		 Trent Spears; Stefan Zohren; Stephen Roberts; arxiv-q-fin.ST 2020-07-31
424 The Importance Of Low Latency To Order Book Imbalance Trading Strategies
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Highlight: Accordingly, we investigate the relationship between latency of access to order book information and profitability of trading strategies exploiting that information with an agent-based interactive discrete event simulation in which thousands of agents pursue archetypal trading strategies.		 David Byrd; Sruthi Palaparthi; Maria Hybinette; Tucker Hybinette Balch; arxiv-q-fin.TR 2020-06-15
425 An Overall View Of Key Problems In Algorithmic Trading And Recent Progress
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Highlight: We summarize the fundamental issues at stake in algorithmic trading, and the progress made in this field over the last twenty years. We first present the key problems of algorithmic trading, describing the concepts of optimal execution, optimal placement, and price impact.		 Michaël Karpe; arxiv-q-fin.TR 2020-06-09
426 Pairs Trading With Nonlinear And Non-Gaussian State Space Models
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Highlight: We model the spread between the prices of two assets as an unobservable state variable and assume that it follows a mean-reverting process.		 Guang Zhang; arxiv-q-fin.PM 2020-05-19
427 How Complexity And Uncertainty Grew With Algorithmic Trading
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Abstract: The machine-learning paradigm promises traders to reduce uncertainty through better predictions done by ever more complex algorithms. We ask about detectable results of both …		 Martin Hilbert; David Darmon; Entropy (Basel, Switzerland) 2020-04-26
428 Trading Foreign Exchange Triplets
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Highlight: We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair.		 Álvaro Cartea; Sebastian Jaimungal; Tianyi Jia; arxiv-q-fin.TR 2020-04-24
429 A Trend-following Trading Indicator On Homomorphically Encrypted Data
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Highlight: This paper proposes an implementation of a popular trend-following indicator with two different homomorphic encryption libraries – SEAL and HEAAN – and compares it to the trading indicator implemented for plaintext.		 Haotian Weng; Artem Lenskiy; arxiv-cs.CR 2020-04-24
430 QuantNet: Transferring Learning Across Systematic Trading Strategies
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Highlight: In this paper, we take a step towards developing fully end-to-end global trading strategies that leverage systematic trends to produce superior market-specific trading strategies.		 Adriano Koshiyama; Sebastian Flennerhag; Stefano B. Blumberg; Nick Firoozye; Philip Treleaven; arxiv-cs.LG 2020-04-07
431 An Application Of Deep Reinforcement Learning To Algorithmic Trading
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Highlight: This scientific research paper presents an innovative approach based on deep reinforcement learning (DRL) to solve the algorithmic trading problem of determining the optimal trading position at any point in time during a trading activity in stock markets.		 Thibaut Théate; Damien Ernst; arxiv-q-fin.TR 2020-04-07
432 Cryptocurrency Trading: A Comprehensive Survey
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Highlight: This paper provides a comprehensive survey of cryptocurrency trading research, by covering 146 research papers on various aspects of cryptocurrency trading (e.g., cryptocurrency trading systems, bubble and extreme conditions, prediction of volatility and return, crypto-assets portfolio construction and crypto-assets, technical trading and others).		 FAN FANG et. al. arxiv-q-fin.TR 2020-03-25
433 Evolutionary Disruption Of S&P 500 Trading Concentration: An Intriguing Tale Of A Financial Innovation
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Abstract: The novel finding of Balakrishnan, Miller & Shankar (2008) that investors, overwhelmed by the plethora of stock investment offerings, limit their analysis and daily choices to …		 S Gowri Shankar; James M Miller; P V Sundar Balakrishnan; PloS one 2020-03-24
434 Deep Deterministic Portfolio Optimization
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Highlight: The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading environments.		 Ayman Chaouki; Stephen Hardiman; Christian Schmidt; Emmanuel Sérié; Joachim de Lataillade; arxiv-q-fin.MF 2020-03-13
435 Equations And Shape Of The Optimal Band Strategy
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Highlight: We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control.		 Joachim de Lataillade; Ayman Chaouki; arxiv-q-fin.MF 2020-03-10
436 Empirical Analysis Of Indirect Internal Conversions In Cryptocurrency Exchanges
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Highlight: In this paper, we build a set of methodologies to characterize and empirically measure different algorithmic trading strategies in Binance, a large centralized cryptocurrency exchange, using a complete data set of historical trades.		 Paz Grimberg; Tobias Lauinger; Damon McCoy; arxiv-q-fin.TR 2020-02-27
437 Using Reinforcement Learning In The Algorithmic Trading Problem
