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

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

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

Title Author(s) Highlight Category Date
1 Beating The Market With A Bad Predictive Model ONDŘEJ HUBÁČEK et. al. 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. CS.arxiv 2020-10-23
2 On The Impact Of Publicly Available News And Information Transfer To Financial Markets METOD JAZBEC et. al. 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. FINANCE.arxiv 2020-10-22
3 Adversarial Attacks On Deep Algorithmic Trading Policies YASER FAGHAN et. al. 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. CS.arxiv 2020-10-21
4 When Bots Take Over The Stock Market: Evasion Attacks Against Algorithmic Traders ELIOR NEHEMYA et. al. 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. FINANCE.arxiv 2020-10-19
5 Equilibrium Price In Intraday Electricity Markets RENÉ AID et. al. We formulate an equilibrium model of intraday trading in electricity markets. FINANCE.arxiv 2020-10-19
6 Price Forecast With High-Frequency Finance Data: An Autoregressive Recurrent Neural Network Model With Technical Indicators YUECHUN GU et. al. 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. CS.cikm 2020-10-19
7 Tail-risk Protection: Machine Learning Meets Modern Econometrics BRUNO SPILAK et. al. 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. FINANCE.arxiv 2020-10-07
8 GRETA: Graph-based Real-time Event Trend Aggregation OLGA POPPE et. al. 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. CS.arxiv 2020-10-06
9 Event Trend Aggregation Under Rich Event Matching Semantics OLGA POPPE et. al. Event Trend Aggregation Under Rich Event Matching Semantics CS.arxiv 2020-10-06
10 Optimal Liquidation In A Mean-reverting Portfolio RICCARDO CESARI et. al. In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. MATH.arxiv 2020-10-06
11 DoubleEnsemble: A New Ensemble Method Based On Sample Reweighting And Feature Selection For Financial Data Analysis CHUHENG ZHANG et. al. To address these issues, we propose DoubleEnsemble, an ensemble framework leveraging learning trajectory based sample reweighting and shuffling based feature selection. CS.arxiv 2020-10-02
12 Investor Sentiment And Trading Behavior GIOVANNI CAMPISI et. al. Investor Sentiment And Trading Behavior Chaos (Woodbury, N.Y.) 2020-10-02
13 Gold Standard Pairs Trading Rules: Are They Valid? MIROSLAV FIL We employ the most common distance and cointegration methods on US equities from 1990 to 2020 including the Covid-19 crisis. FINANCE.arxiv 2020-10-02
14 Competitive Algorithms For The Online Multiple Knapsack Problem With Application To Electric Vehicle Charging BO SUN et. al. 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. CS.arxiv 2020-10-01
15 Uncovering Feature Interdependencies In Complex Systems With Non-Greedy Random Forests DELILAH DONICK et. al. Uncovering Feature Interdependencies In Complex Systems With Non-Greedy Random Forests CS.arxiv 2020-09-30
16 On Detecting Spoofing Strategies In High Frequency Trading XUAN TAO et. al. We present a micro-structural study of spoofing in a simple static setting. FINANCE.arxiv 2020-09-30
17 High-Frequency Trading On Decentralized On-Chain Exchanges LIYI ZHOU et. al. 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. CS.arxiv 2020-09-29
18 Micro-level Transmission Of Monetary Policy Shocks: The Trading Book Channel THIAGO CHRISTIANO SILVA et. al. Micro-level Transmission Of Monetary Policy Shocks: The Trading Book Channel Journal of economic behavior & organization 2020-09-23
19 Machine Learning Classification Of Price Extrema Based On Market Microstructure Features: A Case Study Of S&P500 E-mini Futures ARTUR SOKOLOVSKY et. al. The study introduces an automated trading system for S\&P500 E-mini futures (ES) based on state-of-the-art machine learning. FINANCE.arxiv 2020-09-21
20 A Bounded Operator Approach To Technical Indicators Without Lag FRÉDÉRIC BUTIN 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 $l^\infty(\mathbb{N})$. FINANCE.arxiv 2020-09-18
21 Solving The Optimal Trading Trajectory Problem Using Simulated Bifurcation KYLE STEINHAUER et. al. Inspired by such we apply the SB approach to the portfolio integer optimization problem with quantity constraints and trading activities. FINANCE.arxiv 2020-09-17
22 Which Trading Agent Is Best? Using A Threaded Parallel Simulation Of A Financial Market Changes The Pecking-Order MICHAEL ROLLINS et. al. 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. FINANCE.arxiv 2020-09-15
23 Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies ALLA A. PETUKHINA et. al. 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. FINANCE.arxiv 2020-09-09
24 Measuring Liquidity In Indian Stock Market: A Dimensional Perspective PRIYANKA NAIK et. al. Measuring Liquidity In Indian Stock Market: A Dimensional Perspective PloS one 2020-09-04
25 Nonparametric Predictive Inference For Asian Options TING HE In this paper, we present a novel approach to price the Asian option from an imprecise statistical aspect. FINANCE.arxiv 2020-08-29
26 Predicting Conversions In Display Advertising Based On URL Embeddings YANG QIU et. al. In this study, we introduce and examine different models for estimating the probability of a user converting, given their history of visited URLs. CS.arxiv 2020-08-27
27 TradAO: A Visual Analytics System For Trading Algorithm Optimization KA WING TSANG et. al. With the wide applications of algorithmic trading, it has become critical for traders to build a winning trading algorithm to beat the market. CS.arxiv 2020-08-25
28 Adaptive Trading Strategies Across Liquidity Pools BASTIEN BALDACCI et. al. In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. FINANCE.arxiv 2020-08-18
29 A Free Boundary Problem Arising From A Multi-state Regime-switching Stock Trading Model CHONGHU GUAN et. al. 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. MATH.arxiv 2020-08-17
30 Investment Sizing With Deep Learning Prediction Uncertainties For High-frequency Eurodollar Futures Trading TRENT SPEARS et. al. 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. FINANCE.arxiv 2020-07-31
31 Detecting Bearish And Bullish Markets In Financial Time Series Using Hierarchical Hidden Markov Models LENNART OELSCHLÄGER et. al. 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. STATISTICS.arxiv 2020-07-29
32 Insider Trading With Temporary Price Impact WESTON BARGER et. al. 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. FINANCE.arxiv 2020-07-28
33 Data-Driven Market-Making Via Model-Free Learning YUEYANG ZHONG et. al. 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. CS.ijcai 2020-07-21
34 F-HMTC: Detecting Financial Events For Investment Decisions Based On Neural Hierarchical Multi-Label Text Classification XIN LIANG et. al. 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. CS.ijcai 2020-07-21
35 Risk-Averse Trust Region Optimization For Reward-Volatility Reduction LORENZO BISI et. al. 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. CS.ijcai 2020-07-21
36 Does The Adaptive Market Hypothesis Explain The Evolution Of Emerging Markets Efficiency? Evidence From The Moroccan Financial Market MOSTAFA LEKHAL et. al. Does The Adaptive Market Hypothesis Explain The Evolution Of Emerging Markets Efficiency? Evidence From The Moroccan Financial Market Heliyon 2020-07-17
37 Duality Theory For Robust Utility Maximization DANIEL BARTL et. al. In this paper we present a duality theory for the robust utility maximization problem in continuous time for utility functions defined on the positive real axis. FINANCE.arxiv 2020-07-16
38 Discounting Damage: Non-Linear Discounting And Default Compensation. Valuation Of Non-Replicable Value And Damage CHRISTIAN P. FRIES In this short note we develop a model for discounting. FINANCE.arxiv 2020-07-13
39 Deep Learning Modeling Of Limit Order Book: A Comparative Perspective ANTONIO BRIOLA et. al. 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. FINANCE.arxiv 2020-07-12
40 Improving The Robustness Of Trading Strategy Backtesting With Boltzmann Machines And Generative Adversarial Networks EDMOND LEZMI et. al. The article proposes then a new approach for estimating the probability distribution of backtest statistics. CS.arxiv 2020-07-09
41 Loss Aversion And Market Crashes SAMUEL OUZAN Loss Aversion And Market Crashes Economic modelling 2020-07-07
42 The Microscopic Relationships Between Triangular Arbitrage And Cross-currency Correlations In A Simple Agent Based Model Of Foreign Exchange Markets ALBERTO CIACCI et. al. The Microscopic Relationships Between Triangular Arbitrage And Cross-currency Correlations In A Simple Agent Based Model Of Foreign Exchange Markets PloS one 2020-06-24
43 Optimal Trading With Differing Trade Signals RYAN DONNELLY et. al. 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. FINANCE.arxiv 2020-06-24
44 A General Solution Method For Insider Problems FRANCOIS COCQUEMAS et. al. 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. FINANCE.arxiv 2020-06-16
45 Liquidity Provider Returns In Geometric Mean Markets ALEX EVANS Using these expressions, we show how to create G3Ms whose LP shares replicate the payoffs of financial derivatives. FINANCE.arxiv 2020-06-15
46 The Importance Of Low Latency To Order Book Imbalance Trading Strategies DAVID BYRD et. al. 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. FINANCE.arxiv 2020-06-15
47 Numerical Simulation Of Exchange Option With Finite Liquidity: Controlled Variate Model KEVIN S. ZHANG et. al. 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. FINANCE.arxiv 2020-06-13
48 Quant Bust 2020 ZURA KAKUSHADZE 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. FINANCE.arxiv 2020-06-09
49 An Overall View Of Key Problems In Algorithmic Trading And Recent Progress MICHAËL KARPE 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. FINANCE.arxiv 2020-06-09
50 Price Trailing For Financial Trading Using Deep Reinforcement Learning AVRAAM TSANTEKIDIS et. al. Price Trailing For Financial Trading Using Deep Reinforcement Learning IEEE transactions on neural networks and learning systems 2020-06-09
51 Multi-Agent Reinforcement Learning In A Realistic Limit Order Book Market Simulation MICHAËL KARPE et. al. In this paper, we propose a model-free approach by training Reinforcement Learning (RL) agents in a realistic market simulation environment with multiple agents. FINANCE.arxiv 2020-06-09
