Paper Digest: Recent Papers on Algorithmic Trading / High-Frequency Trading
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.
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TABLE 1: Paper Digest: Recent Papers on Algorithmic Trading / High-Frequency Trading
| Paper | Author(s) | Source | Date | |
|---|---|---|---|---|
| 1 | Learning Who Is in The Market from Time Series: Market Participant Discovery Through Adversarial Calibration of Multi-agent Simulators Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we address the problem of multi-agent simulator parameter calibration to allow simulator capture characteristics of different market regimes. |
Victor Storchan; Svitlana Vyetrenko; Tucker Balch; | arxiv-cs.LG | 2021-08-02 |
| 2 | How Can Carbon Trading Price Distortion Be Corrected? An Empirical Study from China’s Carbon Trading Pilot Markets Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 3 | Multi-Objective Evolutionary Algorithm for PET Image Reconstruction: Concept Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: In many diagnostic imaging settings, including positron emission tomography (PET), images are typically used for multiple tasks such as detecting disease and quantifying disease. … |
Mohamed Abouhawwash; Adam M Alessio; | IEEE transactions on medical imaging | 2021-07-30 |
| 4 | The Adaptive Multi-Factor Model and The Financial Market Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this dissertation, we focus on developing techniques to stress these difficulties. |
Liao Zhu; | arxiv-q-fin.ST | 2021-07-29 |
| 5 | Combining Machine Learning Classifiers for Stock Trading with Effective Feature Extraction Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper intends to discuss our machine learning model, which can make a significant amount of profit in the US stock market by performing live trading in the Quantopian platform while using resources free of cost. |
A. K. M. Amanat Ullah; Fahim Imtiaz; Miftah Uddin Md Ihsan; Md. Golam Rabiul Alam; Mahbub Majumdar; | arxiv-q-fin.TR | 2021-07-27 |
| 6 | Trade When Opportunity Comes: Price Movement Forecasting Via Locality-Aware Attention and Adaptive Refined Labeling Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To address the above issues, we propose a novel framework-LARA(Locality-Aware Attention and Adaptive Refined Labeling), which contains the following three components: 1)Locality-aware attention automatically extracts the potentially profitable samples by attending to their label information in order to construct a more accurate classifier on these selected samples. |
LIANG ZENG et. al. | arxiv-cs.LG | 2021-07-26 |
| 7 | A Long Short-Term Memory Network Stock Price Prediction with Leading Indicators Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The accuracy of the prediction of stock price fluctuations is crucial for investors, and it helps investors manage funds better when formulating trading strategies. Using … |
Jimmy Ming-Tai Wu; Lingyun Sun; Gautam Srivastava; Jerry Chun-Wei Lin; | Big data | 2021-07-21 |
| 8 | Similarity Metrics for Different Market Scenarios in Abides Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: An alternative approach is to find a similar financial MDP for which we have already learned its policy, and then reuse such policy in the learning of a new policy for a new financial MDP. |
Diego Pino; Javier García; Fernando Fernández; Svitlana S Vyetrenko; | arxiv-cs.CE | 2021-07-20 |
| 9 | Hyperbolic Online Time Stream Modeling Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work, we propose the first Hierarchical Time-Aware Hyperbolic LSTM (HTLSTM), which leverages the Riemannian manifold for encoding the scale-free nature of a sequence of text in a time-aware fashion. |
Ramit Sawhney; Shivam Agarwal; Megh Thakkar; Arnav Wadhwa; Rajiv Ratn Shah; | sigir | 2021-07-13 |
| 10 | Price Trailing for Financial Trading Using Deep Reinforcement Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 11 | A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. |
Erhan Bayraktar; Christoph Czichowsky; Leonid Dolinskyi; Yan Dolinsky; | arxiv-q-fin.MF | 2021-07-04 |
| 12 | Impact of The Implementation of Carbon Emission Trading on Corporate Financial Performance: Evidence from Listed Companies in China Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 13 | High-frequency Trading and Networked Markets Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Financial markets have undergone a deep reorganization during the last 20 y. A mixture of technological innovation and regulatory constraints has promoted the diffusion of market … |
Federico Musciotto; Jyrki Piilo; Rosario N Mantegna; | Proceedings of the National Academy of Sciences of the … | 2021-06-26 |
| 14 | Stock Exchange Trading Optimization Algorithm: A Human-inspired Method for Global Optimization Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: In this paper, a human-inspired optimization algorithm called stock exchange trading optimization (SETO) for solving numerical and engineering problems is introduced. The … |
Hojjat Emami; | The Journal of supercomputing | 2021-06-25 |
| 15 | Exploring The Scale-Free Nature of Stock Markets: Hyperbolic Graph Learning for Algorithmic Trading Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To capture the scale-free spatial and temporal dependencies in stock prices, we propose HyperStockGAT: Hyperbolic Stock Graph Attention Network, the first model on the Riemannian Manifolds for stock selection. |
Ramit Sawhney; Shivam Agarwal; Arnav Wadhwa; Rajiv Shah; | www | 2021-06-25 |
| 16 | Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose a novel architecture, Temporal Routing Adaptor (TRA), to empower existing stock prediction models with the ability to model multiple stock trading patterns. |
Hengxu Lin; Dong Zhou; Weiqing Liu; Jiang Bian; | arxiv-cs.LG | 2021-06-24 |
| 17 | Deep Learning-based Object Recognition in Multispectral Satellite Imagery for Real-time Applications Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Satellite imagery is changing the way we understand and predict economic activity in the world. Advancements in satellite hardware and low-cost rocket launches have enabled … |
Povilas Gudžius; Olga Kurasova; Vytenis Darulis; Ernestas Filatovas; | Machine vision and applications | 2021-06-22 |
| 18 | Improving Security for Users of Decentralized Exchanges Through Multiparty Computation Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper introduces a protocol based upon multiparty computation that allows for the creation of API keys and security policies that can be applied to any existing decentralized exchange. |
Robert Annessi; Ethan Fast; | arxiv-cs.CR | 2021-06-21 |
| 19 | Multidimensional Linear and Nonlinear Partial Integro-differential Equation in Bessel Potential Spaces with Applications in Option Pricing Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The purpose of this paper is to analyze solutions of a non-local nonlinear partial integro-differential equation (PIDE) in multidimensional spaces. |
Daniel Sevcovic; Cyril Izuchukwu Udeani; | arxiv-q-fin.MF | 2021-06-19 |
| 20 | Effects of Covid-19 Pandemic on Chinese Commodity Futures Markets Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this study, empirical moments and the cointegration for all the liquid commodity futures traded in the Chinese futures markets are analyzed for the periods before and after Covid-19, which is important for trading strategies such as pairs trading. |
Ahmet Goncu; | arxiv-q-fin.GN | 2021-06-17 |
| 21 | Cryptocurrency Trading, Gambling and Problem Gambling Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 22 | Deep Reinforcement Learning on A Multi-asset Environment for Trading Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 23 | A2MM: Mitigating Frontrunning, Transaction Reordering and Consensus Instability in Decentralized Exchanges Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper shows that DEX arbitrage and trade routing among similar AMMs can be performed efficiently and atomically on-chain within smart contracts. |
Liyi Zhou; Kaihua Qin; Arthur Gervais; | arxiv-cs.CR | 2021-06-14 |
| 24 | Video Transaction Algorithm Considering FISCO Alliance Chain and Improved Trusted Computing Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: With the advent of the era of self media, the demand for video trading is becoming more and more obvious. Alliance blockchain has the characteristics of traceable transaction … |
Yang Yang; Dingguo Yu; Chen Yang; | PeerJ. Computer science | 2021-06-14 |
| 25 | RCURRENCY: Live Digital Asset Trading Using A Recurrent Neural Network-based Forecasting System Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 26 | Deep Learning Statistical Arbitrage Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a unifying conceptual framework for statistical arbitrage and develop a novel deep learning solution, which finds commonality and time-series patterns from large panels in a data-driven and flexible way. |
Jorge Guijarro-Ordonez; Markus Pelger; Greg Zanotti; | arxiv-cs.LG | 2021-06-07 |
| 27 | Dynamic Shrinkage Estimation of The High-Dimensional Minimum-Variance Portfolio Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage target is a random object. |
Taras Bodnar; Nestor Parolya; Erik Thorsen; | arxiv-q-fin.ST | 2021-06-03 |
| 28 | Connectivity Adaptations in Dopaminergic Systems Define The Brain Maturity of Investors Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Investment decisions rely on perceptions from external stimuli along with the integration of inner brain-body signals, all of which are shaped by experience. As experience is … |
Elena Ortiz-Teran; Ibai Diez; Jorge Sepulcre; Joaquin Lopez-Pascual; Tomas Ortiz; | Scientific reports | 2021-06-03 |
| 29 | Deep Reinforcement Learning in Quantitative Algorithmic Trading: A Review Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 30 | Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To improve the response to regime change, we introduce a novel approach, where we insert an online change-point detection (CPD) module into a Deep Momentum Network (DMN) [1904.04912] pipeline, which uses an LSTM deep-learning architecture to simultaneously learn both trend estimation and position sizing. |
Kieran Wood; Stephen Roberts; Stefan Zohren; | arxiv-stat.ML | 2021-05-28 |
| 31 | Learning About Latent Dynamic Trading Demand Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 32 | Trade The Event: Corporate Events Detection for News-Based Event-Driven Trading Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we introduce an event-driven trading strategy that predicts stock movements by detecting corporate events from news articles. |
Zhihan Zhou; Liqian Ma; Han Liu; | arxiv-cs.CL | 2021-05-26 |
| 33 | Quantitative Day Trading from Natural Language Using Reinforcement Learning Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 34 | Forecasting with Fractional Brownian Motion: A Financial Perspective Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We provide new insights into forecasting an fBm, by proposing theoretical formulas for accuracy metrics relevant to a systematic trader, from the hit ratio to the expected gain and risk of a simple strategy. |
Matthieu Garcin; | arxiv-q-fin.MF | 2021-05-19 |
| 35 | Sparsity Prior Regularized Q-learning for Sparse Action Tasks Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper constructs a reference distribution that assigns a low probability to sparse action and proposes a regularized objective with an explicit constraint to the reference distribution. |
Jing-Cheng Pang; Tian Xu; Sheng-Yi Jiang; Yu-Ren Liu; Yang Yu; | arxiv-cs.LG | 2021-05-18 |
| 36 | Intra-day Co-movements of Crude Oil Futures: China and The International Benchmarks Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Investigating the co-movements between crude oil futures helps to understand the integration of the global markets. This paper focuses on Shanghai crude oil futures (INE) and … |
Qiang Ji; Dayong Zhang; Yuqian Zhao; | Annals of operations research | 2021-05-15 |
| 37 | A Parallel-network Continuous Quantitative Trading Model with GARCH and PPO Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 38 | Order Flow and Price Formation Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 39 | Uncovering Feature Interdependencies in High-noise Environments with Stepwise Lookahead Decision Forests IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Conventionally, random forests are built from greedy decision trees which each consider only one split at a time during their construction. The sub-optimality of greedy … |
Delilah Donick; Sandro Claudio Lera; | Scientific reports | 2021-04-29 |
| 40 | Optimal Bidding on Hourly and Quarter-hourly Day-ahead Electricity Price Auctions: Trading Large Volumes of Power with Market Impact and Transaction Costs Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: They could be also generalized to other market types, what is discussed in the paper as well. |
Michał Narajewski; Florian Ziel; | arxiv-q-fin.ST | 2021-04-29 |
| 41 | Quantum Quantitative Trading: High-Frequency Statistical Arbitrage Algorithm Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 42 | Crowdsensing Data Trading Based on Combinatorial Multi-Armed Bandit and Stackelberg Game Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 43 | Calibrating An Adaptive Farmer-Joshi Agent-based Model for Financial Markets Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 44 | Alkylamide Profiling of Pericarps Coupled with Chemometric Analysis to Distinguish Prickly Ash Pericarps Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Because of extensive cultivation areas, various cultivars, nonstandard naming notations, and morphology similarity among relative cultivars, adulteration and associated business … |
YAO MA et. al. | Foods (Basel, Switzerland) | 2021-04-15 |
| 45 | Capturing A Soil Carbon Economy Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Current carbon pricing and trading mechanisms, despite their efficacy in reducing GHG emissions from industry, will not be sufficient to achieve Net Zero targets. Current … |
SAM G KEENOR et. al. | Royal Society open science | 2021-04-14 |
| 46 | Quantum Prisoner’s Dilemma and High Frequency Trading on The Quantum Cloud Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To this end, we offer here a simple but complete game-theoretic model of HFT as the famous two player game, Prisoner’s Dilemma. |
Faisal Shah Khan; Ning Bao; | arxiv-quant-ph | 2021-04-09 |
| 47 | CLVSA: A Convolutional LSTM Based Variational Sequence-to-Sequence Model with Attention for Predicting Trends of Financial Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Inspired by stochastic recurrent models that successfully capture variability observed in natural sequential data such as speech and video, we propose CLVSA, a hybrid model that consists of stochastic recurrent networks, the sequence-to-sequence architecture, the self- and inter-attention mechanism, and convolutional LSTM units to capture variationally underlying features in raw financial trading data. |
Jia Wang; Tong Sun; Benyuan Liu; Yu Cao; Hongwei Zhu; | arxiv-q-fin.ST | 2021-04-08 |
| 48 | Market Regime Detection Via Realized Covariances: A Comparison Between Unsupervised Learning and Nonlinear Models Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this article, we aim to identify market regimes from covariance matrices and detect transitions towards highly volatile regimes, hence improving tail-risk hedging. |
Andrea Bucci; Vito Ciciretti; | arxiv-q-fin.ST | 2021-04-08 |
| 49 | Why? Why Not? When? Visual Explanations of Agent Behavior in Reinforcement Learning Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To help address this challenge, we introduce PolicyExplainer, a visual analytics interface which lets the user directly query an RL agent. |
Aditi Mishra; Utkarsh Soni; Jinbin Huang; Chris Bryan; | arxiv-cs.HC | 2021-04-06 |
| 50 | Machine Learning-Driven Virtual Bidding with Electricity Market Efficiency Analysis Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper develops a machine learning-driven portfolio optimization framework for virtual bidding in electricity markets considering both risk constraint and price sensitivity. |
Yinglun Li; Nanpeng Yu; Wei Wang; | arxiv-cs.LG | 2021-04-06 |
| 51 | Optimal Fees for Geometric Mean Market Makers Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We develop a framework for determining the value to LPs of supplying liquidity to a CFMM with fees when the underlying process follows a general diffusion. |
Alex Evans; Guillermo Angeris; Tarun Chitra; | arxiv-q-fin.MF | 2021-04-01 |
| 52 | A Comparative Evaluation of Predominant Deep Learning Quantified Stock Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 53 | Intraday Trading Strategy Based on Time Series and Machine Learning for Chinese Stock Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 54 | Bayesian Collective Learning Emerges from Heuristic Social Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Researchers across cognitive science, economics, and evolutionary biology have studied the ubiquitous phenomenon of social learning-the use of information about other people’s … |
P M Krafft; Erez Shmueli; Thomas L Griffiths; Joshua B Tenenbaum; Alex Sandy Pentland; | Cognition | 2021-03-24 |
| 55 | Explainable Machine Learning-driven Strategy for Automated Trading Pattern Extraction Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this study we propose a volume-based data pre-processing method for making financial time series more suitable for machine learning pipelines. |
Artur Sokolovsky; Luca Arnaboldi; Jaume Bacardit; Thomas Gross; | arxiv-cs.LG | 2021-03-23 |
| 56 | A Deep Deterministic Policy Gradient-based Strategy for Stocks Portfolio Management IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this research, we propose a novel portfolio management strategy based on the framework of Deep Deterministic Policy Gradient, a policy-based reinforcement learning framework, and compare its performance to that of other trading strategies. |
Huanming Zhang; Zhengyong Jiang; Jionglong Su; | arxiv-q-fin.PM | 2021-03-21 |
| 57 | Radical Complexity IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; … |
Jean-Philippe Bouchaud; | arxiv-q-fin.GN | 2021-03-17 |
| 58 | Diversity-driven Knowledge Distillation for Financial Trading Using Deep Reinforcement Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 59 | Efficient and Privacy-Preserving Energy Trading on Blockchain Using Dual Binary Encoding for Inner Product Encryption Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The rapidly increasing expansion of distributed energy resources (DER), such as renewable energy systems and energy storage systems into the electric power system and the … |
Turabek Gaybullaev; Hee-Yong Kwon; Taesic Kim; Mun-Kyu Lee; | Sensors (Basel, Switzerland) | 2021-03-12 |
| 60 | Impact of Ambient Sound on Risk Perception in Humans: Neuroeconomic Investigations IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Research in the field of multisensory perception shows that what we hear can influence what we see in a wide range of perceptual tasks. It is however unknown whether this extends … |
Elise Payzan-LeNestour; Lionnel Pradier; James Doran; Gideon Nave; Bernard Balleine; | Scientific reports | 2021-03-08 |
| 61 | The Support and Resistance Line Method: An Analysis Via Optimal Stopping IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study a mathematical model capturing the support/resistance line method (a technique in technical analysis) where the underlying stock price transitions between two states of nature in a path-dependent manner. |
Vicky Henderson; Saul Jacka; Ruiqi Liu; | arxiv-q-fin.TR | 2021-03-03 |