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Abstract: The development of reinforced learning methods has extended application to many areas including algorithmic trading. In this paper trading on the stock exchange is interpreted …		 Evgeny Ponomarev; Ivan Oseledets; Andrzej Cichocki; arxiv-q-fin.TR 2020-02-26
438 The Threshold Effect Of Leveraged Trading On The Stock Price Crash Risk: Evidence From China
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Abstract: The stock price crash constitutes one part of the complexity in the stock market. We aim to verify the threshold effect of leveraged trading on the stock price crash risk from the …		 Zhen Peng; Changsheng Hu; Entropy (Basel, Switzerland) 2020-02-26
439 Adversarial Attacks on Machine Learning Systems for High-Frequency Trading
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Highlight: We introduce new attacks specific to this domain with size constraints that minimize attack costs.		 Micah Goldblum; Avi Schwarzschild; Ankit B. Patel; Tom Goldstein; arxiv-cs.LG 2020-02-21
440 Adaptive Quantitative Trading: An Imitative Deep Reinforcement Learning Approach
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Highlight: To address the challenges, we propose an adaptive trading model, namely iRDPG, to automatically develop QT strategies by an intelligent trading agent.		 Yang Liu; Qi Liu; Hongke Zhao; Zhen Pan; Chuanren Liu; aaai 2020-02-07
441 Shoreline: Data-Driven Threshold Estimation Of Online Reserves Of Cryptocurrency Trading Platforms
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Highlight: In this paper, we propose Shoreline, a deep learning-based threshold estimation framework that estimates the optimal threshold of hot wallets from historical wallet activities and dynamic trading networks.		 Xitong Zhang; He Zhu; Jiayu Zhou; aaai 2020-02-07
442 Sentiment And Knowledge Based Algorithmic Trading With Deep Reinforcement Learning
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Highlight: To learn a good policy for trading, we formulate an approach using reinforcement learning which uses traditional time series stock price data and combines it with news headline sentiments, while leveraging knowledge graphs for exploiting news about implicit relationships.		 Abhishek Nan; Anandh Perumal; Osmar R. Zaiane; arxiv-cs.AI 2020-01-26
443 A Trading Framework Based on Fuzzy Moore Machines
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Abstract: The everlasting competition between investing strategies has seen a remarkable impulse after automated trading algorithms took their place. Any failure in this kind of algorithms …		 Iván Calvo; Mercedes G. Merayo; Manuel Núñez; 2020-01-01
444 Stock Price Trend Forecasting Using Long Short Term Memory Recurrent Neural Networks
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Abstract: The prediction of future stock price trend using current and historical stock market data is a research problem for traders and researchers. Recently deep learning methods shown …		 Mahdi Ismael Omar; Mujeeb Rahaman; 2020-01-01
445 Strategic Timing of Corporate Insiders When Trading at Earnings Announcements
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Abstract: Abstract This paper provides new evidence that insiders exploit their stock’s mispricing after earnings announcements rather than their foreknowledge of future cash flows to make …		 Harold Contreras; Finance Research Letters 2020-01-01
446 Using Markov-switching Models with Markov Chain Monte Carlo Inference Methods in Agricultural Commodities Trading
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Abstract: In this work, the use of Markov-switching GARCH (MS-GARCH) models is tested in an active trading algorithm for corn and soybean future markets. By assuming that a given investor …		 Oscar V. De la Torre-Torres; Dora Aguilasocho-Montoya; José Álvarez-García; Biagio Simonetti; Soft Comput. 2020-01-01
447 Understanding Impact of Twitter Feed on Bitcoin Price and Trading Patterns
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Abstract: ‘‘Cryptocurrency trading was one of the most exciting jobs of 2017’’. ‘‘Bit- coin’’,‘‘Blockchain’’, ‘‘Bitcoin Trading’’ were the most searched words in Google during 2017. High …		 Ashrit Deebadi; 2020-01-01
448 The Study Trends of Capital Gain Tax for Stock and Their Effects on Stock Trading
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 Youngkyu Park; 2020-01-01
449 Impact of High Frequency Trading on Equity Market with Reference to NSE India
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 A. Kotishwar; Indian Journal of Finance 2020-01-01
450 European Insider Trading Theory Revisited: The Limits of The Parity-of-Information Theory and The Application of The Property Rights in Information Theory to Activist Investment Strategies
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Abstract: Abstract Parity-of-information is purported to be the single overarching policy rationale for the European Union (EU) regulation on insider trading. This is because securities …		 Ana Taleska; European Company and Financial Law Review 2020-01-01
451 Approaching Stock Market Trading with Echo State Networks
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Abstract: The US stock market is an integral part of modern society. Nearly 55% of Americans own corporate shares in the US stock market (What Percentage of Americans Own Stock?, 2019), and …		 Dev Patel; Krish Patel; Charles Dela Cuesta; Journal of Student Research 2020-01-01