52 Deep Stock Predictions AKASH DOSHI et. al. 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. CS.arxiv 2020-06-08
53 Shallow Neural Hawkes: Non-parametric Kernel Estimation For Hawkes Processes SOBIN JOSEPH et. al. 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. STATISTICS.arxiv 2020-06-03
54 No Arbitrage In Insurance And The QP-rule PHILIPPE ARTZNER et. al. Utilizing the theory of enlargements of filtrations we construct a tractable framework for general valuation results, working under weak assumptions. FINANCE.arxiv 2020-05-22
55 A Computational Approach To Hedging Credit Valuation Adjustment In A Jump-Diffusion Setting T. VAN DER ZWAARD et. al. 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. FINANCE.arxiv 2020-05-21
56 Pricing Barrier Options With DeepBSDEs NARAYAN GANESAN et. al. 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). FINANCE.arxiv 2020-05-21
57 Pairs Trading With Nonlinear And Non-Gaussian State Space Models GUANG ZHANG We model the spread between the prices of two assets as an unobservable state variable and assume that it follows a mean-reverting process. FINANCE.arxiv 2020-05-19
58 Data Augmentation For Deep Candlestick Learner CHIA-YING TSAO et. al. Here we propose a Modified Local Search Attack Sampling method to augment the candlestick data, which is a very important tool for professional trader. CS.arxiv 2020-05-14
59 The Disposition Effect In A Scopic Regime: Data From A Laboratory Experiment MINH-LÝ LIÊU et. al. The Disposition Effect In A Scopic Regime: Data From A Laboratory Experiment Data in brief 2020-05-12
60 No-arbitrage Concepts In Topological Vector Lattices ECKHARD PLATEN et. al. 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. MATH.arxiv 2020-05-11
61 The Convergence Rate From Discrete To Continuous Optimal Investment Stopping Problem DINGQIAN SUN 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. FINANCE.arxiv 2020-04-30
62 A Stochastic LQR Model For Child Order Placement In Algorithmic Trading JACKIE JIANHONG SHEN 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. FINANCE.arxiv 2020-04-28
63 Generalization Of Affine Feedback Stock Trading Results To Include Stop-Loss Orders CHUNG-HAN HSIEH Generalization Of Affine Feedback Stock Trading Results To Include Stop-Loss Orders MATH.arxiv 2020-04-27
64 Threshold-Adjusted ORB Strategies With Genetic Algorithm And Protective Closing Strategy On Taiwan Futures Market J. SYU et. al. In this paper, we adjust thresholds through historical data to enhance profitability, and design protective closing strategy to prevent unacceptable losses. CS.icassp 2020-04-26
65 CORRGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks G. MARTI We propose a novel approach for sampling realistic financial correlation matrices. CS.icassp 2020-04-26
66 Necessary And Sufficient Conditions For Frequency-Based Kelly Optimal Portfolio CHUNG-HAN HSIEH 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. MATH.arxiv 2020-04-25
67 Trading Foreign Exchange Triplets ÁLVARO CARTEA et. al. We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. FINANCE.arxiv 2020-04-24
68 A Trend-following Trading Indicator On Homomorphically Encrypted Data HAOTIAN WENG et. al. 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. CS.arxiv 2020-04-24
69 Clustering Volatility Regimes For Dynamic Trading Strategies GILAD FRANCIS et. al. We develop a new method to find the number of volatility regimes in a non-stationary financial time series. FINANCE.arxiv 2020-04-21
70 Forecasting Directional Movements Of Stock Prices For Intraday Trading Using LSTM And Random Forests PUSHPENDU GHOSH et. al. 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. CS.arxiv 2020-04-21
71 Extending Deep Reinforcement Learning Frameworks In Cryptocurrency Market Making JONATHAN SADIGHIAN 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.). FINANCE.arxiv 2020-04-15
72 XChange: A Blockchain-based Mechanism For Generic Asset Trading In Resource-constrained Environments MARTIJN DE VOS et. al. In this work, we address this shortcoming and present XChange. CS.arxiv 2020-04-10
73 QuantNet: Transferring Learning Across Systematic Trading Strategies ADRIANO KOSHIYAMA et. al. 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. CS.arxiv 2020-04-07
74 An Application Of Deep Reinforcement Learning To Algorithmic Trading THIBAUT THÉATE et. al. 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. FINANCE.arxiv 2020-04-07
75 Instabilities In Multi-Asset And Multi-Agent Market Impact Games FRANCESCO CORDONI et. al. We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash equilibria. FINANCE.arxiv 2020-04-07
76 Privacy-aware Data Trading SHENGLING WANG et. al. In this paper, we investigate the privacy leakage issue from the root source. CS.arxiv 2020-03-30
77 Evolutionary Disruption Of S&P 500 Trading Concentration: An Intriguing Tale Of A Financial Innovation S GOWRI SHANKAR et. al. Evolutionary Disruption Of S&P 500 Trading Concentration: An Intriguing Tale Of A Financial Innovation PloS one 2020-03-24
78 A Closed-form Solution For Optimal Mean-reverting Trading Strategies ALEXANDER LIPTON et. al. This paper develops an analytical framework and derives those optimal levels by using the method of heat potentials. FINANCE.arxiv 2020-03-23
79 Old Problems, Classical Methods, New Solutions ALEXANDER LIPTON 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. FINANCE.arxiv 2020-03-15
80 Deep Deterministic Portfolio Optimization AYMAN CHAOUKI et. al. The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading environments. FINANCE.arxiv 2020-03-13
81 Equations And Shape Of The Optimal Band Strategy JOACHIM DE LATAILLADE et. al. We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. FINANCE.arxiv 2020-03-10
82 Bridging The Gap Between Theory And Practice On Insertion-Intensive Database SEPANTA ZEIGHAMI et. al. 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. CS.arxiv 2020-03-02
83 Empirical Analysis Of Indirect Internal Conversions In Cryptocurrency Exchanges PAZ GRIMBERG et. al. 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. FINANCE.arxiv 2020-02-27
84 Using Reinforcement Learning In The Algorithmic Trading Problem EVGENY PONOMAREV et. al. Using Reinforcement Learning In The Algorithmic Trading Problem FINANCE.arxiv 2020-02-26
85 Stability Of The Indirect Utility Process OLEKSII MOSTOVYI We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. MATH.arxiv 2020-02-21
86 Adversarial Attacks On Machine Learning Systems For High-Frequency Trading MICAH GOLDBLUM et. al. We introduce new attacks specific to this domain with size constraints that minimize attack costs. CS.arxiv 2020-02-21
87 Optimal Signal-Adaptive Trading With Temporary And Transient Price Impact EYAL NEUMAN et. al. We formulate this problem as minimization of a cost-risk functional over a class of absolutely continuous and signal-adaptive strategies. FINANCE.arxiv 2020-02-21
88 Deep Learning For Asset Bubbles Detection OKSANA BASHCHENKO et. al. We develop a methodology for detecting asset bubbles using a neural network. FINANCE.arxiv 2020-02-15
89 Adaptive Quantitative Trading: An Imitative Deep Reinforcement Learning Approach YANG LIU et. al. To address the challenges, we propose an adaptive trading model, namely iRDPG, to automatically develop QT strategies by an intelligent trading agent. CS.aaai 2020-02-07
90 Shoreline: Data-Driven Threshold Estimation Of Online Reserves Of Cryptocurrency Trading Platforms XITONG ZHANG et. al. 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. CS.aaai 2020-02-07
91 On The Equivalence Between Value-at-Risk And Expected Shortfall In Non-concave Optimization AN CHEN et. al. 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. MATH.arxiv 2020-02-06
92 Beyond Skill Scores: Exploring Sub-seasonal Forecast Value Through A Case Study Of French Month-ahead Energy Prediction JOSHUA DORRINGTON et. al. 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. PHYSICS.arxiv 2020-02-05
93 NAPLES;Mining The Lead-lag Relationship From Non-synchronous And High-frequency Data KATSUYA ITO et. al. In this paper, we propose NAPLES (Negative And Positive lead-lag EStimator), a new statistical measure that resolves all these problems. FINANCE.arxiv 2020-02-03
94 Sentiment And Knowledge Based Algorithmic Trading With Deep Reinforcement Learning ABHISHEK NAN et. al. 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. CS.arxiv 2020-01-26
95 Marked Point Processes And Intensity Ratios For Limit Order Book Modeling IOANE MUNI TOKE et. al. This paper extends the analysis of Muni Toke and Yoshida (2020) to the case of marked point processes. FINANCE.arxiv 2020-01-23
96 Forecasting Stock Prices With Long-short Term Memory Neural Network Based On Attention Mechanism JIAYU QIU et. al. Forecasting Stock Prices With Long-short Term Memory Neural Network Based On Attention Mechanism PloS one 2020-01-03
97 A Gated Recurrent Unit Approach To Bitcoin Price Prediction ANIRUDDHA DUTTA et. al. 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. FINANCE.arxiv 2019-12-23
98 Design Of High-Frequency Trading Algorithm Based On Machine Learning BOYUE FANG et. al. 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. FINANCE.arxiv 2019-12-21
99 Evolving Ab Initio Trading Strategies In Heterogeneous Environments DAVID RUSHING DEWHURST et. al. 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. CS.arxiv 2019-12-19
100 Extended Weak Convergence And Utility Maximization With Proportional Transaction Costs ERHAN BAYRAKTAR et. al. In this paper we study utility maximization with proportional transaction costs. FINANCE.arxiv 2019-12-18
101 A Posteriori Trading-inspired Model-free Time Series Segmentation MOGENS GRAF PLESSEN Within the context of multivariate time series segmentation this paper proposes a method inspired by a posteriori optimal trading. STATISTICS.arxiv 2019-12-16
102 Portfolio Liquidation Under Transient Price Impact — Theoretical Solution And Implementation With 100 NASDAQ Stocks YING CHEN et. al. We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. FINANCE.arxiv 2019-12-13
103 Get Real: Realism Metrics For Robust Limit Order Book Market Simulations SVITLANA VYETRENKO et. al. Our paper provides a comprehensive catalog of these metrics including mathematical formulations where appropriate. FINANCE.arxiv 2019-12-10