| 62 | Trading Signals In VIX Futures IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 63 | Time Matters: Exploring The Effects of Urgency and Reaction Speed in Automated Traders IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 64 | Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The main objective of this paper is to assess through extensive numerical experiments the impact of including options as hedging instruments within the ERP framework. |
Alexandre Carbonneau; Frédéric Godin; | arxiv-q-fin.CP | 2021-02-25 |
| 65 | Optimal Dynamic Futures Portfolios Under A Multiscale Central Tendency Ornstein-Uhlenbeck Model IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study the problem of dynamically trading multiple futures whose underlying asset price follows a multiscale central tendency Ornstein-Uhlenbeck (MCTOU) model. |
Tim Leung; Yang Zhou; | arxiv-q-fin.MF | 2021-02-24 |
| 66 | Adaptive Weighting Scheme for Automatic Time-Series Data Augmentation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present two sample-adaptive automatic weighting schemes for data augmentation: the first learns to weight the contribution of the augmented samples to the loss, and the second method selects a subset of transformations based on the ranking of the predicted training loss. |
Elizabeth Fons; Paula Dawson; Xiao-jun Zeng; John Keane; Alexandros Iosifidis; | arxiv-cs.LG | 2021-02-16 |
| 67 | Deep Portfolio Optimization Via Distributional Prediction of Residual Factors Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this study, we propose a novel method of constructing a portfolio based on predicting the distribution of a financial quantity called residual factors, which is known to be generally useful for hedging the risk exposure to common market factors. |
Kentaro Imajo; Kentaro Minami; Katsuya Ito; Kei Nakagawa; | aaai | 2021-02-09 |
| 68 | Universal Trading for Order Execution with Oracle Policy Distillation Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 69 | Commission Fee Is Not Enough: A Hierarchical Reinforced Framework for Portfolio Management Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 70 | Bertram’s Pairs Trading Strategy with Bounded Risk IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 71 | Pyramid Scheme in Stock Market: A Kind of Financial Market Simulation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Based on the assumption that the investors are composed of a main fund, small trend and contrarian investors characterized by four parameters, we simulate and research a kind of financial phenomenon with the characteristics of pyramid schemes. |
Yong Shi; Bo Li; Guangle Du; | arxiv-q-fin.TR | 2021-02-03 |
| 72 | Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 73 | Optimal Investment in Illiquid Market with Search Frictions and Transaction Costs IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs. |
Jin Hyuk Choi; Tae Ung Gang; | arxiv-q-fin.MF | 2021-01-25 |
| 74 | Nine Challenges in Modern Algorithmic Trading and Controls IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this inaugural article, we discuss nine major challenges that contemporary Algo trading faces. |
Jackie Shen; | arxiv-q-fin.TR | 2021-01-21 |
| 75 | Deep Reinforcement Learning for Active High Frequency Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 76 | Beating The Market with Generalized Generating Portfolios IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Stochastic portfolio theory aims at finding relative arbitrages, i.e. trading strategies which outperform the market with probability one. |
Patrick Mijatovic; | arxiv-q-fin.MF | 2021-01-18 |
| 77 | Optimal Statistical Arbitrage Trading of Berkshire Hathaway Stock and Its Replicating Portfolio IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 78 | Herding and Feedback Trading in Cryptocurrency Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 79 | Improved ACD-based Financial Trade Durations Prediction Leveraging LSTM Networks and Attention Mechanism IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose a new ultra-high-frequency (UHF) duration modelling framework by utilizing long short-term memory (LSTM) networks to extend the conditional mean equation of classic autoregressive conditional duration (ACD) model while retaining the probabilistic inference ability. |
Yong Shi; Wei Dai; Wen Long; Bo Li; | arxiv-q-fin.CP | 2021-01-07 |
| 80 | Contextual Influences of Illicit Adolescent Marijuana Cultivation and Trading in The Inqguza Hill Local Municipality of South Africa: Implications for Public Health Policy IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Although commercial cultivation and trading of marijuana, commonly known as cannabis or dagga in the South African context, remains an illicit practice, adolescents actively … |
Emmanuel Manu; Mbuyiselo Douglas; Mohlomi Jafta Ntsaba; | Substance abuse treatment, prevention, and policy | 2021-01-07 |
| 81 | Model-free Price Bounds Under Dynamic Option Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 82 | Design And Analysis Of Momentum Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We give a complete description of the third-moment (skewness) characteristics of both linear and nonlinear momentum trading strategies, the latter being understood as transformations of a normalised moving-average filter (EMA). |
Richard J. Martin; | arxiv-q-fin.GN | 2021-01-04 |
| 83 | Optimal Segmented Linear Regression For Financial Time Series Segmentation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we focus on the problem of computing the optimal segmentations of such time series based on segmented linear regression models. |
Chi-Jen Wu; Wei-Sheng Zeng; Jan-Ming Ho; | arxiv-cs.CE | 2021-01-02 |
| 84 | Pricing Spread Option With Liquidity Adjustments IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 85 | Deep Stock Trading: A Hierarchical Reinforcement Learning Framework for Portfolio Optimization and Order Execution IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 86 | Market Impact In Trader-Agents: Adding Multi-Level Order-Flow Imbalance-Sensitivity To Automated Trading Systems IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The novel contributions of our paper are: (a) we critique the methods used by Church & Cliff, revealing them to be weak, and argue that a more robust measure of imbalance is required; (b) we argue for the use of multi-level order-flow imbalance (MLOFI: Xu et al., 2019) as a better basis for imbalance-sensitive robot trader-agents; and (c) we demonstrate the use of the more robust MLOFI measure in extending ISHV, and also the well-known AA and ZIP trading-agent algorithms (which have both been previously shown to consistently outperform human traders). |
Zhen Zhang; Dave Cliff; | arxiv-q-fin.TR | 2020-12-23 |
| 87 | Censored EM Algorithm For Weibull Mixtures: Application To Arrival Times Of Market Orders IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Here we use a censored EM algorithm to analyse data for the difference of the arrival times of market orders, which usually have a much lower percentage of zero inflation, for four selected stocks trading on the London Stock Exchange. |
Markus Kreer; Ayse Kizilersu; Anthony W. Thomas; | arxiv-q-fin.ST | 2020-12-19 |
| 88 | Trader-Company Method: A Metaheuristic For Interpretable Stock Price Prediction IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To overcome these challenges, we propose the Trader-Company method, a novel evolutionary model that mimics the roles of a financial institute and traders belonging to it. |
Katsuya Ito; Kentaro Minami; Kentaro Imajo; Kei Nakagawa; | arxiv-q-fin.TR | 2020-12-18 |
| 89 | Experts With Lower-Bounded Loss Feedback: A Unifying Framework IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work we consider a simple feedback model that generalizes both, where on every round, in addition to a bandit feedback, the adversary provides a lower bound on the loss of each expert. |
Eyal Gofer; Guy Gilboa; | arxiv-cs.LG | 2020-12-17 |
| 90 | Event Data Quality: A Survey IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work, we summarize several typical works on studying data quality issues of event data, including: (1) event matching, (2) event error detection, (3) event data repair, and (4) approximate pattern matching. |
Ruihong Huang; Jianmin Wang; | arxiv-cs.DB | 2020-12-14 |
| 91 | Constructing Trading Strategy Ensembles By Classifying Market States IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Rather than directly predicting future prices or returns, we follow a more recent trend in asset management and classify the state of a market based on labels. |
Michal Balcerak; Thomas Schmelzer; | arxiv-q-fin.TR | 2020-12-05 |
| 92 | Analysis Of News Sentiments Using Natural Language Processing And Deep Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This paper investigates if and to what point it is possible to trade on news sentiment and if deep learning (DL), given the current hype on the topic, would be a good tool to do … |
Mattia Vicari; Mauro Gaspari; | AI & society | 2020-11-30 |
| 93 | Methods Matter: A Trading Agent With No Intelligence Routinely Outperforms AI-Based Traders IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 94 | Mycorrhizal Fungi Control Phosphorus Value in Trade Symbiosis with Host Roots When Exposed to Abrupt ‘crashes’ and ‘booms’ of Resource Availability Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Biological market theory provides a conceptual framework to analyse trade strategies in symbiotic partnerships. A key prediction of biological market theory is that individuals … |
Anouk Van’t Padje; Gijsbert D A Werner; E Toby Kiers; | The New phytologist | 2020-11-29 |
| 95 | An Equilibrium Model For The Cross-Section Of Liquidity Premia IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. |
Johannes Muhle-Karbe; Xiaofei Shi; Chen Yang; | arxiv-q-fin.GN | 2020-11-27 |
| 96 | An Evaluation Of Novel Method Of Ill-Posed Problem For The Black-Scholes Equation Solution IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: It was proposed by Klibanov a new empirical mathematical method to work with the Black-Scholes equation. |
Kirill V. Golubnichiy; Tianyang Wang; Andrey V. Nikitin; | arxiv-math.NA | 2020-11-18 |
| 97 | On Simultaneous Long-Short Stock Trading Controllers With Cross-Coupling IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 98 | FinRL: A Deep Reinforcement Learning Library For Automated Stock Trading In Quantitative Finance IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 99 | Distributed Nash Equilibrium Seeking Over Markovian Switching Communication Networks IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: We aim to address the Nash equilibrium (NE) seeking problem for multiple players over Markovian switching communication networks in this article, where a new type of distributed … |
Xiao Fang; Guanghui Wen; Tingwen Huang; Zao Fu; Liang Hu; | IEEE transactions on cybernetics | 2020-11-18 |
| 100 | SuperDeConFuse: A Supervised Deep Convolutional Transform Based Fusion Framework For Financial Trading Systems IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This work proposes a supervised multi-channel time-series learning framework for financial stock trading. |
Pooja Gupta; Angshul Majumdar; Emilie Chouzenoux; Giovanni Chierchia; | arxiv-q-fin.CP | 2020-11-09 |
| 101 | Excursion Risk IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a mathematical framework for the risk analysis of such strategies, based on a description in terms of price excursions, first in a pathwise setting, without probabilistic assumptions, then in a Markovian setting. |
Anna Ananova; Rama Cont; Renyuan Xu; | arxiv-q-fin.MF | 2020-11-05 |
| 102 | On Ordered Fuzzy Numbers Generated By Time Series IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper proposes a new trapezoidal ordered fuzzy number representation of windowed time series based on the idea of a Japanese candlestick to those previously proposed in the literature. |
C. Gast; R. Traylor; | arxiv-math.ST | 2020-11-03 |
| 103 | Islamic Finance And Food Commodity Trading: Is There A Chance To Hedge Against Price Volatility And Enhance Food Security? IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This paper evaluates current food commodity trading from the Shariah point of view, which is particularly relevant for the MENA region. It focuses on futures contracts as the main … |
Madina Kalimullina; Mikhail Shamil Orlov; | Heliyon | 2020-11-02 |
| 104 | Evaluating Data Augmentation For Financial Time Series Classification IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we evaluate several augmentation methods applied to stocks datasets using two state-of-the-art deep learning models. |
Elizabeth Fons; Paula Dawson; Xiao-jun Zeng; John Keane; Alexandros Iosifidis; | arxiv-q-fin.ST | 2020-10-28 |
| 105 | Learning Financial Asset-Specific Trading Rules Via Deep Reinforcement Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 106 | Risk Preferences And Efficiency Of Household Portfolios IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We analyze a dataset spanning a period of six years, consisting of end of month stock trading records, along with investors’ demographic information and self-assessed financial knowledge. |
Agostino Capponi; Zhaoyu Zhang; | arxiv-q-fin.PM | 2020-10-26 |
| 107 | Analysis Of The Impact Of High-Frequency Trading On Artificial Market Liquidity IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this study, we used agent-based simulations to compare the major liquidity indicators in an artificial market where an HFT participated was compared to one where no HFT participated. |
Isao Yagi; Yuji Masuda; Takanobu Mizuta; | arxiv-q-fin.TR | 2020-10-25 |
| 108 | Trading Strategies Of A Leveraged ETF In A Continuous Double Auction Market Using An Agent-Based Simulation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 109 | Multi-Graph Tensor Networks IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we introduce a novel Multi-Graph Tensor Network (MGTN) framework, which exploits both the ability of graphs to handle irregular data sources and the compression properties of tensor networks in a deep learning setting. |
Yao Lei Xu; Kriton Konstantinidis; Danilo P. Mandic; | arxiv-cs.LG | 2020-10-25 |
| 110 | Beating The Market With A Bad Predictive Model IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We introduce the problem setting throughout the diverse domains of stock trading and sports betting to provide insights into the common underlying properties of profitable predictive models, their connections to standard portfolio optimization strategies, and the, commonly overlooked, advantage of the market taker. |
Ondřej Hubáček; Gustav Šír; | arxiv-cs.CE | 2020-10-23 |
| 111 | On The Impact Of Publicly Available News And Information Transfer To Financial Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We develop a processing pipeline to identify news articles associated with the constituent companies in the S\&P 500 index, an equity market index that measures the stock performance of U.S. companies. |
Metod Jazbec; Barna Pásztor; Felix Faltings; Nino Antulov-Fantulin; Petter N. Kolm; | arxiv-q-fin.ST | 2020-10-22 |
| 112 | Adversarial Attacks On Deep Algorithmic Trading Policies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 113 | Attention Enhanced Long Short-term Memory Network with Multi-source Heterogeneous Information Fusion: An Application to BGI Genomics IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The recent availability of enormous amounts of both data and computing power has created new opportunities for predictive modeling. This paper compiles an analytical framework … |
Qun Zhang; Lijun Yang; Feng Zhou; | Information sciences | 2020-10-21 |
| 114 | Price Forecast With High-Frequency Finance Data: An Autoregressive Recurrent Neural Network Model With Technical Indicators IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose to adopt an autoregressive recurrent network instead so that the loss of the prediction at every time step contributes to the model training; we also treat a rich set of technical indicators at each time step as covariates to enhance the model input. |
Yuechun Gu; Da Yan; Sibo Yan; Zhe Jiang; | cikm | 2020-10-19 |
| 115 | When Bots Take Over The Stock Market: Evasion Attacks Against Algorithmic Traders IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this study, we present a realistic scenario in which an attacker gains control of an algorithmic trading bots by manipulating the input data stream in real-time. |
Elior Nehemya; Yael Mathov; Asaf Shabtai; Yuval Elovici; | arxiv-q-fin.TR | 2020-10-19 |
| 116 | Equilibrium Price In Intraday Electricity Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We formulate an equilibrium model of intraday trading in electricity markets. |
René Aid; Andrea Cosso; Huyên Pham; | arxiv-q-fin.CP | 2020-10-19 |
| 117 | Exploitation Of Information As A Trading Characteristic: A Causality-Based Analysis Of Simulated And Financial Data IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: In financial markets, information constitutes a crucial factor contributing to the evolution of the system, while the presence of heterogeneous investors ensures its flow among … |
Catherine Kyrtsou; Christina Mikropoulou; Angeliki Papana; | Entropy (Basel, Switzerland) | 2020-10-08 |
| 118 | Tail-risk Protection: Machine Learning Meets Modern Econometrics IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 119 | Event Trend Aggregation Under Rich Event Matching Semantics IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Streaming applications from health care analytics to algorithmic trading deploy Kleene queries to detect and aggregate event trends. Rich event matching semantics determine how to … |
Olga Poppe; Chuan Lei; Elke A. Rundensteiner; David Maier; | arxiv-cs.DB | 2020-10-06 |
| 120 | GRETA: Graph-based Real-time Event Trend Aggregation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To overcome these limitations, we propose the Graph-based Real-time Event Trend Aggregation (Greta) approach that dynamically computes event trend aggregation without first constructing these trends. |
Olga Poppe; Chuan Lei; Elke A. Rundensteiner; David Maier; | arxiv-cs.DS | 2020-10-06 |
| 121 | Optimal Liquidation In A Mean-reverting Portfolio IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. |
Riccardo Cesari; Harry Zheng; | arxiv-math.OC | 2020-10-06 |
| 122 | DoubleEnsemble: A New Ensemble Method Based on Sample Reweighting and Feature Selection for Financial Data Analysis IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To address these issues, we propose DoubleEnsemble, an ensemble framework leveraging learning trajectory based sample reweighting and shuffling based feature selection. |
CHUHENG ZHANG et. al. | arxiv-cs.LG | 2020-10-02 |
| 123 | Investor Sentiment And Trading Behavior IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 124 | Gold Standard Pairs Trading Rules: Are They Valid? IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We employ the most common distance and cointegration methods on US equities from 1990 to 2020 including the Covid-19 crisis. |
Miroslav Fil; | arxiv-q-fin.TR | 2020-10-02 |
| 125 | Competitive Algorithms For The Online Multiple Knapsack Problem With Application To Electric Vehicle Charging IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We introduce and study a general version of the fractional online knapsack problem with multiple knapsacks, heterogeneous constraints on which items can be assigned to which knapsack, and rate-limiting constraints on the assignment of items to knapsacks. |
BO SUN et. al. | arxiv-cs.DS | 2020-10-01 |
| 126 | On Detecting Spoofing Strategies In High Frequency Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a micro-structural study of spoofing in a simple static setting. |