452 The Only Sure Alpha: Tax-Motivated Trading and Price Efficiency
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Abstract: This article addresses how tax rules shape price discovery in financial markets. Price discovery, the process by which new information about the fundamental value of an asset is …		 Hillel Nadler; 2020-01-01
453 Replicating Stock Trading Strategy By Means of Neural Networks
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Abstract: Training a robot to replicate a successful trader’s strategy in the stock market could create huge amount of value. In this paper, we try to replicate trading strategies generated …		 Chongyang Zhang; 2020 7th International Conference on Information Science … 2020-01-01
454 Is Bitcoin Trading Globally Efficient? A Daily Analysis Between Three Exchanges in The Period 2017 To 2019
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 Denis Forte; Proceedings of ‏The 3rd International Conference on Applied … 2020-01-01
455 Regulation Spillovers Across Cryptocurrency Markets
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Abstract: Abstract Several countries have already introduced restrictions on trading of cryptocurrencies, and many more are evaluating whether to follow suit. We document an unprecedented …		 Nicola Borri; Kirill Shakhnov; Finance Research Letters 2020-01-01
456 An Introduction to Algorithmic Finance, Algorithmic Trading and Blockchain
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Abstract: The purpose of the book is to provide a broad-based accessible introduction to three of the presently most important areas of computational finance, namely, option pricing, …		 Satya R. Chakravarty; Palash Sarkar; 2020-01-01
457 Academic Abilities, Education and Performance in The Stock Market
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Abstract: Abstract The paper assesses how cognitive abilities and education affect the performance of individual investors in the stock market. We use an exhaustive NASDAQ Tallinn dataset …		 Tõnn Talpsepp; Kristjan Liivamägi; Tarvo Vaarmets; Journal of Banking and Finance 2020-01-01
458 A Multicriteria Trading System Based on Singular Spectrum Analysis Trading Rules
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Abstract: A new trading system (TS) is proposed in this paper, based on singular spectrum analysis (SSA) and on a decision-making process that relies on performance measures adjusted by …		 Michel Carlo Rodrigues Leles; Leonardo Amaral Mozelli; Elton Felipe Sbruzzi; Cairo Lúcio Nascimento Júnior; Homero Nogueira Guimarães; IEEE Systems Journal 2020-01-01
459 LSTM-Based Quantitative Trading Using Dynamic K-Top and Kelly Criterion
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Abstract: With the strong capability of modeling time sequence, long short-term memory (LSTM) networks have been widely applied to predicting financial time series. This has attracted …		 Binjing Li; Keli Xie; Siyuan Lu; Jun Lin; Zhongfeng Wang; 2020 International Joint Conference on Neural Networks … 2020-01-01
460 On The Efficacy of Optimized Exit Rule for Mean Reversion Trading
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Abstract: We investigate the effect of using an optimized exit rule on pairs trading. For every asset pair, we optimize the positions so that resulting intraday portfolio value is best …		 Donovan Lee; Tim Leung; Capital Markets: Market Efficiency eJournal 2020-01-01
461 DAMPAK STOCK SPLIT TERHADAP HARGA SAHAM DAN AKTIVITAS VOLUME PERDAGANGAN SAHAM DI BURSA EFEK INDONESIA
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Abstract: Stock Split is an activity carried out by a company by breaking down the nominal value of shares into smaller ones. Stock split policy has an impact on stock prices and stock …		 Ni Kadek Wiwik Yuniartini; Ida Bagus Panji Sedana; 2020-01-01
462 Energy Trading in Microgrids for Synergies Among Electricity, Hydrogen and Heat Networks
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Abstract: Abstract The emerging paradigm of interconnected microgrids advocates energy trading or sharing among multiple microgrids. It helps make full use of the temporal availability of …		 DAFENG ZHU et. al. ArXiv 2020-01-01
463 Futures Trading Strategy Test Based on Computer Programming
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Abstract: The quality of futures trading strategy is related to the success or failure of futures trading. The advantages and disadvantages of futures trading strategies are often known …		 Guo-ping Li; Proceedings of the 3rd International Conference on Data … 2020-01-01
464 Embedded Draw-down Constraint Using Ensemble Learning for Stock Trading
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 Mu-En Wu; Sheng-Hao Lin; Jia-Ching Wang; J. Intell. Fuzzy Syst. 2020-01-01
465 Event Based Sentiment Analysis on Futures Trading
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Abstract: Market expectations as well as perception of the investment risks and returns are dependent on information arrivals. News arrival forms the basis for market sentiment, which in …		 Ritu Yadav; Ashwani Kumar; A. Vinay Kumar; The Journal of Prediction Markets 2020-01-01