104 To Snipe Or Not To Snipe, That Is The Question! Transitions In Sniping Behaviour Among Competing Algorithmic Traders SOMAYEH KOKABISAGHI et. al. In this paper we extend the investigation into the transition from sure to probabilistic sniping as introduced in Menkveld and Zoican \cite{mz2017}. FINANCE.arxiv 2019-12-09
105 Leakage Of Rank-dependent Functionally Generated Trading Strategies KANGJIANAN XIE This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. FINANCE.arxiv 2019-12-09
106 Fools Rush In: Competitive Effects Of Reaction Time In Automated Trading HENRY HANIFAN et. al. Here, we introduce increasingly realistic models of trading speed and profile the computation times of a suite of eminent trading algorithms from the literature. CS.arxiv 2019-12-05
107 Cryptocurrency Price Prediction And Trading Strategies Using Support Vector Machines DAVID ZHAO et. al. Using historical data from July 2015 to November 2019, we develop a large number of technical indicators to capture patterns in the cryptocurrency market. FINANCE.arxiv 2019-11-26
108 A Singular Stochastic Control Approach For Optimal Pairs Trading With Proportional Transaction Costs HAIPENG XING 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. FINANCE.arxiv 2019-11-23
109 Deep Reinforcement Learning For Trading ZIHAO ZHANG et. al. We adopt Deep Reinforcement Learning algorithms to design trading strategies for continuous futures contracts. FINANCE.arxiv 2019-11-22
110 Deep Hedging: Learning To Simulate Equity Option Markets MAGNUS WIESE et. al. We construct realistic equity option market simulators based on generative adversarial networks (GANs). FINANCE.arxiv 2019-11-05
111 A Multi-Scale Temporal Feature Aggregation Convolutional Neural Network For Portfolio Management SI SHI et. al. 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. CS.cikm 2019-11-03
112 Deep Convolutional Autoencoder For Cryptocurrency Market Analysis VLADIMIR PUZYREV This study attempts to analyze patterns in cryptocurrency markets using a special type of deep neural networks, namely a convolutional autoencoder. CS.arxiv 2019-10-27
113 CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks GAUTIER MARTI We propose a novel approach for sampling realistic financial correlation matrices. FINANCE.arxiv 2019-10-21
114 Optimal Dynamic Futures Portfolio In A Regime-Switching Market Framework TIM LEUNG et. al. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach to determine the optimal futures trading strategy. FINANCE.arxiv 2019-10-14
115 Optimal Trading Of A Basket Of Futures Contracts BAHMAN ANGOSHTARI et. al. 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. FINANCE.arxiv 2019-10-10
116 Deep Architectures For Long-term Stock Price Prediction With A Heuristic-based Strategy For Trading Simulations CATALIN STOEAN et. al. Deep Architectures For Long-term Stock Price Prediction With A Heuristic-based Strategy For Trading Simulations PloS one 2019-10-10
117 Do Speed Bumps Curb Low-latency Trading? Evidence From A Laboratory Market MARIANA KHAPKO et. al. We find that asymmetric speed bumps, on average, reduce investment in speed by only 20%. FINANCE.arxiv 2019-10-07
118 Mechanics Of Good Trade Execution In The Framework Of Linear Temporary Market Impact CLAUDIO BELLANI et. al. 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. FINANCE.arxiv 2019-09-23
120 Concepts, Components And Collections Of Trading Strategies And Market Color RAVI KASHYAP 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. FINANCE.arxiv 2019-09-20
121 Revisiting The Use Of Web Search Data For Stock Market Movements XU ZHONG et. al. Revisiting The Use Of Web Search Data For Stock Market Movements Scientific reports 2019-09-18
122 Validating Weak-form Market Efficiency In United States Stock Markets With Trend Deterministic Price Data And Machine Learning SAMUEL SHOWALTER et. al. This study endeavors to connect existing econometric research on weak-form efficient markets with data science innovations in algorithmic trading. FINANCE.arxiv 2019-09-11
123 Reinforcement Learning: Prediction, Control And Value Function Approximation HAOQIAN LI et. al. 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. FINANCE.arxiv 2019-08-28
124 A Comparative Study On The Routing Problem Of Electric And Fuel Vehicles Considering Carbon Trading WENZHU LIAO et. al. A Comparative Study On The Routing Problem Of Electric And Fuel Vehicles Considering Carbon Trading International journal of environmental research and public health 2019-08-27
125 Classification Of Position Management Strategies At The Order-book Level And Their Influences On Future Market-price Formation TAKUMI SUESHIGE et. al. Classification Of Position Management Strategies At The Order-book Level And Their Influences On Future Market-price Formation PloS one 2019-08-23
126 Fitness Preferential Attachment As A Driving Mechanism In Bitcoin Transaction Network AYANA ASPEMBITOVA et. al. Fitness Preferential Attachment As A Driving Mechanism In Bitcoin Transaction Network PloS one 2019-08-23
127 Intra-day Equity Price Prediction Using Deep Learning As A Measure Of Market Efficiency DAVID BYRD et. al. In this paper we show that, to the contrary, future intra-day stock prices could be predicted effectively until 2009. FINANCE.arxiv 2019-08-21
128 Mean-variance Hedging Of Unit Linked Life Insurance Contracts In A Jump-diffusion Model FRANK BOSSERHOFF et. al. We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. FINANCE.arxiv 2019-08-15
129 The Heterogeneous Effects Of Exchange Rate And Stock Market On CO2 Emission Allowance Price In China: A Panel Quantile Regression Approach XIAOJIAN SU et. al. The Heterogeneous Effects Of Exchange Rate And Stock Market On CO2 Emission Allowance Price In China: A Panel Quantile Regression Approach PloS one 2019-08-13
130 Random Walk Model From The Point Of View Of Algorithmic Trading OLEH DANYLIV et. al. In this paper we present an exact solution for the cost of the static passive slice execution. FINANCE.arxiv 2019-08-12
131 Cap-and-Trade Emissions Regulation: A Strategic Analysis FRANK CHENG et. al. 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. CS.ijcai 2019-08-09
132 CLVSA: A Convolutional LSTM Based Variational Sequence-to-Sequence Model With Attention For Predicting Trends Of Financial Markets JIA WANG et. al. 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. CS.ijcai 2019-08-09
133 Latency And Liquidity Risk ÁLVARO CARTEA et. al. We employ techniques of variational analysis to obtain the optimal price limit of each MLO the agent sends. FINANCE.arxiv 2019-08-08
134 An Instantaneous Market Volatility Estimation OLEH DANYLIV et. al. Working on different aspects of algorithmic trading we empirically discovered a new market invariant. FINANCE.arxiv 2019-08-07
135 Taxable Stock Trading With Deep Reinforcement Learning SHAN HUANG In this paper, we propose stock trading based on the average tax basis. FINANCE.arxiv 2019-07-28
136 What You Say And How You Say It Matters: Predicting Stock Volatility Using Verbal And Vocal Cues YU QIN et. al. 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. CS.acl 2019-07-28
137 Liquid Speed: On-Demand Fast Trading At Distributed Exchanges MICHAEL BROLLEY et. al. We build a model of decentralized exchanges (DEX) with flexible capacity. FINANCE.arxiv 2019-07-24
138 Trading Via Image Classification NAFTALI COHEN et. al. 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. CS.arxiv 2019-07-23
139 A Note On Universal Bilinear Portfolios ALEX GARIVALTIS 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. FINANCE.arxiv 2019-07-23
140 Generalized Statistical Arbitrage Concepts And Related Gain Strategies CHRISTIAN REIN et. al. Relaxing these notions further we introduce generalized profitable strategies which include also static or semi-static strategies. FINANCE.arxiv 2019-07-22
141 The Impact Of Execution Delay On Kelly-Based Stock Trading: High-Frequency Versus Buy And Hold CHUNG-HAN HSIEH et. al. 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. MATH.arxiv 2019-07-20
142 Stochastic Spread Pairs Trading In The Indian Commodity Market DHRUV MAHAJAN et. al. In this study, we applied a stochastic spread pairs trading strategy on the Indian commodity market. FINANCE.arxiv 2019-07-19
143 Capturing Financial Markets To Apply Deep Reinforcement Learning SOURADEEP CHAKRABORTY 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. FINANCE.arxiv 2019-07-09
144 An Intelligent Financial Portfolio Trading Strategy Using Deep Q-learning HYUNGJUN PARK et. al. 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. FINANCE.arxiv 2019-07-08
145 HyperPubSub: Blockchain Based Publish/Subscribe GEWU BU et. al. 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. CS.arxiv 2019-07-08
146 Learning Threshold-Type Investment Strategies With Stochastic Gradient Method ZSOLT NIKA et. al. 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. FINANCE.arxiv 2019-07-04
147 Are Cryptocurrency Traders Pioneers Or Just Risk-seekers? Evidence From Brokerage Accounts MATTHIAS PELSTER et. al. 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. FINANCE.arxiv 2019-06-27
148 Factors Influencing Pharmaceutical Pricing – A Scoping Review Of Academic Literature In Health Science MARIA ANGELICA BORGES DOS SANTOS et. al. Factors Influencing Pharmaceutical Pricing – A Scoping Review Of Academic Literature In Health Science Journal of pharmaceutical policy and practice 2019-06-27
149 How To Evaluate Trading Strategies: Single Agent Market Replay Or Multiple Agent Interactive Simulation? TUCKER HYBINETTE BALCH et. al. We describe our approach in detail, and illustrate its use in an example application: The evaluation of market impact for various size orders. FINANCE.arxiv 2019-06-27
150 Time Scales In Stock Markets AJIT MAHATA et. al. 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). FINANCE.arxiv 2019-06-13
151 Selecting Stock Pairs For Pairs Trading While Incorporating Lead-lag Relationship KARTIKAY GUPTA et. al. 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. FINANCE.arxiv 2019-06-12
152 Enhanced Optimization With Composite Objectives And Novelty Pulsation HORMOZ SHAHRZAD et. al. In fact, our method so far has established a new world record for the 20-lines sorting network with 91 comparators. CS.arxiv 2019-06-07
153 Mycorrhizal Fungi Respond To Resource Inequality By Moving Phosphorus From Rich To Poor Patches Across Networks MATTHEW D WHITESIDE et. al. Mycorrhizal Fungi Respond To Resource Inequality By Moving Phosphorus From Rich To Poor Patches Across Networks Current biology : CB 2019-06-06