Xuan Tao; Andrew Day; Lan Ling; Samuel Drapeau; | arxiv-q-fin.TR | 2020-09-30 |
| 127 | High-Frequency Trading On Decentralized On-Chain Exchanges IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 128 | Micro-level Transmission Of Monetary Policy Shocks: The Trading Book Channel Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: We open the black box of the monetary policy transmission mechanism with a granular model that considers the balance-sheet composition and network relationships of each economic … |
Thiago Christiano Silva; Solange Maria Guerra; Michel Alexandre da Silva; Benjamin Miranda Tabak; | Journal of economic behavior & organization | 2020-09-23 |
| 129 | Machine Learning Classification of Price Extrema Based on Market Microstructure and Price Action Features. A Case Study of S&P500 E-mini Futures IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The study introduces an automated trading system for S\&P500 E-mini futures (ES) based on state-of-the-art machine learning. |
Artur Sokolovsky; Luca Arnaboldi; | arxiv-q-fin.TR | 2020-09-21 |
| 130 | A Bounded Operator Approach To Technical Indicators Without Lag IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In the framework of technical analysis for algorithmic trading we use a linear algebra approach in order to define classical technical indicators as bounded operators of the space $l^\infty(\mathbb{N})$. |
Frédéric Butin; | arxiv-q-fin.TR | 2020-09-18 |
| 131 | Solving The Optimal Trading Trajectory Problem Using Simulated Bifurcation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 132 | Which Trading Agent Is Best? Using A Threaded Parallel Simulation Of A Financial Market Changes The Pecking-Order IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 133 | Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 134 | Application Of Cloud Model In Qualitative Forecasting For Stock Market Trends IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Forecasting stock prices plays an important role in setting a trading strategy or determining the appropriate timing for buying or selling a stock. The use of technical analysis … |
Oday A Hassen; Saad M Darwish; Nur A Abu; Zaheera Z Abidin; | Entropy (Basel, Switzerland) | 2020-09-06 |
| 135 | Measuring Liquidity In Indian Stock Market: A Dimensional Perspective IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Market liquidity ensures the marketability of security and is an indispensable feature of stock markets. Previous studies have emphasized the role of stock market liquidity in … |
Priyanka Naik; B G Poornima; Y V Reddy; | PloS one | 2020-09-04 |
| 136 | Nonparametric Predictive Inference For Asian Options IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we present a novel approach to price the Asian option from an imprecise statistical aspect. |
Ting He; | arxiv-q-fin.MF | 2020-08-29 |
| 137 | Predicting Conversions In Display Advertising Based On URL Embeddings IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this study, we introduce and examine different models for estimating the probability of a user converting, given their history of visited URLs. |
Yang Qiu; Nikolaos Tziortziotis; Martial Hue; Michalis Vazirgiannis; | arxiv-cs.LG | 2020-08-27 |
| 138 | TradAO: A Visual Analytics System For Trading Algorithm Optimization IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 139 | Adaptive Trading Strategies Across Liquidity Pools IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 140 | A Free Boundary Problem Arising From A Multi-state Regime-switching Stock Trading Model IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 141 | Trading Imbalance In Chinese Stock Market-A High-Frequency View Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 142 | Investment Sizing With Deep Learning Prediction Uncertainties For High-frequency Eurodollar Futures Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 143 | Detecting Bearish And Bullish Markets In Financial Time Series Using Hierarchical Hidden Markov Models IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we demonstrate how hierarchical hidden Markov models can be used to draw a comprehensive picture of financial markets, which can contribute to the development of more sophisticated trading strategies. |
Lennart Oelschläger; Timo Adam; | arxiv-stat.ME | 2020-07-29 |
| 144 | Insider Trading With Temporary Price Impact IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. |
Weston Barger; Ryan Donnelly; | arxiv-q-fin.TR | 2020-07-28 |
| 145 | Risk-Averse Trust Region Optimization For Reward-Volatility Reduction IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we define a novel measure of risk, which we call reward volatility, consisting of the variance of the rewards under the state-occupancy measure. |
Lorenzo Bisi; Luca Sabbioni; Edoardo Vittori; Matteo Papini; Marcello Restelli; | ijcai | 2020-07-21 |
| 146 | F-HMTC: Detecting Financial Events For Investment Decisions Based On Neural Hierarchical Multi-Label Text Classification IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose a neural hierarchical multi-label text classification method, namely F-HMTC, for a financial application scenario with massive event category labels. |
XIN LIANG et. al. | ijcai | 2020-07-21 |
| 147 | Data-Driven Market-Making Via Model-Free Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To do this, we use a model-free and off-policy method, Q-learning, coupled with state aggregation, to develop a proposed trading strategy that can be implemented using a simple lookup table. |
Yueyang Zhong; YeeMan Bergstrom; Amy Ward; | ijcai | 2020-07-21 |
| 148 | Does The Adaptive Market Hypothesis Explain The Evolution Of Emerging Markets Efficiency? Evidence From The Moroccan Financial Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This paper scrutinizes different aspects of the Adaptive Market Hypothesis (AMH) in the Moroccan financial market over the period from January 1992 to September 2019 through … |
Mostafa Lekhal; Ahmed El Oubani; | Heliyon | 2020-07-17 |
| 149 | Duality Theory for Robust Utility Maximisation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. |
Daniel Bartl; Michael Kupper; Ariel Neufeld; | arxiv-q-fin.MF | 2020-07-16 |
| 150 | Discounting Damage: Non-Linear Discounting And Default Compensation. Valuation Of Non-Replicable Value And Damage IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this short note we develop a model for discounting. |
Christian P. Fries; | arxiv-q-fin.MF | 2020-07-13 |
| 151 | Deep Learning Modeling Of Limit Order Book: A Comparative Perspective IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: State-of-the-art models such as Random models, Logistic Regressions, LSTMs, LSTMs equipped with an Attention mask, CNN-LSTMs and MLPs are reviewed and compared on the same tasks, feature space and dataset, and then clustered according to pairwise similarity and performance metrics. |
Antonio Briola; Jeremy Turiel; Tomaso Aste; | arxiv-q-fin.TR | 2020-07-12 |
| 152 | Improving The Robustness Of Trading Strategy Backtesting With Boltzmann Machines And Generative Adversarial Networks IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The article proposes then a new approach for estimating the probability distribution of backtest statistics. |
Edmond Lezmi; Jules Roche; Thierry Roncalli; Jiali Xu; | arxiv-cs.LG | 2020-07-09 |
| 153 | Loss Aversion And Market Crashes IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This study proposes a rational expectation equilibrium model of stock market crashes with information asymmetry and loss averse speculators. We obtain a state-dependent linear … |
Samuel Ouzan; | Economic modelling | 2020-07-07 |
| 154 | The Microscopic Relationships Between Triangular Arbitrage And Cross-currency Correlations In A Simple Agent Based Model Of Foreign Exchange Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme … |
Alberto Ciacci; Takumi Sueshige; Hideki Takayasu; Kim Christensen; Misako Takayasu; | PloS one | 2020-06-24 |
| 155 | Optimal Trading With Differing Trade Signals IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. |
Ryan Donnelly; Matthew Lorig; | arxiv-q-fin.MF | 2020-06-24 |
| 156 | A General Solution Method For Insider Problems IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: 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 distribution of the belief about the fundamental, and the noise process. |
Francois Cocquemas; Ibrahim Ekren; Abraham Lioui; | arxiv-q-fin.TR | 2020-06-16 |
| 157 | The Importance Of Low Latency To Order Book Imbalance Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 158 | Liquidity Provider Returns In Geometric Mean Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Using these expressions, we show how to create G3Ms whose LP shares replicate the payoffs of financial derivatives. |
Alex Evans; | arxiv-q-fin.MF | 2020-06-15 |
| 159 | Numerical Simulation Of Exchange Option With Finite Liquidity: Controlled Variate Model IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we develop numerical pricing methodologies for European style Exchange Options written on a pair of correlated assets, in a market with finite liquidity. |
Kevin S. Zhang; Traian A. Pirvu; | arxiv-q-fin.PR | 2020-06-13 |
| 160 | Multi-Agent Reinforcement Learning In A Realistic Limit Order Book Market Simulation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose a model-free approach by training Reinforcement Learning (RL) agents in a realistic market simulation environment with multiple agents. |
Michaël Karpe; Jin Fang; Zhongyao Ma; Chen Wang; | arxiv-q-fin.TR | 2020-06-09 |
| 161 | Quant Bust 2020 IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We explain in a nontechnical fashion why dollar-neutral quant trading strategies, such as equities Statistical Arbitrage, suffered substantial losses (drawdowns) during the COVID-19 market selloff. |
Zura Kakushadze; | arxiv-q-fin.PM | 2020-06-09 |
| 162 | An Overall View Of Key Problems In Algorithmic Trading And Recent Progress IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 163 | Deep Stock Predictions IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we consider the design of a trading strategy that performs portfolio optimization using the LSTM stock price prediction for four different companies. Moreover, we propose a data driven approach for optimal selection of window length and multi-step prediction length, and consider the addition of analyst calls as technical indicators to a multi-stack Bidirectional LSTM strengthened by the addition of Attention units. |
Akash Doshi; Alexander Issa; Puneet Sachdeva; Sina Rafati; Somnath Rakshit; | arxiv-cs.LG | 2020-06-08 |
| 164 | Shallow Neural Hawkes: Non-parametric Kernel Estimation For Hawkes Processes IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The second contribution is, we propose a specific single hidden layered neural network for the non-parametric estimation of the underlying kernels of the MHP. |
Sobin Joseph; Lekhapriya Dheeraj Kashyap; Shashi Jain; | arxiv-stat.ML | 2020-06-03 |
| 165 | Insurance-Finance Arbitrage IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Utilizing the theory of enlargements of filtrations, we construct a tractable framework for insurance-finance consistent valuation. |
Philippe Artzner; Karl-Theodor Eisele; Thorsten Schmidt; | arxiv-q-fin.MF | 2020-05-22 |
| 166 | Pricing Barrier Options With DeepBSDEs IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper presents a novel and direct approach to price boundary and final-value problems, corresponding to barrier options, using forward deep learning to solve forward-backward stochastic differential equations (FBSDEs). |
Narayan Ganesan; Yajie Yu; Bernhard Hientzsch; | arxiv-q-fin.CP | 2020-05-21 |
| 167 | A Computational Approach To Hedging Credit Valuation Adjustment In A Jump-Diffusion Setting IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedging of Credit Valuation Adjustment (CVA), corresponding Profit & Loss (P&L) and the P&L explain. |
T. van der Zwaard; L. A. Grzelak; C. W. Oosterlee; | arxiv-q-fin.CP | 2020-05-21 |
| 168 | Pairs Trading With Nonlinear And Non-Gaussian State Space Models IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 169 | Data Augmentation For Deep Candlestick Learner IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Here we propose a Modified Local Search Attack Sampling method to augment the candlestick data, which is a very important tool for professional trader. |
Chia-Ying Tsao; Jun-Hao Chen; Samuel Yen-Chi Chen; Yun-Cheng Tsai; | arxiv-cs.LG | 2020-05-14 |
| 170 | The Disposition Effect In A Scopic Regime: Data From A Laboratory Experiment Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This article presents a new dataset on the disposition effect in a scopic regime, collected in a laboratory experiment reported in Framing and the disposition effect in a scopic … |
Minh-Lý Liêu; Matthias Pelster; | Data in brief | 2020-05-12 |
| 171 | No-arbitrage Concepts in Topological Vector Lattices IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We provide a general framework for no-arbitrage concepts in topological vector lattices, which covers many of the well-known no-arbitrage concepts as particular cases. |
Eckhard Platen; Stefan Tappe; | arxiv-math.FA | 2020-05-11 |
| 172 | The Convergence Rate From Discrete To Continuous Optimal Investment Stopping Problem IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal wealth. |
Dingqian Sun; | arxiv-q-fin.MF | 2020-04-30 |
| 173 | A Stochastic LQR Model For Child Order Placement In Algorithmic Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose a reductionism COP model that focuses exclusively on the interplay between placing passive limit orders and sniping using aggressive takeout orders. |
Jackie Jianhong Shen; | arxiv-q-fin.TR | 2020-04-28 |
| 174 | Generalization Of Affine Feedback Stock Trading Results To Include Stop-Loss Orders IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The takeoff point of this paper is to generalize the existing stock trading results for a class of affine feedback controller to include consideration of a stop-loss order. Using … |
Chung-Han Hsieh; | arxiv-math.OC | 2020-04-27 |
| 175 | CORRGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a novel approach for sampling realistic financial correlation matrices. |
G. Marti; | icassp | 2020-04-26 |
| 176 | Threshold-Adjusted ORB Strategies With Genetic Algorithm And Protective Closing Strategy On Taiwan Futures Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we adjust thresholds through historical data to enhance profitability, and design protective closing strategy to prevent unacceptable losses. |
J. Syu; M. Wu; C. Chen and J. Ho; | icassp | 2020-04-26 |
| 177 | How Complexity And Uncertainty Grew With Algorithmic Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 178 | Necessary And Sufficient Conditions For Frequency-Based Kelly Optimal Portfolio IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we consider a discrete-time portfolio with $m \geq 2$ assets optimization problem which includes the rebalancing~frequency as an additional parameter in the maximization. |
Chung-Han Hsieh; | arxiv-math.OC | 2020-04-25 |
| 179 | Trading Foreign Exchange Triplets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 180 | A Trend-following Trading Indicator On Homomorphically Encrypted Data IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 181 | Structural Clustering of Volatility Regimes for Dynamic Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We develop a new method to find the number of volatility regimes in a nonstationary financial time series by applying unsupervised learning to its volatility structure. |
Arjun Prakash; Nick James; Max Menzies; Gilad Francis; | arxiv-q-fin.ST | 2020-04-21 |
| 182 | Forecasting Directional Movements of Stock Prices for Intraday Trading Using LSTM and Random Forests IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We introduce a multi-feature setting consisting not only of the returns with respect to the closing prices, but also with respect to the opening prices and intraday returns. |
Pushpendu Ghosh; Ariel Neufeld; Jajati Keshari Sahoo; | arxiv-cs.LG | 2020-04-21 |
| 183 | Extending Deep Reinforcement Learning Frameworks In Cryptocurrency Market Making IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper proposes a new approach to framing cryptocurrency market making as a reinforcement learning challenge by introducing an event-based environment wherein an event is defined as a change in price greater or less than a given threshold, as opposed to by tick or time-based events (e.g., every minute, hour, day, etc.). |
Jonathan Sadighian; | arxiv-q-fin.TR | 2020-04-15 |
| 184 | XChange: A Blockchain-based Mechanism For Generic Asset Trading In Resource-constrained Environments IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work, we address this shortcoming and present XChange. |
Martijn de Vos; Can Umut Ileri; Johan Pouwelse; | arxiv-cs.DC | 2020-04-10 |
| 185 | An Application Of Deep Reinforcement Learning To Algorithmic Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 186 | QuantNet: Transferring Learning Across Systematic Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 187 | Privacy-aware Data Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we investigate the privacy leakage issue from the root source. |
Shengling Wang; Lina Shi; Junshan Zhang; Xiuzhen Cheng; Jiguo Yu; | arxiv-cs.GT | 2020-03-30 |
| 188 | Spatiotemporal Adaptive Neural Network For Long-term Forecasting Of Financial Time Series IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work, we investigate whether DNN-based models can be used to forecast these TS conjointly by learning a joint representation of the series instead of computing the forecast from the raw time-series representations. |
Philippe Chatigny; Jean-Marc Patenaude; Shengrui Wang; | arxiv-cs.LG | 2020-03-26 |
| 189 | Cryptocurrency Trading: A Comprehensive Survey IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper provides a comprehensive survey of cryptocurrency trading research, by covering 126 research papers on various aspects of cryptocurrency trading (eg., cryptocurrency trading systems, bubble and extreme condition, 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 |
| 190 | Evolutionary Disruption Of S&P 500 Trading Concentration: An Intriguing Tale Of A Financial Innovation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 191 | A Closed-form Solution For Optimal Mean-reverting Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper develops an analytical framework and derives those optimal levels by using the method of heat potentials. |
Alexander Lipton; Marcos Lopez de Prado; | arxiv-q-fin.TR | 2020-03-23 |
| 192 | Old Problems, Classical Methods, New Solutions IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We consider the following problems in detail: (A) calibrating the default boundary in the structural default framework to a constant default intensity; (B) calculating default probability for a representative bank in the mean-field framework; (C) finding the hitting time probability density of an Ornstein-Uhlenbeck process. |
Alexander Lipton; | arxiv-q-fin.MF | 2020-03-15 |
| 193 | Deep Deterministic Portfolio Optimization IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 194 | Equations And Shape Of The Optimal Band Strategy IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 195 | Bridging The Gap Between Theory And Practice On Insertion-Intensive Database IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose Nested B-trees (NB-trees), an index that can achieve a consistently high insertion rate on large volumes of data, while providing asymptotically optimal query performance that is very efficient in practice. |
Sepanta Zeighami; Raymond Chi-Wing Wong; | arxiv-cs.DB | 2020-03-02 |