466 Do Reference Prices Impact How Investors Respond to News?
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Abstract: We provide evidence that reference prices impact how investors respond to news. When current prices are farther from a reference price, investors react more strongly to news. We …		 Brad Cannon; Hannes Mohrschladt; Microeconomics: General Equilibrium & Disequilibrium Models … 2020-01-01
467 Stock Trading Classifier with Multichannel Convolutional Neural Network
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Abstract: Stock market forecasting has been a quite popular challenge in machine learning research. Recently, studies have been using deep learning techniques, such as Convolutional Neural …		 Davi Nascimento; Anna Costa; Reinaldo Bianchi; 2020-01-01
468 Machine Learning in Capital Markets: Decision Support System for Outcome Analysis
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Abstract: Decision support systems using Artificial Intelligence in the context of financial services include different application ranging from investment advice to financial trading. The …		 Riccardo Rosati; Luca Romeo; Carlos Alfaro Goday; Tullio Menga; Emanuele Frontoni; IEEE Access 2020-01-01
469 Meta-Learning of Evolutionary Strategy for Stock Trading
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Abstract: Meta-learning algorithms learn about the learning process itself so it can speed up subsequent similar learning tasks with fewer data and iterations. If achieved, these benefits …		 ERIK SORENSEN et. al. 2020-01-01
470 Portfolio Management Based on Deep Reinforcement Learning with Adaptive Sampling
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Abstract: Quantitative trading finds stable and profitable trading strategies by observing historical data through statistics or mathematics methods. However, existing studies are still …		 Yu-Hsiang Miao; Yi-Ting Hsiao; Szu-Hao Huang; 2020 International Conference on Pervasive Artificial … 2020-01-01
471 Improving Pair Trading Performances with Structural Change Detections and Revised Trading Strategies
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Abstract: A pairs trading strategy (PTS) forms a market-neutral portfolio whose value moves back and forth around a certain price level. An investor can long (short) the portfolio when its …		 Hao-Han Chang; Tian-Shyr Dai; Kuan-Lun Wang; Chao-Hsien Chu; Jun-Zhe Wang; 2020 International Conference on Pervasive Artificial … 2020-01-01
472 Trading Volume, Information Releases, and The Returns to Equity Option Straddles
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Abstract: In this paper we investigate the relationship between past trading volume and variance risk premiums (VRPs) around earnings announcement (EAs). Theoretical models suggest opposing …		 Thaddeus Neururer; George Papadakis; Social Science Research Network 2020-01-01
473 DNN Models Based on Dimensionality Reduction for Stock Trading
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 Dongdong Lv; Dong Wang; Meizi Li; Yang Xiang; Intell. Data Anal. 2020-01-01
474 Automated Creation of A High-Performing Algorithmic Trader Via Deep Learning on Level-2 Limit Order Book Data
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Abstract: We present results demonstrating that an appropriately configured deep learning neural network (DLNN) can automatically learn to be a high-performing algorithmic trading system, …		 Aaron Wray; Matthew Meades; Dave Cliff; 2020 IEEE Symposium Series on Computational Intelligence … 2020-01-01
475 A Bird’s Eye View of The World’s Fastest Networks
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Abstract: Low latency is of interest for a variety of applications. The most stringent latency requirements arise in financial trading, where sub-microsecond differences matter. As a …		 Debopam Bhattacherjee; Waqar Aqeel; Gregory Laughlin; Bruce M. Maggs; Ankit Singla; Proceedings of the ACM Internet Measurement Conference 2020-01-01
476 Trading on Earthquakes: Algorithmic Financialization of Tectonic Events at Global Stock Exchanges
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Abstract: This paper addresses how high-frequency trading adapts to natural disasters. Stock market trades have accelerated to a rate at which shares change hands in microseconds. I examine …		 Thomas Grindsted; Capital Markets: Market Microstructure eJournal 2020-01-01
477 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; IACR Cryptol. ePrint Arch. 2020-01-01
478 High-Frequency Trading
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 Ann-Christina Lange; 2020-01-01
479 Short-Term Trading Strategy on G10 Currencies
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Abstract: This paper presents research on a profitable trading strategy for G10 currencies. We will devise trading strategies by considering realistic trading scenarios, analyze the …		 Dhruv Agrawal; Econometrics: Econometric & Statistical Methods – Special … 2020-01-01
480 Intraday Volume-Return Nexus in Cryptocurrency Markets: A Novel Evidence From Cryptocurrency Classification
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Abstract: This paper analyses the volume-return relationships across top 30 most traded cryptocurrencies from the April 2013 to June 2019 using a high-frequency intraday data. We use a …		 Larisa Yarovaya; Damian Zięba; ERN: Asset Pricing Models (Topic) 2020-01-01