154 Optimal Dynamic Strategies On Gaussian Returns NICK FIROOZYE et. al. Optimal Dynamic Strategies On Gaussian Returns FINANCE.arxiv 2019-05-31
155 What Role Should Government Play In The Personal Carbon Trading Market: Motivator Or Punisher? DAOYAN GUO et. al. What Role Should Government Play In The Personal Carbon Trading Market: Motivator Or Punisher? International journal of environmental research and public health 2019-05-29
156 Risk Equivalence As An Alternative To Balancing Mean Value When Trading Draft Selections And Players In Major Sporting Leagues GEOFFREY N TUCK et. al. Risk Equivalence As An Alternative To Balancing Mean Value When Trading Draft Selections And Players In Major Sporting Leagues PloS one 2019-05-24
157 Optimal Multi-asset Trading With Linear Costs: A Mean-field Approach MATT EMSCHWILLER et. al. 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. FINANCE.arxiv 2019-05-12
158 Deep Reinforcement Learning For Financial Trading Using Price Trailing K. S. ZARKIAS et. al. 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. CS.icassp 2019-05-11
159 A Class Of Recursive Optimal Stopping Problems With Applications To Stock Trading KATIA COLANERI et. al. In this paper we introduce and solve a class of optimal stopping problems of recursive type. MATH.arxiv 2019-05-07
160 Avoiding Backtesting Overfitting By Covariance-Penalties: An Empirical Investigation Of The Ordinary And Total Least Squares Cases ADRIANO KOSHIYAMA et. al. Avoiding Backtesting Overfitting By Covariance-Penalties: An Empirical Investigation Of The Ordinary And Total Least Squares Cases FINANCE.arxiv 2019-05-01
161 Agent-Based Simulations Of Blockchain Protocols Illustrated Via Kadena’s Chainweb TARUN CHITRA et. al. In this paper, we describe a system for simulating how adversarial agents, both economically rational and Byzantine, interact with a blockchain protocol. CS.arxiv 2019-04-29
162 Deep Q-Learning For Nash Equilibria: Nash-DQN PHILIPPE CASGRAIN et. al. Here, we develop a new data efficient Deep-Q-learning methodology for model-free learning of Nash equilibria for general-sum stochastic games. CS.arxiv 2019-04-23
163 Formalization Of Automated Trading Systems In A Concurrent Linear Framework ILIANO CERVESATO et. al. We present a declarative and modular specification of an automated trading system (ATS) in the concurrent linear framework CLF. CS.arxiv 2019-04-15
164 Optimal Behaviour In Solar Renewable Energy Certificate (SREC) Markets ARVIND SHRIVATS et. al. In this work, we formulate a stochastic control problem for generating and trading in SREC markets from a regulated firm’s perspective. FINANCE.arxiv 2019-04-12
165 Cooperative Multi-Agent Reinforcement Learning Framework For Scalping Trading UK JO et. al. Cooperative Multi-Agent Reinforcement Learning Framework For Scalping Trading CS.arxiv 2019-03-31
166 Market Making Under A Weakly Consistent Limit Order Book Model BARON LAW et. al. 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. FINANCE.arxiv 2019-03-17
167 Financial Trading Model With Stock Bar Chart Image Time Series With Deep Convolutional Neural Networks OMER BERAT SEZER et. al. We propose a novel algorithmic trading model CNN-BI (Convolutional Neural Network with Bar Images) using a 2-D Convolutional Neural Network. CS.arxiv 2019-03-11
168 Learning The Dynamics Of Technical Trading Strategies NICHOLAS MURPHY et. al. The work aims to explore and better understand the interplay between different technical trading strategies from a data-informed perspective. FINANCE.arxiv 2019-03-06
169 Three Different Ways Synchronization Can Cause Contagion In Financial Markets NAJI MASSAD et. al. 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. FINANCE.arxiv 2019-02-27
170 Working Paper: Improved Stock Price Forecasting Algorithm Based On Feature-weighed Support Vector Regression By Using Grey Correlation Degree QUANXI WANG This paper aims to improve the accuracy of stock price forecasting. FINANCE.arxiv 2019-02-24
171 Robust Asset Allocation For Robo-Advisors THIBAULT BOURGERON et. al. 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. FINANCE.arxiv 2019-02-20
172 Forecasting Stock Prices With A Feature Fusion LSTM-CNN Model Using Different Representations Of The Same Data TAEWOOK KIM et. al. Forecasting Stock Prices With A Feature Fusion LSTM-CNN Model Using Different Representations Of The Same Data PloS one 2019-02-15
173 Selection Of The Optimal Trading Model For Stock Investment In Different Industries DONGDONG LV et. al. Selection Of The Optimal Trading Model For Stock Investment In Different Industries PloS one 2019-02-13
174 Wikipedia And Digital Currencies: Interplay Between Collective Attention And Market Performance ABEER ELBAHRAWY et. al. We consider the entire edit history of currency-related pages, and their view history from July 2015. PHYSICS.arxiv 2019-02-12
175 A Simple Statistical Approach To Prediction In Open High Dimensional Chaotic Systems M. LUVALLE 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. STATISTICS.arxiv 2019-02-12
176 High-performance Stock Index Trading: Making Effective Use Of A Deep LSTM Neural Network CHARITON CHALVATZIS et. al. 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. FINANCE.arxiv 2019-02-07
177 Clustering Patterns In Efficiency And The Coming-of-age Of The Cryptocurrency Market HIGOR Y D SIGAKI et. al. Clustering Patterns In Efficiency And The Coming-of-age Of The Cryptocurrency Market Scientific reports 2019-02-05
178 Equilibrium Asset Pricing With Transaction Costs MARTIN HERDEGEN et. al. We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. FINANCE.arxiv 2019-01-30
179 Model-based Deep Reinforcement Learning For Dynamic Portfolio Optimization PENGQIAN YU et. al. 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. CS.arxiv 2019-01-24
180 Instantaneous Arbitrage And The CAPM LARS TYGE NIELSEN This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. FINANCE.arxiv 2019-01-15
181 Sutte Indicator: An Approach To Predict The Direction Of Stock Market Movements ANSARI SALEH AHMAR Sutte Indicator: An Approach To Predict The Direction Of Stock Market Movements FINANCE.arxiv 2019-01-13
182 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 INGEBORG ROSSOW et. al. 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 BMC public health 2019-01-09
183 Preliminary Findings On Cryptocurrency Trading Among Regular Gamblers: A New Risk For Problem Gambling? DEVIN J MILLS et. al. Preliminary Findings On Cryptocurrency Trading Among Regular Gamblers: A New Risk For Problem Gambling? Addictive behaviors 2019-01-08
184 Generative Adversarial Networks For Financial Trading Strategies Fine-Tuning And Combination ADRIANO KOSHIYAMA et. al. Therefore, our work proposes the use of Conditional Generative Adversarial Networks (cGANs) for trading strategies calibration and aggregation. CS.arxiv 2019-01-07
185 Clustering Patterns In Efficiency And The Coming-of-age Of The Cryptocurrency Market HIGOR Y. D. SIGAKI et. al. Clustering Patterns In Efficiency And The Coming-of-age Of The Cryptocurrency Market FINANCE.arxiv 2019-01-03
186 Energy Crowdsourcing And Peer-to-Peer Energy Trading In Blockchain-Enabled Smart Grids SHEN WANG et. al. An operational model of CESs in distribution networks is presented considering various types of energy trading transactions and crowdsourcees. CS.arxiv 2019-01-03
187 Equilibrium Price And Optimal Insider Trading Strategy Under Stochastic Liquidity With Long Memory BEN-ZHANG YANG et. al. 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. FINANCE.arxiv 2019-01-02
188 Understanding What Drives Bitcoin Trading Activities NATALIA JERDACK et. al. Understanding What Drives Bitcoin Trading Activities CS.arxiv 2018-12-27
189 Closed-Loop Hierarchical Operation For Optimal Unit Commitment And Dispatch In Microgrids: A Hybrid System Approach FANGYUAN LI et. al. 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). MATH.arxiv 2018-12-24
190 A New Approach To Learning In Dynamic Bayesian Networks (DBNs) E. BENHAMOU et. al. In this paper, we revisit the parameter learning problem, namely the estimation of model parameters for Dynamic Bayesian Networks (DBNs). CS.arxiv 2018-12-21
191 Investigating Limit Order Book Characteristics For Short Term Price Prediction: A Machine Learning Approach FAISAL I QURESHI Investigating Limit Order Book Characteristics For Short Term Price Prediction: A Machine Learning Approach FINANCE.arxiv 2018-12-20
192 Evaluating The Building Blocks Of A Dynamically Adaptive Systematic Trading Strategy SONAM SRIVASTAVA et. al. 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. FINANCE.arxiv 2018-12-06
193 Verlässliche Software Im 21. Jahrhundert STEFAN WAGNER et. al. In this paper, we discuss challenges and research directions imposed by these new areas on guaranteeing the dependability. CS.arxiv 2018-12-04
194 Risky Business: Data On Trading Results For UK General Insurance Firms During And After The Global Financial Crisis OLUWASOYE P MAFIMISEBI Risky Business: Data On Trading Results For UK General Insurance Firms During And After The Global Financial Crisis Data in brief 2018-11-26
195 The Anatomy Of A Cryptocurrency Pump-and-Dump Scheme JIAHUA XU et. al. 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. FINANCE.arxiv 2018-11-25
196 Estimation Of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data With Application To Intraday Pairs Trading Strategy VLADIMÍR HOLÝ et. al. 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. FINANCE.arxiv 2018-11-22
197 The Value Of Forecasts: Quantifying The Economic Gains Of Accurate Quarter-hourly Electricity Price Forecasts CHRISTOPHER KATH et. al. We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. FINANCE.arxiv 2018-11-21
198 Practical Deep Reinforcement Learning Approach For Stock Trading ZHUORAN XIONG et. al. We explore the potential of deep reinforcement learning to optimize stock trading strategy and thus maximize investment return. CS.arxiv 2018-11-19
199 Cross-Sectional Variation Of Intraday Liquidity, Cross-Impact, And Their Effect On Portfolio Execution SEUNGKI MIN et. al. In this paper, we investigate the consequences of such portfolio liquidity on price impact and portfolio execution. FINANCE.arxiv 2018-11-13
200 Optimal Trading Using Signals HADRIEN DE MARCH et. al. 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. FINANCE.arxiv 2018-11-08