| 196 | Empirical Analysis Of Indirect Internal Conversions In Cryptocurrency Exchanges IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 197 | Using Reinforcement Learning In The Algorithmic Trading Problem IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 198 | The Threshold Effect Of Leveraged Trading On The Stock Price Crash Risk: Evidence From China IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 199 | Optimal Signal-Adaptive Trading With Temporary And Transient Price Impact IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We formulate this problem as minimization of a cost-risk functional over a class of absolutely continuous and signal-adaptive strategies. |
Eyal Neuman; Moritz Voß; | arxiv-q-fin.TR | 2020-02-21 |
| 200 | Adversarial Attacks On Machine Learning Systems For High-Frequency Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 201 | Stability Of The Indirect Utility Process IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. |
Oleksii Mostovyi; | arxiv-math.PR | 2020-02-21 |
| 202 | Deep Learning For Asset Bubbles Detection IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We develop a methodology for detecting asset bubbles using a neural network. |
Oksana Bashchenko; Alexis Marchal; | arxiv-q-fin.ST | 2020-02-15 |
| 203 | Adaptive Quantitative Trading: An Imitative Deep Reinforcement Learning Approach IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 204 | Shoreline: Data-Driven Threshold Estimation Of Online Reserves Of Cryptocurrency Trading Platforms Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 205 | On The Equivalence Between Value-at-Risk And Expected Shortfall In Non-concave Optimization IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We obtain the closed-form optimal wealth with the ES constraint as well as with the VaR constraint respectively, and explicitly calculate the optimal trading strategy for constant relative risk aversion (CRRA) utility functions. |
An Chen; Mitja Stadje; Fangyuan Zhang; | arxiv-math.OC | 2020-02-06 |
| 206 | Beyond Skill Scores: Exploring Sub-seasonal Forecast Value Through A Case Study Of French Month-ahead Energy Prediction IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We consider a cost/loss framework based on this example, and show that while it captures the performance of the short range forecasts well, it misses the marginal value present in the longer range forecasts. |
Joshua Dorrington; Isla Finney; Tim Palmer; Antje Weisheimer; | arxiv-physics.ao-ph | 2020-02-05 |
| 207 | NAPLES;Mining The Lead-lag Relationship From Non-synchronous And High-frequency Data IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose NAPLES (Negative And Positive lead-lag EStimator), a new statistical measure that resolves all these problems. |
Katsuya Ito; Kei Nakagawa; | arxiv-q-fin.ST | 2020-02-03 |
| 208 | Sentiment And Knowledge Based Algorithmic Trading With Deep Reinforcement Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details 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 |
| 209 | Marked Point Processes And Intensity Ratios For Limit Order Book Modeling IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper extends the analysis of Muni Toke and Yoshida (2020) to the case of marked point processes. |
Ioane Muni Toke; Nakahiro Yoshida; | arxiv-q-fin.TR | 2020-01-23 |
| 210 | Forecasting Stock Prices With Long-short Term Memory Neural Network Based On Attention Mechanism IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The stock market is known for its extreme complexity and volatility, and people are always looking for an accurate and effective way to guide stock trading. Long short-term memory … |
Jiayu Qiu; Bin Wang; Changjun Zhou; | PloS one | 2020-01-03 |
| 211 | A Gated Recurrent Unit Approach To Bitcoin Price Prediction IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: in this study, we investigate a framework with a set of advanced machine learning methods with a fixed set of exogenous and endogenous factors to predict daily Bitcoin prices. |
Aniruddha Dutta; Saket Kumar; Meheli Basu; | arxiv-q-fin.PR | 2019-12-23 |
| 212 | Design Of High-Frequency Trading Algorithm Based On Machine Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Based on iterative optimization and activation function in deep learning, we proposed a new analytical framework of high-frequency trading information, that reduced structural loss in the assembly of Volume-synchronized probability of Informed Trading ($VPIN$), Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Support Vector Machine (SVM) to make full use of the order book information. |
Boyue Fang; Yutong Feng; | arxiv-q-fin.TR | 2019-12-21 |
| 213 | Evolving Ab Initio Trading Strategies In Heterogeneous Environments IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: After analyzing the performance of these agents and noting the emergence of anomalous superdiffusion through the evolutionary process, we construct a method to turn high-fitness agents into trading algorithms. |
David Rushing Dewhurst; Yi Li; Alexander Bogdan; Jasmine Geng; | arxiv-cs.NE | 2019-12-19 |
| 214 | Extended Weak Convergence And Utility Maximization With Proportional Transaction Costs IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we study utility maximization with proportional transaction costs. |
Erhan Bayraktar; Leonid Dolinskyi; Yan Dolinsky; | arxiv-q-fin.MF | 2019-12-18 |
| 215 | A Posteriori Trading-inspired Model-free Time Series Segmentation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Within the context of multivariate time series segmentation this paper proposes a method inspired by a posteriori optimal trading. |
Mogens Graf Plessen; | arxiv-stat.ML | 2019-12-16 |
| 216 | Portfolio Liquidation Under Transient Price Impact — Theoretical Solution And Implementation With 100 NASDAQ Stocks Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. |
Ying Chen; Ulrich Horst; Hoang Hai Tran; | arxiv-q-fin.MF | 2019-12-13 |
| 217 | Get Real: Realism Metrics For Robust Limit Order Book Market Simulations IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Our paper provides a comprehensive catalog of these metrics including mathematical formulations where appropriate. |
SVITLANA VYETRENKO et. al. | arxiv-q-fin.TR | 2019-12-10 |
| 218 | Leakage Of Rank-dependent Functionally Generated Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. |
Kangjianan Xie; | arxiv-q-fin.PM | 2019-12-09 |
| 219 | To Snipe Or Not To Snipe, That Is The Question! Transitions In Sniping Behaviour Among Competing Algorithmic Traders Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we extend the investigation into the transition from sure to probabilistic sniping as introduced in Menkveld and Zoican \cite{mz2017}. |
Somayeh Kokabisaghi; Eric J Pauwels; Andre B Dorsman; | arxiv-q-fin.MF | 2019-12-09 |
| 220 | Fools Rush In: Competitive Effects Of Reaction Time In Automated Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Here, we introduce increasingly realistic models of trading speed and profile the computation times of a suite of eminent trading algorithms from the literature. |
Henry Hanifan; John Cartlidge; | arxiv-q-fin.TR | 2019-12-05 |
| 221 | Cryptocurrency Price Prediction And Trading Strategies Using Support Vector Machines IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Using historical data from July 2015 to November 2019, we develop a large number of technical indicators to capture patterns in the cryptocurrency market. |
David Zhao; Alessandro Rinaldo; Christopher Brookins; | arxiv-q-fin.TR | 2019-11-26 |
| 222 | A Singular Stochastic Control Approach For Optimal Pairs Trading With Proportional Transaction Costs IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To find optimal strategies which determine optimally both trade times and number of shares in pairs trading process, we use a singular stochastic control approach to study an optimal pairs trading problem with proportional transaction costs. |
Haipeng Xing; | arxiv-q-fin.TR | 2019-11-23 |
| 223 | Deep Reinforcement Learning For Trading IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We adopt Deep Reinforcement Learning algorithms to design trading strategies for continuous futures contracts. |
Zihao Zhang; Stefan Zohren; Stephen Roberts; | arxiv-q-fin.CP | 2019-11-22 |
| 224 | Deep Hedging: Learning To Simulate Equity Option Markets IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We construct realistic equity option market simulators based on generative adversarial networks (GANs). |
Magnus Wiese; Lianjun Bai; Ben Wood; Hans Buehler; | arxiv-q-fin.CP | 2019-11-05 |
| 225 | A Multi-Scale Temporal Feature Aggregation Convolutional Neural Network For Portfolio Management IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, inspired by the Inception network that has achieved great success in computer vision and can extract multi-scale features simultaneously, we propose a novel Ensemble of Identical Independent Inception (EI$^3$) convolutional neural network, with the objective of addressing the limitation of existing reinforcement learning based portfolio management methods. |
Si Shi; Jianjun Li; Guohui Li; Peng Pan; | cikm | 2019-11-03 |
| 226 | Deep Convolutional Autoencoder For Cryptocurrency Market Analysis IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This study attempts to analyze patterns in cryptocurrency markets using a special type of deep neural networks, namely a convolutional autoencoder. |
Vladimir Puzyrev; | arxiv-cs.LG | 2019-10-27 |
| 227 | CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a novel approach for sampling realistic financial correlation matrices. |
Gautier Marti; | arxiv-q-fin.ST | 2019-10-21 |
| 228 | Optimal Dynamic Futures Portfolio In A Regime-Switching Market Framework IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach to determine the optimal futures trading strategy. |
Tim Leung; Yang Zhou; | arxiv-q-fin.PM | 2019-10-14 |
| 229 | Optimal Trading Of A Basket Of Futures Contracts IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model involving a multi-dimensional scaled Brownian bridge that is stopped before price convergence. |
Bahman Angoshtari; Tim Leung; | arxiv-q-fin.PM | 2019-10-10 |
| 230 | Deep Architectures For Long-term Stock Price Prediction With A Heuristic-based Strategy For Trading Simulations IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Stock price prediction is a popular yet challenging task and deep learning provides the means to conduct the mining for the different patterns that trigger its dynamic movement. … |
Catalin Stoean; Wiesław Paja; Ruxandra Stoean; Adrian Sandita; | PloS one | 2019-10-10 |
| 231 | Volume Prediction With Neural Networks IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Changes in intraday trading volume are integral to any algorithmic trading strategy. Accordingly, forecasting the change in trading volume is paramount to better understanding the … |
Daniel Libman; Simi Haber; Mary Schaps; | Frontiers in artificial intelligence | 2019-10-09 |
| 232 | Do Speed Bumps Curb Low-latency Trading? Evidence From A Laboratory Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We find that asymmetric speed bumps, on average, reduce investment in speed by only 20%. |
Mariana Khapko; Marius Zoican; | arxiv-q-fin.TR | 2019-10-07 |
| 233 | A Financial Market With Singular Drift And No Arbitrage IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we consider a jump diffusion market model with a singular drift term modelled as the local time of a given process, and with a delay \theta>0 in the information flow available for the trader. |
Nacira Agram; Bernt Øksendal; | arxiv-q-fin.MF | 2019-09-27 |
| 234 | Mechanics Of Good Trade Execution In The Framework Of Linear Temporary Market Impact IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. |
Claudio Bellani; Damiano Brigo; | arxiv-q-fin.TR | 2019-09-23 |
| 235 | Concepts, Components And Collections Of Trading Strategies And Market Color IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: For each strategy, we will have a core idea and we will present different flavors of this central theme to demonstrate that we can easily cater to the varying risk appetites, regional preferences, asset management styles, investment philosophies, liability constraints, investment horizons, notional trading size, trading frequency and other preferences of different market participants. |
Ravi Kashyap; | arxiv-q-fin.GN | 2019-09-20 |
| 236 | Revisiting The Use of Web Search Data for Stock Market Movements IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Advances in Big Data make it possible to make short-term forecasts for market trends from previously unexplored sources. Trading strategies were recently developed by exploiting a … |
Xu Zhong; Michael Raghib; | Scientific reports | 2019-09-18 |
| 237 | Optimal Investment and Contingent Claim Valuation with Exponential Disutility Under Proportional Transaction Costs IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. |
Alet Roux; Zhikang Xu; | arxiv-q-fin.MF | 2019-09-13 |
| 238 | Validating Weak-form Market Efficiency In United States Stock Markets With Trend Deterministic Price Data And Machine Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This study endeavors to connect existing econometric research on weak-form efficient markets with data science innovations in algorithmic trading. |
Samuel Showalter; Jeffrey Gropp; | arxiv-q-fin.ST | 2019-09-11 |
| 239 | Reinforcement Learning: Prediction, Control And Value Function Approximation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we dive into the RL algorithms and illustrate the definitions of the reward function, actions and policy functions in details, as well as introducing algorithms that could be applied to FTFs. |
Haoqian Li; Thomas Lau; | arxiv-q-fin.TR | 2019-08-28 |
| 240 | A Comparative Study On The Routing Problem Of Electric And Fuel Vehicles Considering Carbon Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: In order to explore the impact of using electric vehicles on the cost and environment of logistics enterprises, this paper studies the optimization of vehicle routing problems … |
Wenzhu Liao; Lin Liu; Jiazhuo Fu; | International journal of environmental research and public … | 2019-08-27 |
| 241 | Classification Of Position Management Strategies At The Order-book Level And Their Influences On Future Market-price Formation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Financial prices fluctuate as a results of the market impact of the flow of transactions between traders. Reciprocally, several studies of market microstructure have shown how … |
Takumi Sueshige; Didier Sornette; Hideki Takayasu; Misako Takayasu; | PloS one | 2019-08-23 |
| 242 | Fitness Preferential Attachment As A Driving Mechanism In Bitcoin Transaction Network IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Bitcoin is the earliest cryptocurrency and among the most successful ones to date. Recently, its dynamical evolution has attracted the attention of the research community due to … |
Ayana Aspembitova; Ling Feng; Valentin Melnikov; Lock Yue Chew; | PloS one | 2019-08-23 |
| 243 | Intra-day Equity Price Prediction Using Deep Learning As A Measure Of Market Efficiency IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we show that, to the contrary, future intra-day stock prices could be predicted effectively until 2009. |
David Byrd; Tucker Hybinette Balch; | arxiv-q-fin.TR | 2019-08-21 |
| 244 | Mean-variance Hedging Of Unit Linked Life Insurance Contracts In A Jump-diffusion Model IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. |
Frank Bosserhoff; Mitja Stadje; | arxiv-q-fin.PM | 2019-08-15 |
| 245 | The Heterogeneous Effects Of Exchange Rate And Stock Market On CO2 Emission Allowance Price In China: A Panel Quantile Regression Approach IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This paper studies the heterogeneous effects of exchange rate and stock market on carbon emission allowance price in four emissions trading scheme pilots in China. We employ a … |
Xiaojian Su; Chao Deng; | PloS one | 2019-08-13 |
| 246 | Random Walk Model From The Point Of View Of Algorithmic Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we present an exact solution for the cost of the static passive slice execution. |
Oleh Danyliv; Bruce Bland; Alexandre Argenson; | arxiv-q-fin.TR | 2019-08-12 |
| 247 | Cap-and-Trade Emissions Regulation: A Strategic Analysis IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We find that while cap-and-trade results improves efficiency overall, consumers bear a disproportionate share of regulation cost, as firms use credit trading to segment the vehicle market. |
Frank Cheng; Yagil Engel; Michael P. Wellman; | ijcai | 2019-08-09 |
| 248 | Latency And Liquidity Risk IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We employ techniques of variational analysis to obtain the optimal price limit of each MLO the agent sends. |
Álvaro Cartea; Sebastian Jaimungal; Leandro Sánchez-Betancourt; | arxiv-q-fin.TR | 2019-08-08 |
| 249 | An Instantaneous Market Volatility Estimation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Working on different aspects of algorithmic trading we empirically discovered a new market invariant. |
Oleh Danyliv; Bruce Bland; | arxiv-q-fin.TR | 2019-08-07 |
| 250 | What You Say And How You Say It Matters: Predicting Stock Volatility Using Verbal And Vocal Cues IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a multimodal deep regression model (MDRM) that jointly model CEO’s verbal (from text) and vocal (from audio) information in a conference call. |
Yu Qin; Yi Yang,; | acl | 2019-07-28 |
| 251 | Taxable Stock Trading With Deep Reinforcement Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose stock trading based on the average tax basis. |
Shan Huang; | arxiv-q-fin.TR | 2019-07-28 |
| 252 | Liquid Speed: On-Demand Fast Trading At Distributed Exchanges IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We build a model of decentralized exchanges (DEX) with flexible capacity. |
Michael Brolley; Marius Zoican; | arxiv-q-fin.TR | 2019-07-24 |
| 253 | A Note On Universal Bilinear Portfolios IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: I apply Cover’s ingenious (1991) performance-weighted averaging technique to construct a universal bilinear portfolio that is guaranteed (uniformly for all possible market behavior) to compound its money at the same asymptotic rate as the best bilinear trading strategy in hindsight. |
Alex Garivaltis; | arxiv-q-fin.MF | 2019-07-23 |
| 254 | Trading Via Image Classification IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work, we built upon the success in image recognition and examine the value in transforming the traditional time-series analysis to that of image classification. |
Naftali Cohen; Tucker Balch; Manuela Veloso; | arxiv-cs.CV | 2019-07-23 |
| 255 | Generalized Statistical Arbitrage Concepts And Related Gain Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Relaxing these notions further we introduce generalized profitable strategies which include also static or semi-static strategies. |
Christian Rein; Ludger Rüschendorf; Thorsten Schmidt; | arxiv-q-fin.MF | 2019-07-22 |
| 256 | The Impact Of Execution Delay On Kelly-Based Stock Trading: High-Frequency Versus Buy And Hold IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Using ELG as the performance metric, we compare the impact of trade execution delay on the relative performance of high-frequency trading versus buy and hold. |
Chung-Han Hsieh; B. Ross Barmish; John A. Gubner; | arxiv-math.OC | 2019-07-20 |
| 257 | Stochastic Spread Pairs Trading In The Indian Commodity Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this study, we applied a stochastic spread pairs trading strategy on the Indian commodity market. |
Dhruv Mahajan; Abhijeet Chandra; | arxiv-q-fin.TR | 2019-07-19 |