481 Crash-sensitive Kelly Strategy Built on A Modified Kreuser-Sornette Bubble Model Tested Over Three Decades of Twenty Equity Indices
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Abstract: We present a modified version of the super-exponential rational expectations “Efficient Crashes” bubble model of (Kreuser and Sornette, 2019) with a different formulation of the …		 J-C Gerlach; Jerome L Kreuser; Didier Sornette; AARN: State Economies & Economic Change (Topic) 2020-01-01
482 Emotional Trading in The Cryptocurrency Market
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Abstract: Abstract We quantify the emotional factors inherited in 2,050,280 posts on Bitcointalk.org and investigate the impact of emotion on Bitcoin price fluctuations. Future Bitcoin …		 Yongkil Ahn; Dongyeon Kim; Finance Research Letters 2020-01-01
483 Digital Technologies As Means of Increasing The Efficiency and Transparency of Timber Stock Trading
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Abstract: The aim of the article. Domestic stocks suffer a problem of ensuring information transparency and objectivity of trading results, manipulations caused by the distortion of trading …		 Sergii Illiashenko; Yuliia Shypulina; Yuliia Smoliar; 2020-01-01
484 High Frequency Trading A Boon and Bane
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Abstract: High-Frequency Trading is a modern solution to a time-old problem. This research article was drafted by our group for internal class discussion. We have tried to cover from …		 Robin Garewal; CompSciRN: Other High Performance Computing (Topic) 2020-01-01
485 Striving to Make Better Decision Quicker in Cloud: Big Data Event Trading in High Frequency Trading Perspective
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 Arodh Lal Karn; Niranjan Sapkota; Rakshha Kumari Karna; Muhammad Rafiq; Int. J. Serv. Technol. Manag. 2020-01-01
486 Cost-benefit Analysis of Trading Strategies in The Stock Index Futures Market
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Abstract: With the introduction of many derivatives into the capital market, including stock index futures, the trading strategies in financial markets have been gradually enriched. …		 Xiong Xiong; Yian Cui; Xiaocong Yan; Jun Liu; Shaoyi He; Financial Innovation 2020-01-01
487 Coalition Feature Interpretation and Attribution in Algorithmic Trading Models
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Abstract: The ability to correctly interpret a prediction model’s output is critically important in many problem spheres. Accurate interpretation generates user trust in the model, provides …		 James V. Hansen; Computational Economics 2020-01-01
488 Evolutionary Hedging Model for Power Trading to Maximize Daily Profits
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Abstract: Established trading strategies such as fully back-to- back hedging no longer work in a world where customers transfer the cost of hedging completely to traders. Dynamic daily …		 Adrian Ettlin; 2020 17th International Conference on the European Energy … 2020-01-01
489 Automated Trading Point Forecasting Based on Bicluster Mining and Fuzzy Inference
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Abstract: Historical financial data are frequently used in technical analysis to identify patterns that can be exploited to achieve trading profits. Although technical analysis using a …		 Qinghua Huang; Jie Yang; Xiangfei Feng; Alan Wee-Chung Liew; Xuelong Li; IEEE Transactions on Fuzzy Systems 2020-01-01
490 The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency
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Abstract: This article examines the co-location of high-frequency trading (HFT) facilities and capacity of the Australian futures market to absorb information following major scheduled …		 Panha Heng; Scott J. Niblock; Jennifer L. Harrison; Hansi Hu; 2020-01-01
491 Pengaruh Internet Financial Reporting Dan Tingkat Pengungkapan Informasi Website Terhadap Frekuensi Perdagangan Saham
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Abstract: The purpose of this study was to analyze the effect of Internet Financial Reporting (IFR) practices on the frequency of stock trading of companies listed on the Stock Exchange in …		 Sri Fitri Wahyuni; Radiman Radiman; Yogi Pranata; 2020-01-01
492 Algorithmic Trading and Transaction Costs
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Abstract: “Algos” are algorithmic trading strategies that are meant to optimize the execution quality of the trades in terms of transaction costs and market-timing. This chapter presents …		 George Chalamandaris; Dimitrios Antonopoulos; 2020-01-01
493 Analysis of Trading Algorithms on The Platform QUIK
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Abstract: This paper analyzes the set of trading algorithms A. An element of this set is a(I, Cs, Cp) where I is a set of indicators of which behavior is taken into account for a given …		 OLEG MALAFEYEV et. al. 2020 2nd International Conference on Control Systems, … 2020-01-01
494 Question: Do Bitcoin/Yen Traders Ever Take A Day Off? Answer: Not Often