201 Using Stock Prices As Ground Truth In Sentiment Analysis To Generate Profitable Trading Signals ELLIE BIRBECK et. al. 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. CS.arxiv 2018-11-07
202 Deep Learning Can Replicate Adaptive Traders In A Limit-Order-Book Financial Market ARTHUR LE CALVEZ et. al. 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. CS.arxiv 2018-11-07
203 Multi-channel Discourse As An Indicator For Bitcoin Price And Volume Movements MARVIN ARON KENNIS Multi-channel Discourse As An Indicator For Bitcoin Price And Volume Movements FINANCE.arxiv 2018-11-06
204 A Stochastic Control Approach To Managed Futures Portfolios TIM LEUNG et. al. We study a stochastic control approach to managed futures portfolios. FINANCE.arxiv 2018-11-05
205 Online Learning Algorithms For Statistical Arbitrage CHRISTOPHER MOHRI 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. CS.arxiv 2018-10-31
206 Tracing Transactions Across Cryptocurrency Ledgers HAAROON YOUSAF et. al. In this paper, weuse data scraped from ShapeShift over a thirteen-monthperiod and the data from eight different blockchains to explore this question. CS.arxiv 2018-10-30
207 Optimal Execution Strategy With An Uncertain Volume Target JULIEN VAES et. al. 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. FINANCE.arxiv 2018-10-28
208 Global Closed-form Approximation Of Free Boundary For Optimal Investment Stopping Problems JINGTANG MA et. al. In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. FINANCE.arxiv 2018-10-22
209 Intraday Seasonalities And Nonstationarity Of Trading Volume In Financial Markets: Individual And Cross-Sectional Features MICHELLE B GRACZYK et. al. Intraday Seasonalities And Nonstationarity Of Trading Volume In Financial Markets: Individual And Cross-Sectional Features FINANCE.arxiv 2018-10-21
210 Mean-Field Games With Differing Beliefs For Algorithmic Trading PHILIPPE CASGRAIN et. al. Under some mild assumptions, we construct the solution in terms of expectations of the filtered states. FINANCE.arxiv 2018-10-14
211 Super-Replication Of The Best Pairs Trade In Hindsight ALEX GARIVALTIS 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. FINANCE.arxiv 2018-10-04
212 Multilinear Superhedging Of Lookback Options ALEX GARIVALTIS 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. FINANCE.arxiv 2018-10-04
213 Trading Strategies Generated Pathwise By Functions Of Market Weights IOANNIS KARATZAS et. al. 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. FINANCE.arxiv 2018-09-26
214 Data And Spectrum Trading Policies In A Trusted Cognitive Dynamic Network B. LORENZO et. al. 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). CS.arxiv 2018-09-24
215 BSE: A Minimal Simulation Of A Limit-Order-Book Stock Exchange DAVE CLIFF 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. CS.arxiv 2018-09-17
216 Optimal Dynamic Basis Trading BAHMAN ANGOSHTARI et. al. We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. FINANCE.arxiv 2018-09-16
217 VLSTM: Very Long Short-Term Memory Networks For High-Frequency Trading PRAKHAR GANESH et. al. We propose very-long short term memory networks, or VLSTMs, to deal with such extreme length sequences. CS.arxiv 2018-09-05
218 Enhancing Stock Market Prediction With Extended Coupled Hidden Markov Model Over Multi-Sourced Data XI ZHANG et. al. Enhancing Stock Market Prediction With Extended Coupled Hidden Markov Model Over Multi-Sourced Data FINANCE.arxiv 2018-09-02
219 Investor-Imitator: A Framework For Trading Knowledge Extraction YI DING et. al. 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. CS.kdd 2018-08-26
220 StockAssIstant: A Stock AI Assistant For Reliability Modeling Of Stock Comments CHEN ZHANG et. al. Based on these features, we propose an ensemble learning based approach for measuring the reliability of comments. CS.kdd 2018-08-26
221 Black Magic Investigation Made Simple: Monte Carlo Simulations And Historical Back Testing Of Momentum Cross-Over Strategies Using FRACTI Patterns JORGE FALEIRO et. al. 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. FINANCE.arxiv 2018-08-23
222 Optical TEMPEST JOE LOUGHRY Optical TEMPEST CS.arxiv 2018-08-21
223 Inventory Management For High-Frequency Trading With Imperfect Competition SEBASTIAN HERRMANN et. al. We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. FINANCE.arxiv 2018-08-15
224 Engineering And Economic Analysis For Electric Vehicle Charging Infrastructure — Placement, Pricing, And Market Design CHAO LUO 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). EESS.arxiv 2018-08-12
225 News-based Trading Strategies STEFAN FEUERRIEGEL et. al. 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. FINANCE.arxiv 2018-07-18
226 Optimal Credit Investment And Risk Control For An Insurer With Regime-Switching LIJUN BO et. al. We characterize the optimal trading strategy of defaultable stocks and risk control for the insurer. FINANCE.arxiv 2018-07-15
227 Forecasting Market States PIER FRANCESCO PROCACCI et. al. We propose a novel methodology to define, analyze and forecast market states. FINANCE.arxiv 2018-07-13
228 Integrating Demand Response And Renewable Energy In Wholesale Market CHAOJIE LI et. al. 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. CS.ijcai 2018-07-13
229 Rebalancing Frequency Considerations For Kelly-Optimal Stock Portfolios In A Control-Theoretic Framework CHUNG-HAN HSIEH et. al. In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio weight selection to maximize expected logarithmic growth. FINANCE.arxiv 2018-07-13
230 Bidding In Periodic Double Auctions Using Heuristics And Dynamic Monte Carlo Tree Search MOINUL MORSHED PORAG CHOWDHURY et. al. 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. CS.ijcai 2018-07-13
231 Facilitating Ontology Development With Continuous Evaluation DEJAN LAVBIČ et. al. In this paper we propose facilitating ontology development by constant evaluation of steps in the process of ontology development. CS.arxiv 2018-07-11
232 Financial Trading As A Game: A Deep Reinforcement Learning Approach CHIEN YI HUANG 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. FINANCE.arxiv 2018-07-08
233 Systems Of Ergodic BSDEs Arising In Regime Switching Forward Performance Processes YING HU et. al. 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}. MATH.arxiv 2018-07-04
234 A Generalized Framework For Simultaneous Long-Short Feedback Trading JOSEPH D. O’BRIEN et. al. 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). FINANCE.arxiv 2018-06-14
235 Order-book Modelling And Market Making Strategies XIAOFEI LU et. al. 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. FINANCE.arxiv 2018-06-13
236 ALZA: An Efficient Hybrid Decentralized Payment System NATE ZOU et. al. 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. CS.arxiv 2018-05-25
237 Anticipating Cryptocurrency Prices Using Machine Learning LAURA ALESSANDRETTI et. al. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal profits. PHYSICS.arxiv 2018-05-22
238 Algorithmic Trading With Fitted Q Iteration And Heston Model SON LE We present the use of the fitted Q iteration in algorithmic trading. FINANCE.arxiv 2018-05-18
239 Quantifying Macroeconomic Expectations In Stock Markets Using Google Trends JOHANNES BOCK 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. FINANCE.arxiv 2018-05-01
240 Explicit Solutions To Utility Maximization Problems In A Regime-switching Market Model Via Laplace Transforms ADRIANA OCEJO 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. FINANCE.arxiv 2018-04-23
241 Optimal Liquidation Under Stochastic Price Impact WESTON BARGER et. al. 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. FINANCE.arxiv 2018-04-11
242 The Impact Of Margin Trading On Share Price Evolution: A Cascading Failure Model Investigation YA-CHUN GAO et. al. The Impact Of Margin Trading On Share Price Evolution: A Cascading Failure Model Investigation FINANCE.arxiv 2018-04-02
243 MOrdReD: Memory-based Ordinal Regression Deep Neural Networks For Time Series Forecasting BERNARDO PÉREZ OROZCO et. al. In this work, we directly tackle this task with a novel, fully end-to-end deep learning method for time series forecasting. STATISTICS.arxiv 2018-03-26
244 Cluster Analysis Of Stocks Using Price Movements Of High Frequency Data From National Stock Exchange CHARU SHARMA et. al. This paper aims to develop new techniques to describe joint behavior of stocks, beyond regression and correlation. FINANCE.arxiv 2018-03-26
245 A Generalization Of The Robust Positive Expectation Theorem For Stock Trading Via Feedback Control ATUL DESHPANDE et. al. Whereas previous work applies to a single stock, in this paper, we consider a pair of stocks. FINANCE.arxiv 2018-03-12
246 Mean Field Games With Partial Information For Algorithmic Trading PHILIPPE CASGRAIN et. al. 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. FINANCE.arxiv 2018-03-11
247 Optimal Portfolio Design For Statistical Arbitrage In Finance ZIPING ZHAO et. al. 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. FINANCE.arxiv 2018-03-08
248 Itô Integrals For Fractional Brownian Motion And Applications To Option Pricing ZHONGMIN QIAN et. al. 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. MATH.arxiv 2018-03-01
249 Extracting The Multi-timescale Activity Patterns Of Online Financial Markets TERUYOSHI KOBAYASHI et. al. In this work, we develop a methodology based on non-negative tensor factorization (NTF) aimed at extracting and revealing the multi-timescale trading dynamics governing online financial systems. FINANCE.arxiv 2018-02-20
250 Optimal Inventory Management And Order Book Modeling NICOLAS BARADEL et. al. We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. FINANCE.arxiv 2018-02-16
251 Simple Bounds For Transaction Costs BRUNO BOUCHARD et. al. Using elementary arguments, we derive $\L_{p}$-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. FINANCE.arxiv 2018-02-16
252 Structural Estimation Of Behavioral Heterogeneity ZHENTAO SHI et. al. We develop a behavioral asset pricing model in which agents trade in a market with information friction. FINANCE.arxiv 2018-02-11
253 Algorithmic Bidding For Virtual Trading In Electricity Markets SEVI BALTAOGLU et. al. 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. CS.arxiv 2018-02-08
254 Deep Hedging HANS BÜHLER et. al. 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. FINANCE.arxiv 2018-02-08
255 The Power Of Trading Polarity: Evidence From China Stock Market Crash SHAN LU et. al. 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. FINANCE.arxiv 2018-02-04