| 258 | Capturing Financial Markets To Apply Deep Reinforcement Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we explore the usage of deep reinforcement learning algorithms to automatically generate consistently profitable, robust, uncorrelated trading signals in any general financial market. |
Souradeep Chakraborty; | arxiv-q-fin.CP | 2019-07-09 |
| 259 | HyperPubSub: Blockchain Based Publish/Subscribe IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we describe the architecture and the implementation of a broker based publish/subscribe system where the broker role is played by a private blockchain, Hy-perledger Fabric. |
Gewu Bu; Thanh Son Lam Nguyen; Maria Potop-Butucaru; Kim Thai; | arxiv-cs.CR | 2019-07-08 |
| 260 | An Intelligent Financial Portfolio Trading Strategy Using Deep Q-learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This study proposes a novel portfolio trading strategy in which an intelligent agent is trained to identify an optimal trading action by using deep Q-learning. |
Hyungjun Park; Min Kyu Sim; Dong Gu Choi; | arxiv-q-fin.PM | 2019-07-08 |
| 261 | Learning Threshold-Type Investment Strategies With Stochastic Gradient Method IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The systematic study of this method is novel in the field of portfolio optimization; we aim to establish the theory and practice of Stochastic Gradient algorithm used on parametrized trading strategies. |
Zsolt Nika; Miklós Rásonyi; | arxiv-q-fin.PM | 2019-07-04 |
| 262 | Factors Influencing Pharmaceutical Pricing – A Scoping Review Of Academic Literature In Health Science IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Pharmaceutical pricing has only recently gained space in mainstream health science literature. Bibliometric and content description of health science academic literature and ad … |
Maria Angelica Borges Dos Santos; Leticia Lucia Dos Santos Dias; Cláudia Du Bocage Santos Pinto; Rondineli Mendes da Silva; Claudia Garcia Serpa Osorio-de-Castro; | Journal of pharmaceutical policy and practice | 2019-06-27 |
| 263 | How To Evaluate Trading Strategies: Single Agent Market Replay Or Multiple Agent Interactive Simulation? IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We describe our approach in detail, and illustrate its use in an example application: The evaluation of market impact for various size orders. |
Tucker Hybinette Balch; Mahmoud Mahfouz; Joshua Lockhart; Maria Hybinette; David Byrd; | arxiv-q-fin.TR | 2019-06-27 |
| 264 | Are Cryptocurrency Traders Pioneers Or Just Risk-seekers? Evidence From Brokerage Accounts IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We find that when engaging in cryptocurrency trading investors simultaneously increase their risk-seeking behavior in stock trading as they increase their trading intensity and use of leverage. |
Matthias Pelster; Bastian Breitmayer; Tim Hasso; | arxiv-q-fin.GN | 2019-06-27 |
| 265 | Time Scales In Stock Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Empirical mode decomposition based Hurst exponent analysis and variance technique have been applied to identify the time scales for short-term and long-term investment from the decomposed intrinsic mode functions(IMF). |
Ajit Mahata; Md Nurujjaman; | arxiv-q-fin.ST | 2019-06-13 |
| 266 | Selecting Stock Pairs For Pairs Trading While Incorporating Lead-lag Relationship IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The present study proposes a new distance measure which incorporates the lead-lag relationship between the stocks while selecting the best pairs for pairs trading. |
Kartikay Gupta; Niladri Chatterjee; | arxiv-q-fin.ST | 2019-06-12 |
| 267 | Enhanced Optimization With Composite Objectives And Novelty Pulsation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In fact, our method so far has established a new world record for the 20-lines sorting network with 91 comparators. |
HORMOZ SHAHRZAD et. al. | arxiv-cs.NE | 2019-06-07 |
| 268 | Mycorrhizal Fungi Respond To Resource Inequality By Moving Phosphorus From Rich To Poor Patches Across Networks IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The world’s ecosystems are characterized by an unequal distribution of resources [1]. Trade partnerships between organisms of different species-mutualisms-can help individuals … |
MATTHEW D WHITESIDE et. al. | Current biology : CB | 2019-06-06 |
| 269 | Optimal Dynamic Strategies On Gaussian Returns IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: By allowing for randomness in the asset-allocation and modelling the interaction of strategy weights with returns, we demonstrate that positive skewness and excess kurtosis are essential components of all positive Sharpe dynamic strategies, which is generally observed empirically; demonstrate that total least squares (TLS) or orthogonal least squares is more appropriate than OLS for maximizing the Sharpe ratio, while canonical correlation analysis (CCA) is similarly appropriate for the multi-asset case; derive standard errors on Sharpe ratios which are tighter than the commonly used standard errors from Lo; and derive standard errors on the skewness and kurtosis of strategies, apparently new results. |
Nick Firoozye; Adriano Koshiyama; | arxiv-q-fin.PM | 2019-05-31 |
| 270 | What Role Should Government Play In The Personal Carbon Trading Market: Motivator Or Punisher? IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: With increasing downstream carbon emissions, the implementation of a personal carbon trading scheme is urgently required. In order to facilitate the progress, government … |
Daoyan Guo; Hong Chen; Ruyin Long; | International journal of environmental research and public … | 2019-05-29 |
| 271 | An Artificial Intelligence Approach to Regulating Systemic Risk IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: We apply an artificial intelligence approach to simulate the impact of financial market regulations on systemic risk-a topic vigorously discussed since the financial crash of … |
Sharyn O’Halloran; Nikolai Nowaczyk; | Frontiers in artificial intelligence | 2019-05-29 |
| 272 | Risk Equivalence As An Alternative To Balancing Mean Value When Trading Draft Selections And Players In Major Sporting Leagues IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: In sports leagues that use an annual draft to assign eligible players to clubs, having a value associated with a draft selection can allow clubs to anticipate future growth of … |
Geoffrey N Tuck; Shane A Richards; | PloS one | 2019-05-24 |
| 273 | Optimal Multi-asset Trading With Linear Costs: A Mean-field Approach IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a mean-field approach that reduces the multi-asset problem to a single-asset problem, with an effective predictor that includes a risk averse component. |
Matt Emschwiller; Benjamin Petit; Jean-Philippe Bouchaud; | arxiv-q-fin.PM | 2019-05-12 |
| 274 | Deep Reinforcement Learning For Financial Trading Using Price Trailing IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In contrast, in this paper we propose a novel price trailing method that goes beyond traditional price forecasting by reformulating trading as a control problem, effectively overcoming the aforementioned limitations. |
K. S. Zarkias; N. Passalis; A. Tsantekidis and A. Tefas; | icassp | 2019-05-11 |
| 275 | A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we introduce and solve a class of optimal stopping problems of recursive type. |
Katia Colaneri; Tiziano De Angelis; | arxiv-math.OC | 2019-05-07 |
| 276 | Avoiding Backtesting Overfitting By Covariance-Penalties: An Empirical Investigation Of The Ordinary And Total Least Squares Cases IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose a new approach to dealing with financial overfitting, a Covariance-Penalty Correction, in which a risk metric is lowered given the number of parameters and data used to underpins a trading strategy. |
Adriano Koshiyama; Nick Firoozye; | arxiv-q-fin.PM | 2019-05-01 |
| 277 | Agent-Based Simulations Of Blockchain Protocols Illustrated Via Kadena’s Chainweb Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we describe a system for simulating how adversarial agents, both economically rational and Byzantine, interact with a blockchain protocol. |
Tarun Chitra; Monica Quaintance; Stuart Haber; Will Martino; | arxiv-cs.CR | 2019-04-29 |
| 278 | Deep Q-Learning For Nash Equilibria: Nash-DQN IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Here, we develop a new data efficient Deep-Q-learning methodology for model-free learning of Nash equilibria for general-sum stochastic games. |
Philippe Casgrain; Brian Ning; Sebastian Jaimungal; | arxiv-cs.LG | 2019-04-23 |
| 279 | Formalization Of Automated Trading Systems In A Concurrent Linear Framework IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a declarative and modular specification of an automated trading system (ATS) in the concurrent linear framework CLF. |
Iliano Cervesato; Sharjeel Khan; Giselle Reis; Dragiša Žunić; | arxiv-cs.LO | 2019-04-15 |
| 280 | Optimal Behaviour In Solar Renewable Energy Certificate (SREC) Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work, we formulate a stochastic control problem for generating and trading in SREC markets from a regulated firm’s perspective. |
Arvind Shrivats; Sebastian Jaimungal; | arxiv-q-fin.MF | 2019-04-12 |
| 281 | Cooperative Multi-Agent Reinforcement Learning Framework For Scalping Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Not only that, we introduce new RL framework based on our hybrid algorithm which leverages between supervised learning and RL algorithm and uses meaningful observations such order book and settlement data from experience watching scalpers trading. |
UK JO et. al. | arxiv-cs.AI | 2019-03-31 |
| 282 | Market Making Under A Weakly Consistent Limit Order Book Model IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. |
Baron Law; Frederi Viens; | arxiv-q-fin.TR | 2019-03-17 |
| 283 | Financial Trading Model With Stock Bar Chart Image Time Series With Deep Convolutional Neural Networks IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a novel algorithmic trading model CNN-BI (Convolutional Neural Network with Bar Images) using a 2-D Convolutional Neural Network. |
Omer Berat Sezer; Ahmet Murat Ozbayoglu; | arxiv-cs.LG | 2019-03-11 |
| 284 | Learning The Dynamics Of Technical Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The work aims to explore and better understand the interplay between different technical trading strategies from a data-informed perspective. |
Nicholas Murphy; Tim Gebbie; | arxiv-q-fin.CP | 2019-03-06 |
| 285 | Three Different Ways Synchronization Can Cause Contagion In Financial Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We introduce tools to capture the dynamics of three different pathways, in which the synchronization of human decision-making could lead to turbulent periods and contagion phenomena in financial markets. |
Naji Massad; Jørgen Vitting Andersen; | arxiv-q-fin.GN | 2019-02-27 |
| 286 | Working Paper: Improved Stock Price Forecasting Algorithm Based On Feature-weighed Support Vector Regression By Using Grey Correlation Degree IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper aims to improve the accuracy of stock price forecasting. |
Quanxi Wang; | arxiv-q-fin.CP | 2019-02-24 |
| 287 | Robust Asset Allocation For Robo-Advisors IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we show that the mean-variance optimization approach is mainly driven by arbitrage factors that are related to the concept of hedging portfolios. |
Thibault Bourgeron; Edmond Lezmi; Thierry Roncalli; | arxiv-q-fin.PM | 2019-02-20 |
| 288 | Forecasting Stock Prices With A Feature Fusion LSTM-CNN Model Using Different Representations Of The Same Data IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Forecasting stock prices plays an important role in setting a trading strategy or determining the appropriate timing for buying or selling a stock. We propose a model, called the … |
Taewook Kim; Ha Young Kim; | PloS one | 2019-02-15 |
| 289 | Selection Of The Optimal Trading Model For Stock Investment In Different Industries IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: In general, the stock prices of the same industry have a similar trend, but those of different industries do not. When investing in stocks of different industries, one should … |
Dongdong Lv; Zhenhua Huang; Meizi Li; Yang Xiang; | PloS one | 2019-02-13 |
| 290 | A Simple Statistical Approach To Prediction In Open High Dimensional Chaotic Systems IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Multi-view embedding1 is a method of using several multivariate time series to come up with an improved embedding based predictor of a chaotic time series. |
M. LuValle; | arxiv-stat.AP | 2019-02-12 |
| 291 | Wikipedia And Digital Currencies: Interplay Between Collective Attention And Market Performance IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We consider the entire edit history of currency-related pages, and their view history from July 2015. |
Abeer ElBahrawy; Laura Alessandretti; Andrea Baronchelli; | arxiv-physics.soc-ph | 2019-02-12 |
| 292 | High-performance Stock Index Trading: Making Effective Use Of A Deep LSTM Neural Network IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a deep long short-term memory (LSTM)-based neural network for predicting asset prices, together with a successful trading strategy for generating profits based on the model’s predictions. |
Chariton Chalvatzis; Dimitrios Hristu-Varsakelis; | arxiv-q-fin.ST | 2019-02-07 |
| 293 | Clustering Patterns In Efficiency And The Coming-of-age Of The Cryptocurrency Market IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The efficient market hypothesis has far-reaching implications for financial trading and market stability. Whether or not cryptocurrencies are informationally efficient has … |
Higor Y D Sigaki; Matjaž Perc; Haroldo V Ribeiro; | Scientific reports | 2019-02-05 |
| 294 | Equilibrium Asset Pricing With Transaction Costs IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. |
Martin Herdegen; Johannes Muhle-Karbe; Dylan Possamaï; | arxiv-q-fin.PM | 2019-01-30 |
| 295 | Model-based Deep Reinforcement Learning For Dynamic Portfolio Optimization IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Here, we design a deep reinforcement learning (RL) architecture with an autonomous trading agent such that, investment decisions and actions are made periodically, based on a global objective, with autonomy. |
Pengqian Yu; Joon Sern Lee; Ilya Kulyatin; Zekun Shi; Sakyasingha Dasgupta; | arxiv-cs.LG | 2019-01-24 |
| 296 | Instantaneous Arbitrage And The CAPM IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. |
Lars Tyge Nielsen; | arxiv-q-fin.MF | 2019-01-15 |
| 297 | Sutte Indicator: An Approach To Predict The Direction Of Stock Market Movements IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The purpose of this research is to apply technical analysis of Sutte Indicator in stock trading which will assist in the investment decision making process i.e. buying or selling shares. |
Ansari Saleh Ahmar; | arxiv-q-fin.ST | 2019-01-13 |
| 298 | The Handling Of Evidence In National And Local Policy Making: A Case Study Of Alcohol Industry Actor Strategies Regarding Data On On-premise Trading Hours And Violence In Norway IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Effective alcohol policy measures conflict with the interests of the alcohol industry. In this study we addressed how various alcohol industry actors in Norway have responded to … |
Ingeborg Rossow; Jim McCambridge; | BMC public health | 2019-01-09 |
| 299 | Preliminary Findings On Cryptocurrency Trading Among Regular Gamblers: A New Risk For Problem Gambling? IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Cryptocurrencies are emerging digital currencies that allow anonymity in accessing various risk-taking activities through the Internet (e.g., drugs, gambling). However, given … |
Devin J Mills; Lia Nower; | Addictive behaviors | 2019-01-08 |
| 300 | Generative Adversarial Networks For Financial Trading Strategies Fine-Tuning And Combination IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Therefore, our work proposes the use of Conditional Generative Adversarial Networks (cGANs) for trading strategies calibration and aggregation. |
Adriano Koshiyama; Nick Firoozye; Philip Treleaven; | arxiv-cs.LG | 2019-01-07 |
| 301 | Clustering Patterns In Efficiency And The Coming-of-age Of The Cryptocurrency Market IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Here, we use permutation entropy and statistical complexity over sliding time-windows of price log returns to quantify the dynamic efficiency of more than four hundred cryptocurrencies. |
Higor Y. D. Sigaki; Matjaz Perc; Haroldo V. Ribeiro; | arxiv-q-fin.ST | 2019-01-03 |
| 302 | Energy Crowdsourcing And Peer-to-Peer Energy Trading In Blockchain-Enabled Smart Grids IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: An operational model of CESs in distribution networks is presented considering various types of energy trading transactions and crowdsourcees. |
Shen Wang; Ahmad F. Taha; Jianhui Wang; Karla Kvaternik; Adam Hahn; | arxiv-cs.SY | 2019-01-03 |
| 303 | Equilibrium Price And Optimal Insider Trading Strategy Under Stochastic Liquidity With Long Memory IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. |
Ben-zhang Yang; Xinjiang He; Nan-jing Huang; | arxiv-q-fin.MF | 2019-01-02 |
| 304 | Herding Behaviour in Cryptocurrencies IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This study examines the presence of herding behaviour in the cryptocurrency market. The latter is the outcome of mass collaboration and imitation. Results from the static model … |
Elie Bouri; Rangan Gupta; David Roubaud; | Finance Research Letters | 2019-01-01 |
| 305 | Understanding What Drives Bitcoin Trading Activities IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The purpose of this study is to try to understand the factors that are driving cryptocurrency-related trading activities. |
Natalia Jerdack; Akmaral Dauletbek; Meredith Divine; Michael Hult; Arthur Carvalho; | arxiv-cs.CY | 2018-12-27 |
| 306 | Closed-Loop Hierarchical Operation For Optimal Unit Commitment And Dispatch In Microgrids: A Hybrid System Approach IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, the UCD problem is studied by taking account of both traditional thermal units and distributed generation units (DGs) while considering demand response (DR) and carbon emissions trading (CET). |
Fangyuan Li; Jiahu Qin; Yu Kang; | arxiv-math.OC | 2018-12-24 |
| 307 | A New Approach To Learning In Dynamic Bayesian Networks (DBNs) IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we revisit the parameter learning problem, namely the estimation of model parameters for Dynamic Bayesian Networks (DBNs). |
E. Benhamou; J. Atif; R. Laraki; A. Auger; | arxiv-cs.LG | 2018-12-21 |
| 308 | Investigating Limit Order Book Characteristics For Short Term Price Prediction: A Machine Learning Approach IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we employ a machine learning approach to investigate Limit Order Book features and their potential to predict short term price movements. |
Faisal I Qureshi; | arxiv-q-fin.TR | 2018-12-20 |
| 309 | Ecology Of Trading Strategies In A Forex Market For Limit And Market Orders IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: There is a growing interest to understand financial markets as ecological systems, where the variety of trading strategies correspond to that of biological species. For this … |
Takumi Sueshige; Kiyoshi Kanazawa; Hideki Takayasu; Misako Takayasu; | PloS one | 2018-12-17 |