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Abstract: The aim is to analyse daily Bitcoin trading activity in the Bitcoin/Yen market, looking not at Bitcoin’s price or aggregate volume, but at the size and number of trades, in order …		 Jackie Johnson; Cybersecurity 2020-01-01
495 Algorithmic Trading and Market Quality
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Abstract: A unique data set from NASDAQ OMX Nordic allows a deep analysis of trader types’ activity and provides evidence on the roles played in the trading ecosystem. We specifically …		 John Paul Broussard; Andrei L. Nikiforov; Sergey Osmekhin; Microeconomics: General Equilibrium & Disequilibrium Models … 2020-01-01
496 Deep Probabilistic Modelling of Price Movements for High-Frequency Trading
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Abstract: In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading …		 Ye-Sheen Lim; Denise Gorse; 2020 International Joint Conference on Neural Networks … 2020-01-01
497 Options Trading Strategy Based on ARIMA Forecasting
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Abstract: The purpose of this paper is to illustrate a profitable and original index options trading strategy.,The methodology is based on auto regressive integrated moving average (ARIMA) …		 Pierre Rostan; Alexandra Rostan; Mohammad Nurunnabi; 2020-01-01
498 Determinants of Price Reversal in High-frequency Trading: Empirical Evidence from Indonesia
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Abstract: This article analyzes whether the factors of the mechanism of high-frequency trading (HFT) or intraday trading affect the process of price reversal and continuation. The price …		 Perdana Wahyu Santosa; Investment management & financial innovations 2020-01-01
499 A Dynamic Stock Trading System Using GQTS And Moving Average In The U.S. Stock Market
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Abstract: Evolutionary algorithms or metaheuristic methods are common approaches applied in highly complex optimization problems, such as stock trading. In this paper we employ a novel …		 Yi-Hsiang Chen; Chih-Hsiang Chang; Shu-Yu Kuo; Yao-Hsin Chou; 2020 IEEE International Conference on Systems, Man, and … 2020-01-01
500 Hardware Accelerator for Engle-Granger Cointegration in Pairs Trading
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Abstract: Pairs trading is a classic strategy in the algorithmic trading area and has achieved great success in the stock market. It consists of two stages: pairs selection and trading …		 Shuang Liang; Siyuan Lu; Jun Lin; Zhongfeng Wang; 2020 IEEE International Symposium on Circuits and Systems … 2020-01-01
501 On The Sensibility of The Pairs Trading Strategy: The Case of The FTS Stock Market Index
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Abstract: In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how …		 Ainhoa Fernández-Pérez; María de las Nieves López-García; José Pedro Ramos Requena; 2020-01-01
502 The Trading Strategy of Inflection Point Futures Analysis Based on AFS Theory
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Abstract: Futures trading strategies include buying and selling strategies formulated by traders, traders can make huge profits by using reasonable trading strategies. Most researchers use …		 Mengmeng Liu; Xiaodong Liu; Wenjuan Jia; Yabing Du; 2020 39th Chinese Control Conference (CCC) 2020-01-01
503 Empirical Research on Futures Trading Strategy Based on Time Series Algorithm
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Abstract: This article attempts to establish a trading strategy framework based on deep neural networks for the futures market, which consists of two parts: time series forecasting and …		 Shi Yao; Yan Hongfei; Ying Siping; Chong Chen; Su Qi; 2020-01-01
504 Behavioral Agent-based Framework for Interacting Financial Markets
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Abstract: This paper aims at developing a behavioral agent-based model for interacting financial markets. Additionally, the effect of imposing Tobin taxes on market dynamics is …		 Heba M. Ezzat; 2020-01-01
505 Leveraging The Explainability of Associative Classifiers to Support Quantitative Stock Trading
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Abstract: Forecasting the stock market is particularly challenging due to the presence of a variety of inter-related economic and political factors. In recent years, the application of …		 Giuseppe Attanasio; Luca Cagliero; Elena Baralis; Proceedings of the Sixth International Workshop on Data … 2020-01-01
506 Does Algorithmic Trading Mean Predictable Prices? Short-Run Weak-Form Efficiency of Indian Stocks
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 Edward Curran; SSRN Electronic Journal 2020-01-01
507 Profitable Stock Trading Strategy Using Technical Analysis with Python
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 Journal of Xidian University 2020-01-01
508 On The Bound of Cumulative Return in Trading Series and The Verification Using Technical Trading Rules
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Abstract: Although there is a wide use of technical trading rules in stock markets, the profitability of them still remains controversial. This paper first presents and proves the upper …		 Can Yang; Junjie Zhai; Helong Li; ArXiv 2020-01-01