256 Generalised Lyapunov Functions And Functionally Generated Trading Strategies JOHANNES RUF et. al. This paper investigates the dependence of functional portfolio generation, introduced by Fernholz (1999), on an extra finite variation process. FINANCE.arxiv 2018-01-23
257 At What Frequency Should The Kelly Bettor Bet? CHUNG-HAN HSIEH et. al. 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. MATH.arxiv 2018-01-20
258 Ergodic Robust Maximization Of Asymptotic Growth CONSTANTINOS KARDARAS et. al. We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. FINANCE.arxiv 2018-01-19
259 Social Network Based Short-Term Stock Trading System PAOLO CREMONESI et. al. Social Network Based Short-Term Stock Trading System CS.arxiv 2018-01-16
260 Predict Forex Trend Via Convolutional Neural Networks YUN-CHENG TSAI et. al. 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. CS.arxiv 2018-01-09
261 Trading The Twitter Sentiment With Reinforcement Learning CATHERINE XIAO et. al. This paper is to explore the possibility to use alternative data and artificial intelligence techniques to trade stocks. CS.arxiv 2018-01-07
262 Optimal Timing To Trade Along A Randomized Brownian Bridge TIM LEUNG et. al. We model the underlying asset price evolution by an exponential randomized Brownian bridge (rBb) and consider various prior distributions for the random endpoint. FINANCE.arxiv 2017-12-31
263 Stock Price Prediction Via Discovering Multi-Frequency Trading Patterns LIHENG ZHANG et. al. 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. CS.kdd 2017-12-30
264 Random Projection Design For Scalable Implicit Smoothing Of Randomly Observed Stochastic Processes FRANCOIS BELLETTI et. al. 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. CS.aistats 2017-12-30
265 PrivySense: $\underline{Pri}$ce $\underline{V}$olatilit$\underline{y}$ Based $\underline{Sen}$timent$\underline{s}$ $\underline{E}$stimation From Financial News Using Machine Learning RAEID SAQUR et. al. 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. FINANCE.arxiv 2017-12-30
266 An Artificial Neural Network-based Stock Trading System Using Technical Analysis And Big Data Framework O. B. SEZER et. al. In this paper, a neural network-based stock price prediction and trading system using technical analysis indicators is presented. CS.arxiv 2017-12-27
267 Trading Strategies With Position Limits VALERII SALOV Trading Strategies With Position Limits FINANCE.arxiv 2017-12-19
268 The Relationship Between Trading Volumes, Number Of Transactions, And Stock Volatility In GARCH Models TETSUYA TAKAISHI et. al. We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. FINANCE.arxiv 2017-12-18
269 QLBS: Q-Learner In The Black-Scholes(-Merton) Worlds IGOR HALPERIN 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. FINANCE.arxiv 2017-12-13
270 Temporal Attention Augmented Bilinear Network For Financial Time-Series Data Analysis DAT THANH TRAN et. al. 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. CS.arxiv 2017-12-04
271 OSTSC: Over Sampling For Time Series Classification In R MATTHEW DIXON et. al. 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. STATISTICS.arxiv 2017-11-27
272 Partially Observed Functional Data: The Case Of Systematically Missing Parts DOMINIK LIEBL et. al. An extensive simulation study compares the new estimators with the classical estimators from the literature in different missing data scenarios. STATISTICS.arxiv 2017-11-21
273 Forecasting Dynamic Return Distributions Based On Ordered Binary Choice STANISLAV ANATOLYEV et. al. We present a simple approach to forecasting conditional probability distributions of asset returns. FINANCE.arxiv 2017-11-15
274 Portfolio Optimization And Model Predictive Control: A Kinetic Approach TORSTEN TRIMBORN et. al. In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. FINANCE.arxiv 2017-11-09
275 Kyle-Back Equilibrium Models And Linear Conditional Mean-field SDEs JIN MA et. al. 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. MATH.arxiv 2017-11-08
276 A Numerical Scheme For A Singular Control Problem: Investment-Consumption Under Proportional Transaction Costs ARASH FAHIM et. al. 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. FINANCE.arxiv 2017-11-02
277 A Mathematical Analysis Of Technical Analysis MATTHEW LORIG et. al. In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. FINANCE.arxiv 2017-10-25
278 Time Series Prediction : Predicting Stock Price AARON ELLIOT et. al. Time Series Prediction : Predicting Stock Price STATISTICS.arxiv 2017-10-16
279 On Drawdown-Modulated Feedback Control In Stock Trading CHUNG-HAN HSIEH et. al. On Drawdown-Modulated Feedback Control In Stock Trading MATH.arxiv 2017-10-04
280 Bayesian Fused Lasso Regression For Dynamic Binary Networks BRENDA BETANCOURT et. al. Bayesian Fused Lasso Regression For Dynamic Binary Networks STATISTICS.arxiv 2017-10-03
281 Modelling And Prediction Of Financial Trading Networks: An Application To The NYMEX Natural Gas Futures Market BRENDA BETANCOURT et. al. Modelling And Prediction Of Financial Trading Networks: An Application To The NYMEX Natural Gas Futures Market STATISTICS.arxiv 2017-10-03
282 Investigating Competition In Financial Markets: A Sparse Autologistic Model For Dynamic Network Data BRENDA BETANCOURT et. al. Investigating Competition In Financial Markets: A Sparse Autologistic Model For Dynamic Network Data STATISTICS.arxiv 2017-10-03
283 Pricing Derivatives In Hermite Markets STOYAN V. STOYANOV et. al. Pricing Derivatives In Hermite Markets FINANCE.arxiv 2017-09-26
284 Market Dynamics. On A Muse Of Cash Flow And Liquidity Deficit VLADISLAV GENNADIEVICH MALYSHKIN We demonstrate that the concept of price impact is poorly applicable to market dynamics. FINANCE.arxiv 2017-09-20
285 Winning Investment Strategies Based On Financial Crisis Indicators ANTOINE KORNPROBST Winning Investment Strategies Based On Financial Crisis Indicators FINANCE.arxiv 2017-09-08
286 The Microstructure Of High Frequency Markets RENE CARMONA et. al. The Microstructure Of High Frequency Markets FINANCE.arxiv 2017-09-06
287 Tensor Representation In High-Frequency Financial Data For Price Change Prediction DAT THANH TRAN et. al. In this work, we investigate the effectiveness of two multilinear methods for the mid-price prediction problem against other existing methods. CS.arxiv 2017-09-05
288 Stock Trading Via Feedback Control: Stochastic Model Predictive Or Genetic? MOGENS GRAF PLESSEN et. al. Stock Trading Via Feedback Control: Stochastic Model Predictive Or Genetic? CS.arxiv 2017-08-29
289 On The Existence Of Sure Profits Via Flash Strategies CLAUDIO FONTANA et. al. We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies. FINANCE.arxiv 2017-08-10
290 A Formal Approach To The Problem Of Logical Non-Omniscience SCOTT GARRABRANT et. al. A Formal Approach To The Problem Of Logical Non-Omniscience CS.arxiv 2017-07-27
291 Agent Inspired Trading Using Recurrent Reinforcement Learning And LSTM Neural Networks DAVID W. LU Agent Inspired Trading Using Recurrent Reinforcement Learning And LSTM Neural Networks FINANCE.arxiv 2017-07-23
292 Impact And Recovery Process Of Mini Flash Crashes: An Empirical Study TOBIAS BRAUN et. al. Impact And Recovery Process Of Mini Flash Crashes: An Empirical Study FINANCE.arxiv 2017-07-18
293 Sequence Classification Of The Limit Order Book Using Recurrent Neural Networks MATTHEW F DIXON Sequence Classification Of The Limit Order Book Using Recurrent Neural Networks FINANCE.arxiv 2017-07-14
294 Mean Reversion Trading With Sequential Deadlines And Transaction Costs YERKIN KITAPBAYEV et. al. 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. FINANCE.arxiv 2017-07-11
295 Option Pricing And Hedging For Discrete Time Autoregressive Hidden Markov Model MASSIMO CACCIA et. al. Option Pricing And Hedging For Discrete Time Autoregressive Hidden Markov Model FINANCE.arxiv 2017-07-06
296 You Are In A Drawdown. When Should You Start Worrying? ADAM REJ et. al. You Are In A Drawdown. When Should You Start Worrying? FINANCE.arxiv 2017-07-05
297 Joint Optimal Pricing And Electrical Efficiency Enforcement For Rational Agents In Micro Grids RICCARDO BONETTO et. al. Joint Optimal Pricing And Electrical Efficiency Enforcement For Rational Agents In Micro Grids CS.arxiv 2017-06-29
298 Risk Constrained Trading Strategies For Stochastic Generation With A Single-Price Balancing Market JETHRO BROWELL Risk Constrained Trading Strategies For Stochastic Generation With A Single-Price Balancing Market FINANCE.arxiv 2017-06-23
299 Mining Features Associated With Effective Tweets JIAN XU et. al. Mining Features Associated With Effective Tweets CS.arxiv 2017-06-22
300 Stop-loss And Leverage In Optimal Statistical Arbitrage With An Application To Energy Market ROBERTO BAVIERA et. al. Stop-loss And Leverage In Optimal Statistical Arbitrage With An Application To Energy Market FINANCE.arxiv 2017-06-21
301 Complex Correlation Approach For High Frequency Financial Data MATEUSZ WILINSKI et. al. We propose a novel approach that allows to calculate Hilbert transform based complex correlation for unevenly spaced data. FINANCE.arxiv 2017-06-20
302 Optimal Online Two-way Trading With Bounded Number Of Transactions STANLEY P. Y. FUNG Optimal Online Two-way Trading With Bounded Number Of Transactions CS.arxiv 2017-06-16
303 Optimal Portfolio Under Fast Mean-reverting Fractional Stochastic Environment JEAN-PIERRE FOUQUE et. al. 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. FINANCE.arxiv 2017-06-09
304 Non-Markovian Control With Gated End-to-End Memory Policy Networks JULIEN PEREZ et. al. Non-Markovian Control With Gated End-to-End Memory Policy Networks STATISTICS.arxiv 2017-05-31
305 Dynamic Index Tracking And Risk Exposure Control Using Derivatives TIM LEUNG et. al. Dynamic Index Tracking And Risk Exposure Control Using Derivatives FINANCE.arxiv 2017-05-30
306 Deep Learning For Spatio-Temporal Modeling: Dynamic Traffic Flows And High Frequency Trading MATTHEW F. DIXON et. al. Our goal is to develop and train deep learning architectures for spatio-temporal modeling. STATISTICS.arxiv 2017-05-27
307 Stock Trading Using PE Ratio: A Dynamic Bayesian Network Modeling On Behavioral Finance And Fundamental Investment HAIZHEN WANG et. al. Stock Trading Using PE Ratio: A Dynamic Bayesian Network Modeling On Behavioral Finance And Fundamental Investment CS.arxiv 2017-05-25