| 310 | Evaluating The Building Blocks Of A Dynamically Adaptive Systematic Trading Strategy IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Here, we explore the use of State Switching Markov Autoregressive models for identifying and predicting different market regimes loosely modeled on the Wyckoff Price Regimes of accumulation, distribution, advance and decline. |
Sonam Srivastava; Ritabratta Bhattacharya; | arxiv-q-fin.ST | 2018-12-06 |
| 311 | Verlässliche Software Im 21. Jahrhundert IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we discuss challenges and research directions imposed by these new areas on guaranteeing the dependability. |
Stefan Wagner; Matthias Tichy; Michael Felderer; Stefan Leue; | arxiv-cs.SE | 2018-12-04 |
| 312 | Slow-fast Analysis Of A Multi-group Asset Flow Model With Implications For The Dynamics Of Wealth IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The multi-group asset flow model is a nonlinear dynamical system originally developed as a tool for understanding the behavioral foundations of market phenomena such as flash … |
Mark DeSantis; David Swigon; | PloS one | 2018-11-29 |
| 313 | Risky Business: Data On Trading Results For UK General Insurance Firms During And After The Global Financial Crisis IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This article contains dataset on the trading results for UK general insurance industry performance during and after the global financial crisis. The data covers the net written … |
Oluwasoye P Mafimisebi; | Data in brief | 2018-11-26 |
| 314 | The Anatomy Of A Cryptocurrency Pump-and-Dump Scheme IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a case study of a recent pump-and-dump event, investigate 412 pump-and-dump activities organized in Telegram channels from June 17, 2018 to February 26, 2019, and discover patterns in crypto-markets associated with pump-and-dump schemes. |
Jiahua Xu; Benjamin Livshits; | arxiv-q-fin.TR | 2018-11-25 |
| 315 | Estimation Of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data With Application To Intraday Pairs Trading Strategy IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose an estimator of the Ornstein-Uhlenbeck process based on the maximum likelihood which is robust to the noise and utilizes irregularly spaced data. |
Vladimír Holý; Petra Tomanová; | arxiv-q-fin.ST | 2018-11-22 |
| 316 | The Value Of Forecasts: Quantifying The Economic Gains Of Accurate Quarter-hourly Electricity Price Forecasts IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. |
Christopher Kath; Florian Ziel; | arxiv-q-fin.ST | 2018-11-21 |
| 317 | Practical Deep Reinforcement Learning Approach For Stock Trading IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We explore the potential of deep reinforcement learning to optimize stock trading strategy and thus maximize investment return. |
Zhuoran Xiong; Xiao-Yang Liu; Shan Zhong; Hongyang Yang; Anwar Walid; | arxiv-cs.LG | 2018-11-19 |
| 318 | Cross-Sectional Variation Of Intraday Liquidity, Cross-Impact, And Their Effect On Portfolio Execution IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we investigate the consequences of such portfolio liquidity on price impact and portfolio execution. |
Seungki Min; Costis Maglaras; Ciamac C. Moallemi; | arxiv-q-fin.TR | 2018-11-13 |
| 319 | Optimal Trading Using Signals IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we propose a mathematical framework to address the uncertainty emergingwhen the designer of a trading algorithm uses a threshold on a signal as a control. |
Hadrien De March; Charles-Albert Lehalle; | arxiv-q-fin.TR | 2018-11-08 |
| 320 | Deep Learning Can Replicate Adaptive Traders In A Limit-Order-Book Financial Market IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we demonstrate that suitably configured DLNNs can learn to replicate the trading behavior of a successful adaptive automated trader, an algorithmic system previously demonstrated to outperform human traders. |
Arthur le Calvez; Dave Cliff; | arxiv-cs.CE | 2018-11-07 |
| 321 | Using Stock Prices As Ground Truth In Sentiment Analysis To Generate Profitable Trading Signals IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Here we consider the converse idea, that using the stock price as the ground-truth in the system may be a better indication of sentiment. |
Ellie Birbeck; Dave Cliff; | arxiv-cs.CE | 2018-11-07 |
| 322 | Multi-channel Discourse As An Indicator For Bitcoin Price And Volume Movements IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This makes Bitcoin an interesting subject for such research, as it enables the mapping of sentiment to fundamental events that might otherwise be inaccessible. |
Marvin Aron Kennis; | arxiv-q-fin.ST | 2018-11-06 |
| 323 | A Stochastic Control Approach To Managed Futures Portfolios IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study a stochastic control approach to managed futures portfolios. |
Tim Leung; Raphael Yan; | arxiv-q-fin.MF | 2018-11-05 |
| 324 | Online Learning Algorithms For Statistical Arbitrage IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper presents an alternative technique for statistical arbitrage based on online learning which does not require such assumptions and which benefits from strong learning guarantees. |
Christopher Mohri; | arxiv-cs.LG | 2018-10-31 |
| 325 | Tracing Transactions Across Cryptocurrency Ledgers IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, weuse data scraped from ShapeShift over a thirteen-monthperiod and the data from eight different blockchains to explore this question. |
Haaroon Yousaf; George Kappos; Sarah Meiklejohn; | arxiv-cs.CR | 2018-10-30 |
| 326 | Optimal Execution Strategy With An Uncertain Volume Target IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. |
Julien Vaes; Raphael Hauser; | arxiv-q-fin.TR | 2018-10-28 |
| 327 | Global Closed-form Approximation Of Free Boundary For Optimal Investment Stopping Problems IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. |
Jingtang Ma; Jie Xing; Harry Zheng; | arxiv-q-fin.MF | 2018-10-22 |
| 328 | Intraday Seasonalities And Nonstationarity Of Trading Volume In Financial Markets: Individual And Cross-Sectional Features IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. |
Michelle B Graczyk; Silvio M D Queirós; | arxiv-q-fin.ST | 2018-10-21 |
| 329 | Mean-Field Games With Differing Beliefs For Algorithmic Trading IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Under some mild assumptions, we construct the solution in terms of expectations of the filtered states. |
Philippe Casgrain; Sebastian Jaimungal; | arxiv-q-fin.MF | 2018-10-14 |
| 330 | A Global Strategy To Mitigate The Environmental Impact Of China’s Ruminant Consumption Boom Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Rising demand for ruminant meat and dairy products in developing countries is expected to double anthropogenic greenhouse gas and ammonia emissions from livestock by 2050. … |
YUANYUAN DU et. al. | Nature communications | 2018-10-08 |
| 331 | Multilinear Superhedging Of Lookback Options IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: For completely arbitrary (even non-measurable) performance benchmarks, we show how the axiom of choice can be used to find an exact maximin strategy for the trader. |
Alex Garivaltis; | arxiv-q-fin.PR | 2018-10-04 |
| 332 | Super-Replication Of The Best Pairs Trade In Hindsight IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper derives a robust on-line equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. |
Alex Garivaltis; | arxiv-q-fin.PM | 2018-10-04 |
| 333 | Temporal Attention-Augmented Bilinear Network For Financial Time-Series Data Analysis IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market. In the high-frequency trading, … |
Dat Thanh Tran; Alexandros Iosifidis; Juho Kanniainen; Moncef Gabbouj; | IEEE transactions on neural networks and learning systems | 2018-09-28 |
| 334 | Trading Strategies Generated Pathwise By Functions Of Market Weights IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, both of these notions of functional portfolio generation are generalized in a pathwise, probability-free setting; portfolio generating functions are substituted by path-dependent functionals, which involve the current market weights, as well as additional bounded-variation functions of past and present market weights. |
Ioannis Karatzas; Donghan Kim; | arxiv-q-fin.MF | 2018-09-26 |
| 335 | Data And Spectrum Trading Policies In A Trusted Cognitive Dynamic Network Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we consider a cognitive dynamic network architecture (CDNA) where primary users (PUs) are rewarded for sharing their connectivities and acting as access points for secondary users (SUs). |
B. Lorenzo; A. Shams Shafigh; J. Liu; J. Gonzalez Castano; Y. Fang; | arxiv-cs.NI | 2018-09-24 |
| 336 | BSE: A Minimal Simulation Of A Limit-Order-Book Stock Exchange IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper describes the design, implementation, and successful use of the Bristol Stock Exchange (BSE), a novel minimal simulation of a centralised financial market, based on a Limit Order Book (LOB) such as is common in major stock exchanges. |
Dave Cliff; | arxiv-cs.CE | 2018-09-17 |
| 337 | Multi-Depot Open Vehicle Routing Problem With Time Windows Based On Carbon Trading IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: In order to cut the costs of third-party logistics companies and respond to the Chinese government’s low-carbon economy plans, this paper studies the more practical and complex … |
Ling Shen; Fengming Tao; Songyi Wang; | International journal of environmental research and public … | 2018-09-17 |
| 338 | General Equilibrium With Endogenous Trading Constraints IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: In a competitive model where agents are subject to endogenous trading constraints, we make the access to financial trade dependent on prices and consumption decisions. Our … |
Sebastián Cea-Echenique; Juan Pablo Torres-Martínez; | PloS one | 2018-09-17 |
| 339 | Optimal Dynamic Basis Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. |
Bahman Angoshtari; Tim Leung; | arxiv-q-fin.PM | 2018-09-16 |
| 340 | VLSTM: Very Long Short-Term Memory Networks For High-Frequency Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose very-long short term memory networks, or VLSTMs, to deal with such extreme length sequences. |
Prakhar Ganesh; Puneet Rakheja; | arxiv-cs.LG | 2018-09-05 |
| 341 | Enhancing Stock Market Prediction With Extended Coupled Hidden Markov Model Over Multi-Sourced Data IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work, we study how to explore multiple data sources to improve the performance of the stock prediction. |
Xi Zhang; Yixuan Li; Senzhang Wang; Binxing Fang; Philip S. Yu; | arxiv-q-fin.ST | 2018-09-02 |
| 342 | Mycorrhizal Markets, Firms, And Co-ops IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The nutrient exchange mutualism between arbuscular mycorrhizal fungi (AMFs) and their host plants qualifies as a biological market, but several complications have hindered its … |
Ronald Noë; E Toby Kiers; | Trends in ecology & evolution | 2018-08-31 |
| 343 | Investor-Imitator: A Framework For Trading Knowledge Extraction IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose a reinforcement learning driven Investor-Imitator framework to formalize the trading knowledge, by imitating an investor’s behavior with a set of logic descriptors. |
Yi Ding; Weiqing Liu; Jiang Bian; Daoqiang Zhang; Tie-Yan Liu; | kdd | 2018-08-26 |
| 344 | StockAssIstant: A Stock AI Assistant For Reliability Modeling Of Stock Comments IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Based on these features, we propose an ensemble learning based approach for measuring the reliability of comments. |
CHEN ZHANG et. al. | kdd | 2018-08-26 |
| 345 | Black Magic Investigation Made Simple: Monte Carlo Simulations And Historical Back Testing Of Momentum Cross-Over Strategies Using FRACTI Patterns IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we demonstrate how a real world problem in economics, an old problem still subject to a lot of debate, can be solved by the application of a crowd-powered, collaborative scientific computational framework, fully supporting the process of investigation dictated by the modern scientific method. |
Jorge Faleiro; Edward Tsang; | arxiv-q-fin.CP | 2018-08-23 |
| 346 | Structural And Temporal Patterns Of The First Global Trading Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Little is known about the structural patterns and dynamics of the first global trading market (FGTM), which emerged during the sixteenth century as a result of the Iberian … |
Ana Sofia Ribeiro; Flávio L Pinheiro; Francisco C Santos; Amélia Polónia; Jorge M Pacheco; | Royal Society open science | 2018-08-22 |
| 347 | Optical TEMPEST IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Research on optical TEMPEST has moved forward since 2002 when the first pair of papers on the subject emerged independently and from widely separated locations in the world within … |
Joe Loughry; | arxiv-cs.CR | 2018-08-21 |
| 348 | Inventory Management For High-Frequency Trading With Imperfect Competition IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. |
Sebastian Herrmann; Johannes Muhle-Karbe; Dapeng Shang; Chen Yang; | arxiv-q-fin.TR | 2018-08-15 |
| 349 | Engineering And Economic Analysis For Electric Vehicle Charging Infrastructure — Placement, Pricing, And Market Design IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: For charging station placement problem, we propose a multi-stage consumer behavior based placement strategy with incremental EV penetration rates and model the EV charging industry as an oligopoly where the entire market is dominated by a few charging service providers (oligopolists). |
Chao Luo; | arxiv-eess.SP | 2018-08-12 |
| 350 | Phosphatase Activity And Nitrogen Fixation Reflect Species Differences, Not Nutrient Trading Or Nutrient Balance, Across Tropical Rainforest Trees IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: A fundamental biogeochemical paradox is that nitrogen-rich tropical forests contain abundant nitrogen-fixing trees, which support a globally significant tropical carbon sink. One … |
SARAH A BATTERMAN et. al. | Ecology letters | 2018-08-02 |
| 351 | Extracting The Multi-timescale Activity Patterns Of Online Financial Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Online financial markets can be represented as complex systems where trading dynamics can be captured and characterized at different resolutions and time scales. In this work, we … |
Teruyoshi Kobayashi; Anna Sapienza; Emilio Ferrara; | Scientific reports | 2018-07-25 |
| 352 | Preferences And Beliefs About Financial Risk Taking Mediate The Association Between Anterior Insula Activation And Self-reported Real-life Stock Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: People differ greatly in their financial risk taking behaviour. This heterogeneity has been associated with differences in brain activity, but only in laboratory settings using … |
Alexander N Häusler; Camelia M Kuhnen; Sarah Rudorf; Bernd Weber; | Scientific reports | 2018-07-25 |
| 353 | Learning From Peers’ Eye Movements In The Absence Of Expert Guidance: A Proof of Concept Using Laboratory Stock Trading, Eye Tracking, And Machine Learning Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Existing research shows that people can improve their decision skills by learning what experts paid attention to when faced with the same problem. However, in domains like … |
Michał Król; Magdalena Król; | Cognitive science | 2018-07-25 |
| 354 | Using Internet Search Trends And Historical Trading Data For Predicting Stock Markets By The Least Squares Support Vector Regression Model IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Historical trading data, which are inevitably associated with the framework of causality both financially and theoretically, were widely used to predict stock market values. With … |
Ping-Feng Pai; Ling-Chuang Hong; Kuo-Ping Lin; | Computational intelligence and neuroscience | 2018-07-24 |
| 355 | News-based Trading Strategies IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we design trading strategies that utilize textual news in order to obtain profits on the basis of novel information entering the market. |
Stefan Feuerriegel; Helmut Prendinger; | arxiv-q-fin.TR | 2018-07-18 |
| 356 | Optimal Credit Investment And Risk Control For An Insurer With Regime-Switching IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We characterize the optimal trading strategy of defaultable stocks and risk control for the insurer. |
Lijun Bo; Huafu Liao; Yongjin Wang; | arxiv-q-fin.MF | 2018-07-15 |
| 357 | Rebalancing Frequency Considerations For Kelly-Optimal Stock Portfolios In A Control-Theoretic Framework IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio weight selection to maximize expected logarithmic growth. |
Chung-Han Hsieh; John A. Gubner; B. Ross Barmish; | arxiv-q-fin.PM | 2018-07-13 |
| 358 | Forecasting Market States IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a novel methodology to define, analyze and forecast market states. |
Pier Francesco Procacci; Tomaso Aste; | arxiv-q-fin.ST | 2018-07-13 |
| 359 | Integrating Demand Response And Renewable Energy In Wholesale Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, a new two-stage stochastic game model is introduced to operate the electricity market, where Stochastic Stackelberg-Cournot-Nash (SSCN) equilibrium is applied to characterize the optimal energy bidding strategy of the forward market and the optimal energy trading strategy of the spot market. |
CHAOJIE LI et. al. | ijcai | 2018-07-13 |
| 360 | Bidding In Periodic Double Auctions Using Heuristics And Dynamic Monte Carlo Tree Search IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a general bidding strategy for PDAs based on forecasting clearing prices and using Monte Carlo Tree Search (MCTS) to plan a bidding strategy across multiple time periods. |
Moinul Morshed Porag Chowdhury; Christopher Kiekintveld; Son Tran; William Yeoh; | ijcai | 2018-07-13 |
| 361 | Facilitating Ontology Development With Continuous Evaluation IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we propose facilitating ontology development by constant evaluation of steps in the process of ontology development. |
Dejan Lavbič; Marjan Krisper; | arxiv-cs.SE | 2018-07-11 |
| 362 | Financial Trading As A Game: A Deep Reinforcement Learning Approach IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose an Markov Decision Process (MDP) model suitable for the financial trading task and solve it with the state-of-the-art deep recurrent Q-network (DRQN) algorithm. |
Chien Yi Huang; | arxiv-q-fin.TR | 2018-07-08 |
| 363 | Systems Of Ergodic BSDEs Arising In Regime Switching Forward Performance Processes IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \emph{ergodic BSDE systems}. |
Ying Hu; Gechun Liang; Shanjian Tang; | arxiv-math.PR | 2018-07-04 |
| 364 | A Generalized Framework For Simultaneous Long-Short Feedback Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a generalization of the Simultaneous Long-Short (SLS) trading strategy described in recent control literature wherein we allow for different parameters across the short and long sides of the controller; we refer to this new strategy as Generalized SLS (GSLS). |
Joseph D. O’Brien; Mark E. Burke; Kevin Burke; | arxiv-q-fin.TR | 2018-06-14 |
| 365 | Order-book Modelling And Market Making Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We find that incorporating some simple non-Markovian features in the limit order book greatly improves the performances of market making strategies in a realistic context. |
Xiaofei Lu; Frédéric Abergel; | arxiv-q-fin.TR | 2018-06-13 |