509 Does Floor Trading Matter?
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Abstract: While algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of …		 Jonathan Brogaard; Matthew Ringgenberg; Dominik Rösch; LSN: Law & Finance: Empirical (Topic) 2020-01-01
510 Algorithmic Trading and Market Quality: International Evidence
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Abstract: We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around the world. We use an exchange colocation service that increases …		 Ekkehart Boehmer; Kingsley Y. L. Fong; Juan Wu; Journal of Financial and Quantitative Analysis 2020-01-01
511 Analisis Reaksi Investor Sebagai Dampak Covid-19 Pada Sektor Perbankan Di Indonesia
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Abstract: This study aims to determine the abnormal return and volume of stock trading transaction due to the Covid-19 pandemic. This research was conducted at banking sector companies …		 Crescentiano Agung Wicaksono; Rahandhika Ivan Adyaksana; 2020-01-01
512 Scenario Reduction for Stochastic Optimization Applied to Short-Term Trading of PV Power
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Abstract: This paper addresses the scenario reduction for stochastic optimization applied to short-term trading of photovoltaic (PV) power. Stochastic optimization becomes a useful …		 Isaías L. R. Gomes; Rui Melício; Victor M. F. Mendes; 2020-01-01
513 Humans in Charge of Trading Robots: The First Experiment
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Abstract: We present results from an experiment where participants have access to a set of robots (automated trading algorithms), which they may deploy, launch, halt and replace at will, …		 ELENA N. ASPAROUHOVA et. al. Other Financial Economics eJournal 2020-01-01
514 Examining Trading Strategies Using Trend Following Indicators for Indonesian Stock Market
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Abstract: This study aims to examine the reliability of the technical analysis (TA) approach in Indonesian stock exchanges, specifically moving-average trading rule to determine buy/sell …		 Felizia Arni Rudiawarni; Dedhy Sulistiawan; Yie Ke Feliana; International Journal of Trade and Global Markets 2020-01-01
515 A Novel Dynamic Data-Driven Algorithmic Trading Strategy Using Joint Forecasts of Volatility and Stock Price
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Abstract: Volatility forecasts and stock price forecasts play major roles in algorithmic trading. In this paper, joint forecasts of volatility and stock price are first obtained and then …		 You Liang; A. Thavaneswaran; Alexander Paseka; Zimo Zhu; Ruppa K. Thulasiram; 2020 IEEE 44th Annual Computers, Software, and Applications … 2020-01-01
516 Reinforcement Learning Approach for Market-Maker Problem Solution
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Abstract: The paper considers the implementation of machine learning technologies to algorithmic trading. The paper studies the process of the stock market trading and the role of the …		 K. A. Lokhacheva; Denis Parfenov; Irina Bolodurina; 2020-01-01
517 Automatic P2P Energy Trading Model Based on Reinforcement Learning Using Long Short-Term Delayed Reward
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Abstract: Automatic peer-to-peer energy trading can be defined as a Markov decision process and designed using deep reinforcement learning. We consider prosumer as an entity that consumes …		 Jin-Gyeom Kim; Bowon Lee; Energies 2020-01-01
518 A General Solution Method for Insider Problems
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Abstract: We develop a flexible approach to solve a continuous-time, multi-asset/multi-option Kyle-Back model of informed trading under very general assumptions, including on the …		 François Cocquemas; Ibrahim Ekren; Abraham Lioui; arXiv: Trading and Market Microstructure 2020-01-01
519 Impact Analysis of Financial Regulation on Multi-Asset Markets Using Artificial Market Simulations
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Abstract: In this study, we assessed the impact of capital adequacy ratio (CAR) regulation in the Basel regulatory framework. This regulation was established to make the banking network …		 Masanori Hirano; Kiyoshi Izumi; Takashi Shimada; Hiroyasu Matsushima; Hiroki Sakaji; 2020-01-01
520 A Two-Regime Markov-Switching GARCH Active Trading Algorithm for Coffee, Cocoa, and Sugar Futures
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Abstract: In the present paper we tested the use of Markov-switching Generalized AutoRegressive Conditional Heteroscedasticity (MS-GARCH) models and their not generalized (MS-ARCH) version. …		 Oscar V. De la Torre-Torres; Dora Aguilasocho-Montoya; María de la Cruz del Río-Rama; Mathematics 2020-01-01