308 Sensitivity Analysis Of The Utility Maximization Problem With Respect To Model Perturbations OLEKSII MOSTOVYI et. al. Sensitivity Analysis Of The Utility Maximization Problem With Respect To Model Perturbations FINANCE.arxiv 2017-05-23
309 Using Macroeconomic Forecasts To Improve Mean Reverting Trading Strategies YASH SHARMA Using Macroeconomic Forecasts To Improve Mean Reverting Trading Strategies FINANCE.arxiv 2017-05-22
310 Wealth Dynamics In A Sentiment-driven Market MIKHAIL GOYKHMAN Wealth Dynamics In A Sentiment-driven Market FINANCE.arxiv 2017-05-19
311 Duality For Pathwise Superhedging In Continuous Time DANIEL BARTL et. al. We provide a model-free pricing-hedging duality in continuous time. FINANCE.arxiv 2017-05-08
312 A Decentralized Framework For Real-Time Energy Trading In Distribution Networks With Load And Generation Uncertainty SHAHAB BAHRAMI et. al. A Decentralized Framework For Real-Time Energy Trading In Distribution Networks With Load And Generation Uncertainty CS.arxiv 2017-05-07
313 A Decentralized Trading Algorithm For An Electricity Market With Generation Uncertainty SHAHAB BAHRAMI et. al. A Decentralized Trading Algorithm For An Electricity Market With Generation Uncertainty CS.arxiv 2017-05-07
314 A Fundamental Theorem Of Asset Pricing For Continuous Time Large Financial Markets In A Two Filtration Setting CHRISTA CUCHIERO et. al. A Fundamental Theorem Of Asset Pricing For Continuous Time Large Financial Markets In A Two Filtration Setting FINANCE.arxiv 2017-05-05
315 Algorithmic Trading In A Microstructural Limit Order Book Model FRÉDÉRIC ABERGEL et. al. We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). FINANCE.arxiv 2017-05-03
316 Multi-Period Trading Via Convex Optimization STEPHEN BOYD et. al. Multi-Period Trading Via Convex Optimization FINANCE.arxiv 2017-04-28
317 Incorporating Signals Into Optimal Trading CHARLES-ALBERT LEHALLE et. al. 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. FINANCE.arxiv 2017-04-03
318 How Wave – Wavelet Trading Wins And Beats The Market LANH TRAN How Wave – Wavelet Trading Wins And Beats The Market FINANCE.arxiv 2017-04-02
319 Application Of A Shallow Neural Network To Short-Term Stock Trading ABHINAV MADAHAR et. al. Application Of A Shallow Neural Network To Short-Term Stock Trading CS.arxiv 2017-03-30
320 Analysis Of Realized Volatility For Nikkei Stock Average On The Tokyo Stock Exchange TETSUYA TAKAISHI et. al. Analysis Of Realized Volatility For Nikkei Stock Average On The Tokyo Stock Exchange FINANCE.arxiv 2017-03-27
321 Optimal Portfolio Under Fractional Stochastic Environment JEAN-PIERRE FOUQUE et. al. 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 $H \in (0,1)$). FINANCE.arxiv 2017-03-20
322 Optimal Investment Problem With M-CEV Model: Closed Form Solution And Applications To The Algorithmic Trading DMITRY MURAVEY Using Laplace transform we obtain explicit expression for optimal strategy in terms of confluent hypergeometric functions. FINANCE.arxiv 2017-03-05
323 Energy Trading Between Microgrids Individual Cost Minimization And Social Welfare Maximization ZHENYU QIAO et. al. Energy Trading Between Microgrids Individual Cost Minimization And Social Welfare Maximization CS.arxiv 2017-02-09
324 Mobile Data Trading: Behavioral Economics Analysis And Algorithm Design JUNLIN YU et. al. Mobile Data Trading: Behavioral Economics Analysis And Algorithm Design CS.arxiv 2017-02-09
325 Perfect Hedging Under Endogenous Permanent Market Impacts MASAAKI FUKASAWA et. al. Perfect Hedging Under Endogenous Permanent Market Impacts FINANCE.arxiv 2017-02-05
326 Optimal Trading With A Trailing Stop TIM LEUNG et. al. Optimal Trading With A Trailing Stop FINANCE.arxiv 2017-01-14
327 Trading Strategies For Stock Pairs Regarding To The Cross-impact Cost SHANSHAN WANG Trading Strategies For Stock Pairs Regarding To The Cross-impact Cost FINANCE.arxiv 2017-01-11
328 Stability For Gains From Large Investors’ Strategies In M1/J1 Topologies DIRK BECHERER et. al. We prove continuity of a controlled SDE solution in Skorokhod’s $M_1$ and $J_1$ topologies and also uniformly, in probability, as a non-linear functional of the control strategy. FINANCE.arxiv 2017-01-09
329 Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach TIM LEUNG et. al. Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach FINANCE.arxiv 2017-01-03
330 Portfolio Blending Via Thompson Sampling WEIWEI SHEN et. al. In this paper, we present a novel online algorithm that leverages Thompson sampling into the sequential decision-making process for portfolio blending. CS.ijcai 2016-12-30
331 Efficient Detection Of Complex Event Patterns Using Lazy Chain Automata ILYA KOLCHINSKY et. al. We present a lazy evaluation mechanism that defers processing of frequent event types and stores them internally upon arrival. CS.arxiv 2016-12-15
332 S&P500 Forecasting And Trading Using Convolution Analysis Of Major Asset Classes PANAGIOTIS PAPAIOANNOU et. al. S&P500 Forecasting And Trading Using Convolution Analysis Of Major Asset Classes FINANCE.arxiv 2016-12-13
333 Asymptotic Approximation Of Optimal Portfolio For Small Time Horizons ROHINI KUMAR et. al. We consider the problem of portfolio optimization in a simple incomplete market and under a general utility function. MATH.arxiv 2016-11-28
334 Quantifying Immediate Price Impact Of Trades Based On The $k$-shell Decomposition Of Stock Trading Networks WEN-JIE XIE et. al. Quantifying Immediate Price Impact Of Trades Based On The $k$-shell Decomposition Of Stock Trading Networks FINANCE.arxiv 2016-11-21
335 Optimal Trade Execution With Instantaneous Price Impact And Stochastic Resilience PAULWIN GRAEWE et. al. Optimal Trade Execution With Instantaneous Price Impact And Stochastic Resilience MATH.arxiv 2016-11-10
336 Meta-CTA Trading Strategies Based On The Kelly Criterion BERNHARD K. MEISTER Meta-CTA Trading Strategies Based On The Kelly Criterion FINANCE.arxiv 2016-10-31
337 Asynchronous ADRs: Overnight Vs Intraday Returns And Trading Strategies TIM LEUNG et. al. Asynchronous ADRs: Overnight Vs Intraday Returns And Trading Strategies FINANCE.arxiv 2016-10-29
338 Understanding The Tracking Errors Of Commodity Leveraged ETFs KEVIN GUO et. al. Understanding The Tracking Errors Of Commodity Leveraged ETFs FINANCE.arxiv 2016-10-28
339 Trading Against Disorderly Liquidation Of A Large Position Under Asymmetric Information And Market Impact CAROLINE HILLAIRET et. al. Trading Against Disorderly Liquidation Of A Large Position Under Asymmetric Information And Market Impact FINANCE.arxiv 2016-10-06
340 Optimal Portfolios Of Illiquid Assets T. R. HURD et. al. Optimal Portfolios Of Illiquid Assets FINANCE.arxiv 2016-10-02
341 Biased Roulette Wheel: A Quantitative Trading Strategy Approach GIANCARLO SALIRROSAS MARTÍNEZ Biased Roulette Wheel: A Quantitative Trading Strategy Approach FINANCE.arxiv 2016-09-30
342 The Microstructural Foundations Of Leverage Effect And Rough Volatility EL EUCH OMAR et. al. The Microstructural Foundations Of Leverage Effect And Rough Volatility FINANCE.arxiv 2016-09-16
343 Logical Induction SCOTT GARRABRANT et. al. We present a computable algorithm that assigns probabilities to every logical statement in a given formal language, and refines those probabilities over time. CS.arxiv 2016-09-12
344 Determining Optimal Stop-Loss Thresholds Via Bayesian Analysis Of Drawdown Distributions ANTOINE EMIL ZAMBELLI Determining Optimal Stop-Loss Thresholds Via Bayesian Analysis Of Drawdown Distributions FINANCE.arxiv 2016-09-03
345 Optimal Execution In A Multiplayer Model Of Transient Price Impact ELIAS STREHLE This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient price impact. FINANCE.arxiv 2016-09-02
346 On The Market-Neutrality Of Optimal Pairs-Trading Strategies BAHMAN ANGOSHTARI On The Market-Neutrality Of Optimal Pairs-Trading Strategies FINANCE.arxiv 2016-08-29
347 Time-scale Effects On The Gain-loss Asymmetry In Stock Indices BULCSÚ SÁNDOR et. al. Time-scale Effects On The Gain-loss Asymmetry In Stock Indices FINANCE.arxiv 2016-08-16
348 A General Framework For Pairs Trading With A Control-Theoretic Point Of View ATUL DESHPANDE et. al. A General Framework For Pairs Trading With A Control-Theoretic Point Of View FINANCE.arxiv 2016-08-11
349 Dynamic Portfolio Strategy Using Clustering Approach FEI REN et. al. Dynamic Portfolio Strategy Using Clustering Approach FINANCE.arxiv 2016-08-10
350 Optimal Learning Of Specifications From Examples DANA DRACHSLER-COHEN et. al. Optimal Learning Of Specifications From Examples CS.arxiv 2016-07-30
351 On The Support Of Extremal Martingale Measures With Given Marginals: The Countable Case LUCIANO CAMPI et. al. We investigate the supports of extremal martingale measures with pre-specified marginals in a two-period setting. MATH.arxiv 2016-07-25
352 The Problem Of Calibrating An Agent-Based Model Of High-Frequency Trading DONOVAN PLATT et. al. The Problem Of Calibrating An Agent-Based Model Of High-Frequency Trading FINANCE.arxiv 2016-06-05
353 The Space Of Outcomes Of Semi-static Trading Strategies Need Not Be Closed BEATRICE ACCIAIO et. al. The Space Of Outcomes Of Semi-static Trading Strategies Need Not Be Closed FINANCE.arxiv 2016-06-02
354 Modelling Trading Networks And The Role Of Trust RAFAEL A. BARRIO et. al. Modelling Trading Networks And The Role Of Trust PHYSICS.arxiv 2016-05-28
355 Trading VIX Futures Under Mean Reversion With Regime Switching JIAO LI Trading VIX Futures Under Mean Reversion With Regime Switching FINANCE.arxiv 2016-05-25
356 Just In Time: Controlling Temporal Performance In Crowdsourcing Competitions MARKUS ROKICKI et. al. In this paper, we investigate how incentive mechanisms in competition based crowdsourcing can be employed in such scenarios. CS.www 2016-05-13
357 Optimal Market Making OLIVIER GUÉANT Optimal Market Making FINANCE.arxiv 2016-05-06
358 Robustness Of Mathematical Models And Technical Analysis Strategies AHMED BEL HADJ AYED et. al. Robustness Of Mathematical Models And Technical Analysis Strategies FINANCE.arxiv 2016-04-30
359 Super-hedging American Options With Semi-static Trading Strategies Under Model Uncertainty ERHAN BAYRAKTAR et. al. Super-hedging American Options With Semi-static Trading Strategies Under Model Uncertainty FINANCE.arxiv 2016-04-15
360 Market Imitation And Win-Stay Lose-Shift Strategies Emerge As Unintended Patterns In Market Direction Guesses MARIO GUTIÉRREZ-ROIG et. al. Market Imitation And Win-Stay Lose-Shift Strategies Emerge As Unintended Patterns In Market Direction Guesses FINANCE.arxiv 2016-04-06