| 366 | ALZA: An Efficient Hybrid Decentralized Payment System IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In order to solve the efficiency problem, we proposed an end-to-end solution called ALZA, which links the dedicated high-throughput blockchain with self-organizing payment fields. |
Nate Zou; Eric Li; Henry Zhang; | arxiv-cs.DC | 2018-05-25 |
| 367 | Anticipating Cryptocurrency Prices Using Machine Learning IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal profits. |
Laura Alessandretti; Abeer ElBahrawy; Luca Maria Aiello; Andrea Baronchelli; | arxiv-physics.soc-ph | 2018-05-22 |
| 368 | Impact And Recovery Process Of Mini Flash Crashes: An Empirical Study IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast … |
Tobias Braun; Jonas A Fiegen; Daniel C Wagner; Sebastian M Krause; Thomas Guhr; | PloS one | 2018-05-21 |
| 369 | Algorithmic Trading With Fitted Q Iteration And Heston Model IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present the use of the fitted Q iteration in algorithmic trading. |
Son Le; | arxiv-q-fin.TR | 2018-05-18 |
| 370 | ‘No One To Trust’: The Cultural Embedding Of Atomism In Financial Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The paper ethnographically explores the cultural embedding of atomistic indifference in online, global financial markets: arenas that have been digitally designed according to … |
Galit Ailon; | The British journal of sociology | 2018-05-13 |
| 371 | Near Misses In Financial Trading: Skills For Capturing And Averting Error IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The aims of this study were (a) to determine whether near-miss incidents in financial trading contain information on the operator skills and systems that detect and prevent near … |
Meghan Leaver; Alex Griffiths; Tom Reader; | Human factors | 2018-05-09 |
| 372 | Quantifying Macroeconomic Expectations In Stock Markets Using Google Trends IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Among other macroeconomic indicators, the monthly release of U.S. unemployment rate figures in the Employment Situation report by the U.S. Bureau of Labour Statistics gets a lot of media attention and strongly affects the stock markets. |
Johannes Bock; | arxiv-q-fin.TR | 2018-05-01 |
| 373 | Explicit Solutions To Utility Maximization Problems In A Regime-switching Market Model Via Laplace Transforms IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study the problem of utility maximization from terminal wealth in which an agent optimally builds her portfolio by investing in a bond and a risky asset. |
Adriana Ocejo; | arxiv-q-fin.PM | 2018-04-23 |
| 374 | Optimal Liquidation Under Stochastic Price Impact IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We assume a continuous-time price impact model similar to Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlated scalar Markov diffusions. |
Weston Barger; Matthew Lorig; | arxiv-q-fin.TR | 2018-04-11 |
| 375 | The Impact Of Margin Trading On Share Price Evolution: A Cascading Failure Model Investigation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a cascading failure model and examine how an increase in margin trading increases share price vulnerability. |
Ya-Chun Gao; Huai-Lin Tang; Shi-Min Cai; Jing-Jing Gao; H. Eugene Stanley; | arxiv-q-fin.GN | 2018-04-02 |
| 376 | MOrdReD: Memory-based Ordinal Regression Deep Neural Networks For Time Series Forecasting IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work, we directly tackle this task with a novel, fully end-to-end deep learning method for time series forecasting. |
Bernardo Pérez Orozco; Gabriele Abbati; Stephen Roberts; | arxiv-stat.ML | 2018-03-26 |
| 377 | Cluster Analysis Of Stocks Using Price Movements Of High Frequency Data From National Stock Exchange IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper aims to develop new techniques to describe joint behavior of stocks, beyond regression and correlation. |
Charu Sharma; Amber Habib; Sunil Bowry; | arxiv-q-fin.ST | 2018-03-26 |
| 378 | A Generalization Of The Robust Positive Expectation Theorem For Stock Trading Via Feedback Control IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Whereas previous work applies to a single stock, in this paper, we consider a pair of stocks. |
Atul Deshpande; B. Ross Barmish; | arxiv-q-fin.ST | 2018-03-12 |
| 379 | Mean Field Games With Partial Information For Algorithmic Trading IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where all agents filter the latent states of the world, and their trading actions have permanent and temporary price impact. |
Philippe Casgrain; Sebastian Jaimungal; | arxiv-q-fin.MF | 2018-03-11 |
| 380 | Optimal Portfolio Design For Statistical Arbitrage In Finance IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, the optimal mean-reverting portfolio (MRP) design problem is considered, which plays an important role for the statistical arbitrage (a.k.a. pairs trading) strategy in financial markets. |
Ziping Zhao; Rui Zhou; Zhongju Wang; Daniel P. Palomar; | arxiv-q-fin.PM | 2018-03-08 |
| 381 | Itô Integrals For Fractional Brownian Motion And Applications To Option Pricing IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we develop an It\^o type integration theory for fractional Brownian motions with Hurst parameter $H\in(\frac{1}{3},\frac{1}{2})$ via rough path theory. |
Zhongmin Qian; Xingcheng Xu; | arxiv-math.PR | 2018-03-01 |
| 382 | Input-output Maps Are Strongly Biased Towards Simple Outputs Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Many systems in nature can be described using discrete input-output maps. Without knowing details about a map, there may seem to be no a priori reason to expect that a randomly … |
Kamaludin Dingle; Chico Q Camargo; Ard A Louis; | Nature communications | 2018-02-22 |
| 383 | Simple Bounds for Utility Maximization with Small Transaction Costs IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Using elementary arguments, we show how to derive $\mathbf{L}_p$-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. |
Bruno Bouchard; Johannes Muhle-Karbe; | arxiv-q-fin.PM | 2018-02-16 |
| 384 | Optimal Inventory Management And Order Book Modeling IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. |
Nicolas Baradel; Bruno Bouchard; David Evangelista; Othmane Mounjid; | arxiv-q-fin.TR | 2018-02-16 |
| 385 | Livestock Disease Management For Trading Across Different Regulatory Regimes IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The maintenance of livestock health depends on the combined actions of many different actors, both within and across different regulatory frameworks. Prior work recognised that … |
ANDREW M BATE et. al. | EcoHealth | 2018-02-12 |
| 386 | Structural Estimation Of Behavioral Heterogeneity IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We develop a behavioral asset pricing model in which agents trade in a market with information friction. |
Zhentao Shi; Huanhuan Zheng; | arxiv-q-fin.TR | 2018-02-11 |
| 387 | A Time-Varying Network for Cryptocurrencies Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We develop a dynamic covariate-assisted spectral clustering method to consistently estimate the latent community structure of cryptocurrencies network that accounts for both sets of information. |
Li Guo; Wolfgang Karl Härdle; Yubo Tao; | arxiv-stat.ME | 2018-02-11 |
| 388 | Deep Hedging IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods. |
Hans Bühler; Lukas Gonon; Josef Teichmann; Ben Wood; | arxiv-q-fin.CP | 2018-02-08 |
| 389 | Algorithmic Bidding For Virtual Trading In Electricity Markets IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: An online learning algorithm is proposed to maximize the cumulative payoff over a finite number of trading sessions by allocating the trader’s budget among his bids for K options in each session. |
Sevi Baltaoglu; Lang Tong; Qing Zhao; | arxiv-cs.GT | 2018-02-08 |
| 390 | The Power Of Trading Polarity: Evidence From China Stock Market Crash IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper investigates a unique transaction dataset that enables us to inspect the imbalance of buying and selling on the man-times level at high frequency, what we call ‘trading polarity’, for a large cross-section of stocks from Shenzhen Stock Exchange. |
Shan Lu; Jichang Zhao; Huiwen Wang; | arxiv-q-fin.CP | 2018-02-04 |
| 391 | Generalised Lyapunov Functions And Functionally Generated Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper investigates the dependence of functional portfolio generation, introduced by Fernholz (1999), on an extra finite variation process. |
Johannes Ruf; Kangjianan Xie; | arxiv-q-fin.MF | 2018-01-23 |
| 392 | At What Frequency Should The Kelly Bettor Bet? IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study the problem of optimizing the betting frequency in a dynamic game setting using Kelly’s celebrated expected logarithmic growth criterion as the performance metric. |
Chung-Han Hsieh; B. Ross Barmish; John A. Gubner; | arxiv-math.OC | 2018-01-20 |
| 393 | Ergodic Robust Maximization Of Asymptotic Growth IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. |
Constantinos Kardaras; Scott Robertson; | arxiv-q-fin.PM | 2018-01-19 |
| 394 | Social Network Based Short-Term Stock Trading System IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper proposes a novel adaptive algorithm for the automated short-term trading of financial instrument. |
PAOLO CREMONESI et. al. | arxiv-cs.SI | 2018-01-16 |
| 395 | Predict Forex Trend Via Convolutional Neural Networks IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: People draw intuitive conclusions from trading charts; this study uses the characteristics of deep learning to train computers in imitating this kind of intuition in the context of trading charts. |
Yun-Cheng Tsai; Jun-Hao Chen; Jun-Jie Wang; | arxiv-cs.CE | 2018-01-09 |
| 396 | Trading The Twitter Sentiment With Reinforcement Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper is to explore the possibility to use alternative data and artificial intelligence techniques to trade stocks. |
Catherine Xiao; Wanfeng Chen; | arxiv-cs.AI | 2018-01-07 |
| 397 | Can Twitter Help Predict Firm-Level Earnings and Stock Returns? IF:4 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: ABSTRACT: Prior research has examined how companies exploit Twitter in communicating with investors, and whether Twitter activity predicts the stock market as a whole. We test … |
Eli Bartov; Lucile Faurel; Partha S. Mohanram; | The Accounting Review | 2018-01-01 |
| 398 | High Frequency Market Making to Large Institutional Trades IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: We study high-frequency trader (HFT) marker maker behavior in the presence of large trade packages. HFTs lose money on trading and make money from liquidity rebates. HFT liquidity … |
Robert A. Korajczyk; Dermot Murphy; | Capital Markets: Market Microstructure eJournal | 2018-01-01 |
| 399 | Characterization Of River Networks: A GIS Approach And Its Applications IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Fluvial geomorphology provides the basis for characterizing complex river networks and evaluating biophysical processes within watersheds. Understanding the spatial organization … |
Martin Thoms; Murray Scown; Joseph Flotemersch; | Journal of the American Water Resources Association | 2018-01-01 |
| 400 | Algorithmic Financial Trading with Deep Convolutional Neural Networks: Time Series to Image Conversion Approach Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Abstract Computational intelligence techniques for financial trading systems have always been quite popular. In the last decade, deep learning models start getting more attention, … |
Omer Berat Sezer; A. Murat Ozbayoglu; | Appl. Soft Comput. | 2018-01-01 |
| 401 | Optimal Timing To Trade Along A Randomized Brownian Bridge IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We model the underlying asset price evolution by an exponential randomized Brownian bridge (rBb) and consider various prior distributions for the random endpoint. |
Tim Leung; Jiao Li; Xin Li; | arxiv-q-fin.MF | 2017-12-31 |
| 402 | Stock Price Prediction Via Discovering Multi-Frequency Trading Patterns IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To address them, we propose a novel State Frequency Memory (SFM) recurrent network to capture the multi-frequency trading patterns from past market data to make long and short term predictions over time. |
Liheng Zhang; Charu Aggarwal; Guo-Jun Qi; | kdd | 2017-12-30 |
| 403 | Random Projection Design For Scalable Implicit Smoothing Of Randomly Observed Stochastic Processes IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we present a novel estimator for cross-covariance of randomly observed time series which unravels the dynamics of an unobserved stochastic process. |
Francois Belletti; Evan Sparks; Alexandre Bayen; Joseph Gonzalez; | aistats | 2017-12-30 |
| 404 | PrivySense: $\underline{Pri}$ce $\underline{V}$olatilit$\underline{y}$ Based $\underline{Sen}$timent$\underline{s}$ $\underline{E}$stimation From Financial News Using Machine Learning IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we introduce $\underline{a\ novel\ technique\ of\ using\ price\ volatilities\ to\ empirically\ determine\ the\ sentiment\ in\ news\ data}$, instead of the traditional reverse approach. |
Raeid Saqur; Nicole Langballe; | arxiv-q-fin.CP | 2017-12-30 |
| 405 | An Artificial Neural Network-based Stock Trading System Using Technical Analysis And Big Data Framework IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, a neural network-based stock price prediction and trading system using technical analysis indicators is presented. |
O. B. Sezer; M. Ozbayoglu; E. Dogdu; | arxiv-cs.CE | 2017-12-27 |
| 406 | Trading Strategies With Position Limits IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Whether you trade futures for yourself or a hedge fund, your strategy is counted. Long and short position limits make the number of unique strategies finite. Formulas of the … |
Valerii Salov; | arxiv-q-fin.GN | 2017-12-19 |
| 407 | The Relationship Between Trading Volumes, Number Of Transactions, And Stock Volatility In GARCH Models IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. |
Tetsuya Takaishi; Ting Ting Chen; | arxiv-q-fin.ST | 2017-12-18 |
| 408 | Investigating Gender Differences Under Time Pressure In Financial Risk Taking IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: There is a significant gender imbalance on financial trading floors. This motivated us to investigate gender differences in financial risk taking under pressure. We used a … |
Zhixin Xie; Lionel Page; Ben Hardy; | Frontiers in behavioral neuroscience | 2017-12-15 |
| 409 | QLBS: Q-Learner In The Black-Scholes(-Merton) Worlds IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper presents a discrete-time option pricing model that is rooted in Reinforcement Learning (RL), and more specifically in the famous Q-Learning method of RL. |
Igor Halperin; | arxiv-q-fin.CP | 2017-12-13 |
| 410 | A Computing Platform For Pairs-trading Online Implementation Via A Blended Kalman-HMM Filtering Approach IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This paper addresses the problem of designing an efficient platform for pairs-trading implementation in real time. Capturing the stylised features of a spread process, i.e., the … |
Anton Tenyakov; Rogemar Mamon; | Journal of big data | 2017-12-11 |
| 411 | Temporal Attention Augmented Bilinear Network For Financial Time-Series Data Analysis Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose a neural network layer architecture that incorporates the idea of bilinear projection as well as an attention mechanism that enables the layer to detect and focus on crucial temporal information. |
Dat Thanh Tran; Alexandros Iosifidis; Juho Kanniainen; Moncef Gabbouj; | arxiv-cs.CE | 2017-12-04 |
| 412 | Asymmetry Of Price Returns-Analysis And Perspectives From A Non-extensive Statistical Physics Point Of View Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: We study how the approach grounded on non-extensive statistical physics can be applied to describe and distinguish different stages of the stock and money market development. A … |
Łukasz Bil; Dariusz Grech; Magdalena Zienowicz; | PloS one | 2017-11-30 |
| 413 | OSTSC: Over Sampling For Time Series Classification In R IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This article provides a brief overview of the oversampling methodology implemented by the package. To demonstrate the performance impact of OSTSC, we then provide two medium size imbalanced time series datasets. |
Matthew Dixon; Diego Klabjan; Lan Wei; | arxiv-stat.CO | 2017-11-27 |
| 414 | Partially Observed Functional Data: The Case Of Systematically Missing Parts IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: An extensive simulation study compares the new estimators with the classical estimators from the literature in different missing data scenarios. |
Dominik Liebl; Stefan Rameseder; | arxiv-stat.ME | 2017-11-21 |
| 415 | The Machine In The Market: Computers And The Infrastructure Of Price At The New York Stock Exchange, 1965-1975 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This article traces the development and expansion of early computer systems for managing and disseminating ‘real-time’ market data at the most influential stock market in the … |
Devin Kennedy; | Social studies of science | 2017-11-17 |
| 416 | Forecasting Dynamic Return Distributions Based On Ordered Binary Choice IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a simple approach to forecasting conditional probability distributions of asset returns. |
Stanislav Anatolyev; Jozef Barunik; | arxiv-q-fin.ST | 2017-11-15 |
| 417 | Kyle-Back Equilibrium Models And Linear Conditional Mean-field SDEs IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we study the Kyle-Back strategic insider trading equilibrium model in which the insider has an instantaneous information on an asset, assumed to follow an Ornstein-Uhlenback-type dynamics that allows possible influence by the market price. |
Jin Ma; Rentao Sun; Yonghui Zhou; | arxiv-math.PR | 2017-11-08 |
| 418 | A Numerical Scheme For A Singular Control Problem: Investment-Consumption Under Proportional Transaction Costs IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a numerical method which is composed of Monte Carlo simulation to take advantage of the high-dimensional properties and finite difference method to approximate the gradients of the value function. |
Arash Fahim; Wan-Yu Tsai; | arxiv-q-fin.PM | 2017-11-02 |
| 419 | A Mathematical Analysis Of Technical Analysis IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. |
Matthew Lorig; Zhou Zhou; Bin Zou; | arxiv-q-fin.MF | 2017-10-25 |
| 420 | Time Series Prediction : Predicting Stock Price IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we present four models to predict the stock price using the SPX index as input time series data. |
Aaron Elliot; Cheng Hua Hsu; | arxiv-stat.ML | 2017-10-16 |
| 421 | On Drawdown-Modulated Feedback Control In Stock Trading IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: With the aid of this lemma, we introduce a new scheme which we call the drawdown-modulated feedback control. |
Chung-Han Hsieh; B. Ross Barmish; | arxiv-math.OC | 2017-10-04 |
| 422 | Bayesian Fused Lasso Regression For Dynamic Binary Networks IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a multinomial logistic regression model for link prediction in a time series of directed binary networks. |
Brenda Betancourt; Abel Rodríguez; Naomi Boyd; | arxiv-stat.AP | 2017-10-03 |
| 423 | Investigating Competition In Financial Markets: A Sparse Autologistic Model For Dynamic Network Data IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We develop a sparse autologistic model for investigating the impact of diversification and disintermediation strategies in the evolution of financial trading networks. |