521 Deep Reinforcement Learning and Blockchain for Peer-to-Peer Energy Trading Among Microgrids
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Abstract: Peer-to-peer energy trading among microgrids has many advantages, e.g., increasing the utilization of renewable energies, reducing the dependence on the main grid and reducing …		 Ye Xu; Liang Yu; Gang Bi; Meng Zhang; Chao Shen; 2020 International Conferences on Internet of Things … 2020-01-01
522 Price Discovery for Options
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Abstract: We consider a market where traders have asymmetric information regarding the distribution of asset return and study price discovery of derivatives. The informed trader has private …		 Semyon Malamud; Michael Tseng; Yuan Zhang; Swiss Finance Institute Research Paper Series 2020-01-01
523 Exploring The Use of Data at Multiple Granularity Levels in Machine Learning-Based Stock Trading
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Abstract: In the last decade the Artificial Intelligence and Data Science communities have paid an increasing attention to the problem of forecasting stock market movements. The abundance …		 Jacopo Fior; Luca Cagliero; 2020 International Conference on Data Mining Workshops … 2020-01-01
524 A High-Frequency Algorithmic Trading Strategy for Cryptocurrency
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Abstract: ABSTRACT Cryptocurrency such as Bitcoin is a rapidly developing phenomenon in financial technology with considerable research interest but is understudied. In this research …		 Au Vo; Christopher Yost-Bremm; Journal of Computer Information Systems 2020-01-01
525 A Novel Algorithmic Trading Strategy Using Data-Driven Innovation Volatility
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Abstract: The explosion of algorithmic trading has been one of the most prominent recent trends in the finance industry. Regularized estimating functions including Kalman filtering (KF) …		 You Liang; A. Thavaneswaran; Md. Erfanul Hoque; 2020 IEEE Symposium Series on Computational Intelligence … 2020-01-01
526 Information in Noise: Strategic Trading Under Autocorrelated Uninformed Orders
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Abstract: This paper develops a strategic trading model in which uninformed orders are allowed to exhibit a general correlation structure that generates autocorrelation in the order flow. …		 Vladislav Gounas; Capital Markets: Market Microstructure eJournal 2020-01-01
527 An Artificial Neural Networks Based Ensemble System to Forecast Bitcoin Daily Trading Volume
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Abstract: Cryptocurrencies are digital assets gaining popularity and generating huge transactions on electronic platforms. We develop an ensemble predictive system based on artificial …		 Salim Lahmiri; Raafat George Saadé; Danielle Morin; Fassil Nebebe; 2020 5th International Conference on Cloud Computing and … 2020-01-01
528 Algorithmic Trading for Online Portfolio Selection Under Limited Market Liquidity
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Abstract: Abstract We propose an optimal intraday trading algorithm to reduce overall transaction costs by absorbing price shocks when an online portfolio selection (OPS) method rebalances …		 Youngmin Ha; Hai Zhang; Eur. J. Oper. Res. 2020-01-01
529 Stock Selection Heuristics for Performing Frequent Intraday Trading with Genetic Programming
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Abstract: Intraday trading attempts to obtain a profit from the microstructure implicit in price data. Intraday trading implies many more transactions per stock compared to long term …		 Alexander Loginov; Malcolm I. Heywood; Garnett Carl Wilson; Genetic Programming and Evolvable Machines 2020-01-01
530 Striving to Make Better Decision Quicker in Cloud: Big Data Event Trading in High Frequency Trading Perspective
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Abstract: In the world of big data, cloud computing in trading and rapid development in computing hardware and software; cloud computing and high frequency trading (HFT) unconditionally …		 Muhammad Rafiq; Rakshha Kumari Karna; Arodh Lal Karn; Niranjan Sapkota; International Journal of Services Technology and Management 2020-01-01
531 Optimal Convergence Trading for Cross-listed Stocks
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Abstract: With the intention of maximizing an investor’s terminal utility, we construct a non-threshold ased trading model within which the optimal trading weights for daily rebalancing are …		 Christian-Oliver Ewald; Pengcheng Song; Yao Wu; Hai Zhang; Econometrics: Econometric & Statistical Methods – Special … 2020-01-01
532 Forecasting Taiwan Capitalization Weighted Stock Index By Using Convolutional Neural Network
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