Brenda Betancourt; Abel Rodríguez; Naomi Boyd; | arxiv-stat.AP | 2017-10-03 |
| 424 | Modelling And Prediction Of Financial Trading Networks: An Application To The NYMEX Natural Gas Futures Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In contrast, this paper develops novel statistical methods for modeling sequences of financial trading networks. |
Brenda Betancourt; Abel Rodríguez; Naomi Boyd; | arxiv-stat.AP | 2017-10-03 |
| 425 | Neural Correlates Of Direct Access Trading In A Real Stock Market: An FMRI Investigation IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: While financial decision making has been barely explored, no study has previously investigated the neural correlates of individual decisions made by professional traders involved … |
GianMario Raggetti; Maria G Ceravolo; Lucrezia Fattobene; Cinzia Di Dio; | Frontiers in neuroscience | 2017-09-29 |
| 426 | Pricing Derivatives In Hermite Markets Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. |
Stoyan V. Stoyanov; Svetlozar T. Rachev; Stefan Mittnik; Frank J. Fabozzi; | arxiv-q-fin.MF | 2017-09-26 |
| 427 | Market Dynamics. On A Muse Of Cash Flow And Liquidity Deficit IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We demonstrate that the concept of price impact is poorly applicable to market dynamics. |
Vladislav Gennadievich Malyshkin; | arxiv-q-fin.TR | 2017-09-20 |
| 428 | Reinforcement Learning For Constrained Energy Trading Games With Incomplete Information IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This paper considers the problem of designing adaptive learning algorithms to seek the Nash equilibrium (NE) of the constrained energy trading game among individually strategic … |
Huiwei Wang; Tingwen Huang; Xiaofeng Liao; Haitham Abu-Rub; Guo Chen; | IEEE transactions on cybernetics | 2017-09-09 |
| 429 | Winning Investment Strategies Based On Financial Crisis Indicators IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The aim of this work is to create systematic trading strategies built upon several financial crisis indicators based on the spectral properties of market dynamics. |
Antoine Kornprobst; | arxiv-q-fin.MF | 2017-09-08 |
| 430 | The Microstructure Of High Frequency Markets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a novel approach to describing the microstructure of high frequency trading using two key elements. |
Rene Carmona; Kevin Webster; | arxiv-q-fin.TR | 2017-09-06 |
| 431 | Tensor Representation In High-Frequency Financial Data For Price Change Prediction IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this work, we investigate the effectiveness of two multilinear methods for the mid-price prediction problem against other existing methods. |
Dat Thanh Tran; Martin Magris; Juho Kanniainen; Moncef Gabbouj; Alexandros Iosifidis; | arxiv-cs.CE | 2017-09-05 |
| 432 | Stock Trading Via Feedback Control: Stochastic Model Predictive Or Genetic? IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We seek a discussion about the most suitable feedback control structure for stock trading under the consideration of proportional transaction costs. |
Mogens Graf Plessen; Alberto Bemporad; | arxiv-cs.CE | 2017-08-29 |
| 433 | On The Existence Of Sure Profits Via Flash Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies. |
Claudio Fontana; Markus Pelger; Eckhard Platen; | arxiv-q-fin.TR | 2017-08-10 |
| 434 | Intraday Seasonalities And Nonstationarity Of Trading Volume In Financial Markets: Collective Features IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Employing Random Matrix Theory and Principal Component Analysis techniques, we enlarge our work on the individual and cross-sectional intraday statistical properties of trading … |
Michelle B Graczyk; Sílvio M Duarte Queirós; | PloS one | 2017-07-28 |
| 435 | A Formal Approach To The Problem Of Logical Non-Omniscience IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present the logical induction criterion for computable algorithms that assign probabilities to every logical statement in a given formal language, and refine those probabilities over time. |
Scott Garrabrant; Tsvi Benson-Tilsen; Andrew Critch; Nate Soares; Jessica Taylor; | arxiv-cs.LO | 2017-07-27 |
| 436 | Agent Inspired Trading Using Recurrent Reinforcement Learning And LSTM Neural Networks IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we will walk through possible concepts to achieve robo-like trading or advising. |
David W. Lu; | arxiv-q-fin.CP | 2017-07-23 |
| 437 | Impact And Recovery Process Of Mini Flash Crashes: An Empirical Study IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a detailed study of Ultrafast Extreme Events in stock market data. |
Tobias Braun; Jonas A. Fiegen; Daniel C. Wagner; Sebastian M. Krause; Thomas Guhr; | arxiv-q-fin.TR | 2017-07-18 |
| 438 | Sequence Classification Of The Limit Order Book Using Recurrent Neural Networks IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: This paper solves a sequence classification problem in which a short sequence of observations of limit order book depths and market orders is used to predict a next event price-flip. |
Matthew F Dixon; | arxiv-q-fin.TR | 2017-07-14 |
| 439 | Mean Reversion Trading With Sequential Deadlines And Transaction Costs IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. |
Yerkin Kitapbayev; Tim Leung; | arxiv-q-fin.TR | 2017-07-11 |
| 440 | Option Pricing And Hedging For Discrete Time Autoregressive Hidden Markov Model IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. |
Massimo Caccia; Bruno Rémillard; | arxiv-q-fin.PR | 2017-07-06 |
| 441 | You Are In A Drawdown. When Should You Start Worrying? Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this note, we give a quantitative answer to this question based on the exact probability distributions for the length and depth of the last drawdown for upward drifting Brownian motions. |
Adam Rej; Philip Seager; Jean-Philippe Bouchaud; | arxiv-q-fin.PM | 2017-07-05 |
| 442 | Joint Optimal Pricing And Electrical Efficiency Enforcement For Rational Agents In Micro Grids Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In contrast with the existing literature, where energy trading and electrical optimization of the grid are often treated separately or the trading strategy is tailored to a specific electrical optimization objective, in this work we consider their joint optimization. |
Riccardo Bonetto; Michele Rossi; Stefano Tomasin; Carlo Fischione; | arxiv-cs.SY | 2017-06-29 |
| 443 | Risk Constrained Trading Strategies For Stochastic Generation With A Single-Price Balancing Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: A case study using data from the GB market in the UK is presented and the ability of the proposed strategies to increase revenue and reduce risk is demonstrated and analysed. |
Jethro Browell; | arxiv-q-fin.GN | 2017-06-23 |
| 444 | Mining Features Associated With Effective Tweets IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Through the mining of 122 million engagements of 2.5 million original tweets, we present a systematic review of tweet time, entities, composition, and user account features. |
Jian Xu; Nitesh Chawla; | arxiv-cs.SI | 2017-06-22 |
| 445 | Stop-loss And Leverage In Optimal Statistical Arbitrage With An Application To Energy Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. |
Roberto Baviera; Tommaso Santagostino Baldi; | arxiv-q-fin.PM | 2017-06-21 |
| 446 | Complex Correlation Approach For High Frequency Financial Data IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a novel approach that allows to calculate Hilbert transform based complex correlation for unevenly spaced data. |
Mateusz Wilinski; Yuichi Ikeda; Hideaki Aoyama; | arxiv-q-fin.ST | 2017-06-20 |
| 447 | Optimal Online Two-way Trading With Bounded Number Of Transactions IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. |
Stanley P. Y. Fung; | arxiv-cs.DS | 2017-06-16 |
| 448 | Optimal Portfolio Under Fast Mean-reverting Fractional Stochastic Environment IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we analyze the nonlinear optimal portfolio allocation problem under this model and in the regime where the fOU process is fast mean-reverting. |
Jean-Pierre Fouque; Ruimeng Hu; | arxiv-q-fin.PM | 2017-06-09 |
| 449 | A Peak Price Tracking-Based Learning System For Portfolio Selection IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: We propose a novel linear learning system based on the peak price tracking (PPT) strategy for portfolio selection (PS). Recently, the topic of tracking control attracts intensive … |
Zhao-Rong Lai; Dao-Qing Dai; Chuan-Xian Ren; Ke-Kun Huang; | IEEE transactions on neural networks and learning systems | 2017-06-07 |
| 450 | What Can I Do When He/she Doesn’t Want To Eat?: Maternal Strategies For Ensure Children’s Food Consumption In Early Childhood Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: This cross-sectional analysis aimed to analyze the strategies used by mothers of children aged 2-3 to ensure their food consumption as well as to investigate the maternal and … |
Mônica Cristina Broilo; Márcia Regina Vitolo; Lucia Marques Stenzel; Daniela Centenaro Levandowski; | Appetite | 2017-06-01 |
| 451 | Non-Markovian Control With Gated End-to-End Memory Policy Networks IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we explore the use of a recently proposed attention-based model, the Gated End-to-End Memory Network, for sequential control. |
Julien Perez; Tomi Silander; | arxiv-stat.ML | 2017-05-31 |
| 452 | Dynamic Index Tracking And Risk Exposure Control Using Derivatives IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of derivatives in order to gain exposure to an index and/or market factors that may be not directly tradable. |
Tim Leung; Brian Ward; | arxiv-q-fin.MF | 2017-05-30 |
| 453 | Deep Learning For Spatio-Temporal Modeling: Dynamic Traffic Flows And High Frequency Trading IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Our goal is to develop and train deep learning architectures for spatio-temporal modeling. |
Matthew F. Dixon; Nicholas G. Polson; Vadim O. Sokolov; | arxiv-stat.ML | 2017-05-27 |
| 454 | Stock Trading Using PE Ratio: A Dynamic Bayesian Network Modeling On Behavioral Finance And Fundamental Investment IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The purpose of this research is to formalize a process of fundamental PE estimation by employing advanced dynamic Bayesian network (DBN) methodology. |
Haizhen Wang; Ratthachat Chatpatanasiri; Pairote Sattayatham; | arxiv-cs.CE | 2017-05-25 |
| 455 | Quantifying The Effect Of Investors’ Attention On Stock Market Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The investors’ attention has been extensively used to predict the stock market. Different from existing proxies of the investors’ attention, such as the Google trends, Baidu index … |
Zhen-Hua Yang; Jian-Guo Liu; Chang-Rui Yu; Jing-Ti Han; | PloS one | 2017-05-23 |
| 456 | Sensitivity Analysis Of The Utility Maximization Problem With Respect To Model Perturbations Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: If a risk-tolerance wealth process exists, using it as a num\’eraire and under an appropriate change of measure, we reduce the approximation problem to a Kunita-Watanabe decomposition. |
Oleksii Mostovyi; Mihai Sîrbu; | arxiv-q-fin.PM | 2017-05-23 |
| 457 | Modeling Automation With Cognitive Work Analysis To Support Human-Automation Coordination IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Cognitive work analysis is useful to develop displays for complex situations, but it has not been well explored in providing support for human-automation coordination. To fill … |
Yeti Li; Catherine M Burns; | Journal of cognitive engineering and decision making | 2017-05-22 |
| 458 | Using Macroeconomic Forecasts To Improve Mean Reverting Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield … |
Yash Sharma; | arxiv-q-fin.TR | 2017-05-22 |
| 459 | Wealth Dynamics In A Sentiment-driven Market IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. |
Mikhail Goykhman; | arxiv-q-fin.TR | 2017-05-19 |
| 460 | Duality For Pathwise Superhedging In Continuous Time IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We provide a model-free pricing-hedging duality in continuous time. |
Daniel Bartl; Michael Kupper; David J. Prömel; Ludovic Tangpi; | arxiv-q-fin.MF | 2017-05-08 |
| 461 | Run-time Reconfigurable Acceleration For Genetic Programming Fitness Evaluation In Trading Strategies IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Genetic programming can be used to identify complex patterns in financial markets which may lead to more advanced trading strategies. However, the computationally intensive nature … |
Andreea-Ingrid Funie; Paul Grigoras; Pavel Burovskiy; Wayne Luk; Mark Salmon; | Journal of signal processing systems | 2017-05-08 |
| 462 | A Decentralized Trading Algorithm For An Electricity Market With Generation Uncertainty IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose a day-ahead decentralized energy trading algorithm for a grid with generation uncertainty. |
Shahab Bahrami; M. Hadi Amini; | arxiv-cs.SY | 2017-05-07 |
| 463 | A Decentralized Framework For Real-Time Energy Trading In Distribution Networks With Load And Generation Uncertainty IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we propose a decentralized energy trading algorithm that can be executed by the entities in a real-time fashion. |
Shahab Bahrami; M. Hadi Amini; | arxiv-cs.SY | 2017-05-07 |
| 464 | A Fundamental Theorem Of Asset Pricing For Continuous Time Large Financial Markets In A Two Filtration Setting IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $ 1 \leq p < \infty$. |
Christa Cuchiero; Irene Klein; Josef Teichmann; | arxiv-q-fin.MF | 2017-05-05 |
| 465 | Algorithmic Trading In A Microstructural Limit Order Book Model IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). |
Frédéric Abergel; Côme Huré; Huyên Pham; | arxiv-q-fin.TR | 2017-05-03 |
| 466 | Multi-Period Trading Via Convex Optimization IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We describe a framework for single-period optimization, where the trades in each period are found by solving a convex optimization problem that trades off expected return, risk, transaction cost and holding cost such as the borrowing cost for shorting assets. |
STEPHEN BOYD et. al. | arxiv-q-fin.PM | 2017-04-28 |
| 467 | Incorporating Signals Into Optimal Trading IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The inclusion of signals (i.e. short term predictors of price dynamics) in optimal trading is a recent development and it is also the subject of this work. |
Charles-Albert Lehalle; Eyal Neuman; | arxiv-q-fin.TR | 2017-04-03 |
| 468 | How Wave – Wavelet Trading Wins And Beats The Market Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: The purpose of this paper is to showcase trading strategies that give solutions to three difficult and intriguing problems in business finance, economics and statistics. |
Lanh Tran; | arxiv-q-fin.TR | 2017-04-02 |
| 469 | Application Of A Shallow Neural Network To Short-Term Stock Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: To demonstrate the applicability of a neural network in stock trading, we made a single-layer neural network that recommends buying or selling shares of a stock by comparing the highest high of 10 consecutive days with that of the next 10 days, a process repeated for the stock’s year-long historical data. |
Abhinav Madahar; Yuze Ma; Kunal Patel; | arxiv-cs.NE | 2017-03-30 |
| 470 | Analysis Of Realized Volatility For Nikkei Stock Average On The Tokyo Stock Exchange IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. |
Tetsuya Takaishi; Toshiaki Watanabe; | arxiv-q-fin.ST | 2017-03-27 |
| 471 | Optimal Portfolio Under Fractional Stochastic Environment IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, starting with power utilities, we propose to use a martingale distortion representation of the optimal value function for the nonlinear asset allocation problem in a (non-Markovian) fractional stochastic environment (for all Hurst index $H \in (0,1)$). |
Jean-Pierre Fouque; Ruimeng Hu; | arxiv-q-fin.MF | 2017-03-20 |
| 472 | Uncertainty Analysis For Effluent Trading Planning Using A Bayesian Estimation-based Simulation-optimization Modeling Approach IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: In this study, a Bayesian estimation-based simulation-optimization modeling approach (BESMA) is developed for identifying effluent trading strategies. BESMA incorporates nutrient … |
J L Zhang; Y P Li; G H Huang; B W Baetz; J Liu; | Water research | 2017-03-06 |
| 473 | Optimal Investment Problem With M-CEV Model: Closed Form Solution And Applications To The Algorithmic Trading IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Using Laplace transform we obtain explicit expression for optimal strategy in terms of confluent hypergeometric functions. |
Dmitry Muravey; | arxiv-q-fin.MF | 2017-03-05 |
| 474 | An Evolutionarily Stable Strategy And The Critical Point Of Hog Futures Trading Entities Based On Replicator Dynamic Theory: 2006-2015 Data For China’s 22 Provinces Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: Although frequent fluctuations in domestic hog prices seriously affect the stability and robustness of the hog supply chain, hog futures (an effective hedging instrument) have not … |
Jinbo Pang; Lingfei Deng; Gangyi Wang; | PloS one | 2017-02-27 |
| 475 | An Evolutionary Method For Financial Forecasting In Microscopic High-Speed Trading Environment IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The advancement of information technology in financial applications nowadays have led to fast market-driven events that prompt flash decision-making and actions issued by computer … |
Chien-Feng Huang; Hsu-Chih Li; | Computational intelligence and neuroscience | 2017-02-20 |
| 476 | Mobile Data Trading: Behavioral Economics Analysis And Algorithm Design IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Motivated by the recently launched mobile data trading markets (e.g., China Mobile Hong Kong’s 2nd exChange Market), in this paper we study the mobile data trading problem under the future data demand uncertainty. |
Junlin Yu; Man Hon Cheung; Jianwei Huang; H. Vincent Poor; | arxiv-cs.GT | 2017-02-09 |
| 477 | Energy Trading Between Microgrids Individual Cost Minimization And Social Welfare Maximization IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Through theoretical analysis, we demonstrate that individual MG can achieve a time average energy cost close to offline optimum with tradeoff between storage capacity and energy trading cost. |
ZHENYU QIAO et. al. | arxiv-cs.SY | 2017-02-09 |
| 478 | Perfect Hedging Under Endogenous Permanent Market Impacts IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: Under this market impact model, we introduce a completeness condition under which any derivative can be perfectly replicated by a dynamic trading strategy. |
Masaaki Fukasawa; Mitja Stadje; | arxiv-q-fin.MF | 2017-02-05 |
| 479 | Dynamic Portfolio Strategy Using Clustering Approach IF:3 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Abstract: The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying … |
FEI REN et. al. | PloS one | 2017-01-27 |
| 480 | Optimal Trading With A Trailing Stop IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: In this paper, we study the problem of timing buy and then sell an asset subject to a trailing stop. |
Tim Leung; Hongzhong Zhang; | arxiv-q-fin.MF | 2017-01-14 |
| 481 | Trading Strategies For Stock Pairs Regarding To The Cross-impact Cost IF:2 Related Papers Related Patents Related Grants Related Orgs Related Experts Details Highlight: We extend the framework of trading strategies of Gatheral [2010] from single stocks to a pair of stocks. |
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