361 Classification-based Financial Markets Prediction Using Deep Neural Networks MATTHEW DIXON et. al. Classification-based Financial Markets Prediction Using Deep Neural Networks CS.arxiv 2016-03-28
362 Trading Strategies Generated By Lyapunov Functions IOANNIS KARATZAS et. al. Trading Strategies Generated By Lyapunov Functions FINANCE.arxiv 2016-03-27
363 Universal Trading Under Proportional Transaction Costs RICHARD J MARTIN Universal Trading Under Proportional Transaction Costs FINANCE.arxiv 2016-03-21
364 The Geometric Phase Of Stock Trading CLAUDIO ALTAFINI The Geometric Phase Of Stock Trading FINANCE.arxiv 2016-03-17
365 Asymptotic Optimal Strategy For Portfolio Optimization In A Slowly Varying Stochastic Environment JEAN-PIERRE FOUQUE et. al. Asymptotic Optimal Strategy For Portfolio Optimization In A Slowly Varying Stochastic Environment FINANCE.arxiv 2016-03-11
366 Scalable Linear Causal Inference For Irregularly Sampled Time Series With Long Range Dependencies FRANCOIS W. BELLETTI et. al. Scalable Linear Causal Inference For Irregularly Sampled Time Series With Long Range Dependencies CS.arxiv 2016-03-10
367 Optimal Consumption And Investment With Liquid And Illiquid Assets JIN HYUK CHOI We consider an optimal consumption/investment problem to maximize expected utility from consumption. FINANCE.arxiv 2016-02-22
368 On The Profitability Of Optimal Mean Reversion Trading Strategies PENG HUANG et. al. On The Profitability Of Optimal Mean Reversion Trading Strategies FINANCE.arxiv 2016-02-18
369 A Pathwise Approach To Continuous-time Trading CANDIA RIGA A Pathwise Approach To Continuous-time Trading FINANCE.arxiv 2016-02-16
370 A Matching Game For Data Trading In Operator-Supervised User-Provided Networks BEATRIZ LORENZO et. al. A Matching Game For Data Trading In Operator-Supervised User-Provided Networks CS.arxiv 2016-02-16
371 Autonomous Electricity Trading Using Time-of-Use Tariffs In A Competitive Market DANIEL URIELI et. al. We formalize the problem of TOU tariff optimization and propose an algorithm for approximating its solution. CS.aaai 2016-02-12
372 Model-Free Discretisation-Invariant Swap Contracts CAROL ALEXANDER et. al. Model-Free Discretisation-Invariant Swap Contracts FINANCE.arxiv 2016-01-31
373 Trading Strategy With Stochastic Volatility In A Limit Order Book Market WAI-KI CHING et. al. Trading Strategy With Stochastic Volatility In A Limit Order Book Market FINANCE.arxiv 2016-01-31
374 Expert Opinions And Logarithmic Utility Maximization For Multivariate Stock Returns With Gaussian Drift JÖRN SASS et. al. Expert Opinions And Logarithmic Utility Maximization For Multivariate Stock Returns With Gaussian Drift FINANCE.arxiv 2016-01-29
375 Speculative Futures Trading Under Mean Reversion TIM LEUNG et. al. Speculative Futures Trading Under Mean Reversion FINANCE.arxiv 2016-01-16
376 Algorithmic Trading: A Brief, Computational Finance Case Study On Data Centre FPGAs GORDON INGGS Algorithmic Trading: A Brief, Computational Finance Case Study On Data Centre FPGAs CS.arxiv 2016-01-10
377 Dynamic Multi-Factor Bid-Offer Adjustment Model: A Feedback Mechanism For Dealers (Market Makers) To Deal (Grapple) With The Uncertainty Principle Of The Social Sciences RAVI KASHYAP Dynamic Multi-Factor Bid-Offer Adjustment Model: A Feedback Mechanism For Dealers (Market Makers) To Deal (Grapple) With The Uncertainty Principle Of The Social Sciences FINANCE.arxiv 2016-01-01
378 Portfolio Choices With Orthogonal Bandit Learning WEIWEI SHEN et. al. In this paper, we present a bandit algorithm for conducting online portfolio choices by effectually exploiting correlations among multiple arms. CS.ijcai 2015-12-30
379 Semi-Universal Portfolios With Transaction Costs DINGJIANG HUANG et. al. We present an efficient implementation of the strategy based on non-uniform random walks and online factor graph algorithms. CS.ijcai 2015-12-30
380 Using Machine Learning For Medium Frequency Derivative Portfolio Trading ABHIJIT SHARANG et. al. Using Machine Learning For Medium Frequency Derivative Portfolio Trading FINANCE.arxiv 2015-12-19
381 Do Investors Trade Too Much? A Laboratory Experiment JOAO DA GAMA BATISTA et. al. Do Investors Trade Too Much? A Laboratory Experiment FINANCE.arxiv 2015-12-11
382 Competitive Energy Trading Framework For Demand-side Management In Neighborhood Area Networks CHATHURIKA P. MEDIWATHTHE et. al. Competitive Energy Trading Framework For Demand-side Management In Neighborhood Area Networks CS.arxiv 2015-12-10
383 Game Options In An Imperfect Market With Default ROXANA DUMITRESCU et. al. Game Options In An Imperfect Market With Default FINANCE.arxiv 2015-11-29
384 Learning Unfair Trading: A Market Manipulation Analysis From The Reinforcement Learning Perspective ENRIQUE MARTÍNEZ-MIRANDA et. al. Learning Unfair Trading: A Market Manipulation Analysis From The Reinforcement Learning Perspective FINANCE.arxiv 2015-11-02
385 Optimal Portfolio Liquidation And Dynamic Mean-variance Criterion JIA-WEN GU et. al. Optimal Portfolio Liquidation And Dynamic Mean-variance Criterion FINANCE.arxiv 2015-10-30
386 Mathematical Foundations Of Realtime Equity Trading. Liquidity Deficit And Market Dynamics. Automated Trading Machines VLADISLAV GENNADIEVICH MALYSHKIN et. al. Mathematical Foundations Of Realtime Equity Trading. Liquidity Deficit And Market Dynamics. Automated Trading Machines FINANCE.arxiv 2015-10-19
387 Detrended Cross-correlations Between Returns, Volatility, Trading Activity, And Volume Traded For The Stock Market Companies RAFAL RAK et. al. Detrended Cross-correlations Between Returns, Volatility, Trading Activity, And Volume Traded For The Stock Market Companies FINANCE.arxiv 2015-10-16
388 Correctness Of Backtest Engines ROBERT LÖW et. al. Correctness Of Backtest Engines FINANCE.arxiv 2015-09-28
389 Optimal Trading Strategies – A Time Series Approach PETER A. BEBBINGTON et. al. Optimal Trading Strategies – A Time Series Approach FINANCE.arxiv 2015-09-26
390 Mean-Reverting Portfolios: Tradeoffs Between Sparsity And Volatility MARCO CUTURI et. al. Mean-Reverting Portfolios: Tradeoffs Between Sparsity And Volatility FINANCE.arxiv 2015-09-19
391 Liquidity Effects Of Trading Frequency ROMAN GAYDUK et. al. Liquidity Effects Of Trading Frequency FINANCE.arxiv 2015-08-31
392 Detecting Intraday Financial Market States Using Temporal Clustering DIETER HENDRICKS et. al. Detecting Intraday Financial Market States Using Temporal Clustering FINANCE.arxiv 2015-08-20
393 Forecasting Stock Market Returns Over Multiple Time Horizons DIMITRI KROUJILINE et. al. Forecasting Stock Market Returns Over Multiple Time Horizons FINANCE.arxiv 2015-08-18
394 Dynamic Mode Decomposition For Financial Trading Strategies JORDAN MANN et. al. Dynamic Mode Decomposition For Financial Trading Strategies FINANCE.arxiv 2015-08-18
395 Artificial Prediction Markets For Online Prediction Of Continuous Variables-A Preliminary Report FATEMEH JAHEDPARI et. al. Artificial Prediction Markets For Online Prediction Of Continuous Variables-A Preliminary Report CS.arxiv 2015-08-11
396 Time-series Modeling With Undecimated Fully Convolutional Neural Networks RONI MITTELMAN Time-series Modeling With Undecimated Fully Convolutional Neural Networks STATISTICS.arxiv 2015-08-03
397 Scale Invariance In Gravity On The Light-Front VASUDEV SHYAM Scale Invariance In Gravity On The Light-Front PHYSICS.arxiv 2015-07-27
398 How To Predict The Consequences Of A Tick Value Change? Evidence From The Tokyo Stock Exchange Pilot Program WEIBING HUANG et. al. How To Predict The Consequences Of A Tick Value Change? Evidence From The Tokyo Stock Exchange Pilot Program FINANCE.arxiv 2015-07-24
399 Optimum Liquidation Problem Associated With The Poisson Cluster Process A. SADOGHI et. al. Optimum Liquidation Problem Associated With The Poisson Cluster Process FINANCE.arxiv 2015-07-23
400 Sequential Quantiles Via Hermite Series Density Estimation MICHAEL STEPHANOU et. al. Sequential Quantiles Via Hermite Series Density Estimation STATISTICS.arxiv 2015-07-17
401 Analysis Of Ornstein-Uhlenbeck Process Stopped At Maximum Drawdown And Application To Trading Strategies With Trailing Stops GRIGORY TEMNOV Analysis Of Ornstein-Uhlenbeck Process Stopped At Maximum Drawdown And Application To Trading Strategies With Trailing Stops FINANCE.arxiv 2015-07-06
402 Hedging, Arbitrage And Optimality With Superlinear Frictions PAOLO GUASONI et. al. Hedging, Arbitrage And Optimality With Superlinear Frictions FINANCE.arxiv 2015-06-19
403 Social Signals And Algorithmic Trading Of Bitcoin DAVID GARCIA et. al. Social Signals And Algorithmic Trading Of Bitcoin CS.arxiv 2015-06-04
404 Wealth Distribution Across Communities Of Adaptive Financial Agents PIETRO DELELLIS et. al. Wealth Distribution Across Communities Of Adaptive Financial Agents FINANCE.arxiv 2015-05-20
405 Dynamics Of Order Positions And Related Queues In A Limit Order Book XIN GUO et. al. Dynamics Of Order Positions And Related Queues In A Limit Order Book FINANCE.arxiv 2015-05-18
406 Portfolio Optimisation Beyond Semimartingales: Shadow Prices And Fractional Brownian Motion CHRISTOPH CZICHOWSKY et. al. Portfolio Optimisation Beyond Semimartingales: Shadow Prices And Fractional Brownian Motion FINANCE.arxiv 2015-05-10
407 Testing The Performance Of Technical Trading Rules In The Chinese Market SHAN WANG et. al. Testing The Performance Of Technical Trading Rules In The Chinese Market FINANCE.arxiv 2015-04-24
408 Transitions In The Stock Markets Of The US, UK, And Germany MATTHIAS RADDANT et. al. Transitions In The Stock Markets Of The US, UK, And Germany FINANCE.arxiv 2015-04-23
409 Portfolio Optimization Under Nonlinear Utility GREGOR HEYNE et. al. Portfolio Optimization Under Nonlinear Utility MATH.arxiv 2015-04-15
410 Profitability Of Simple Technical Trading Rules Of Chinese Stock Exchange Indexes HONG ZHU et. al. Profitability Of Simple Technical Trading Rules Of Chinese Stock Exchange Indexes FINANCE.arxiv 2015-04-15
411 Computing Trading Strategies Based On Financial Sentiment Data Using Evolutionary Optimization RONALD HOCHREITER Computing Trading Strategies Based On Financial Sentiment Data Using Evolutionary Optimization FINANCE.arxiv 2015-04-12
412 A Markov Model Of A Limit Order Book: Thresholds, Recurrence, And Trading Strategies FRANK KELLY et. al. A Markov Model Of A Limit Order Book: Thresholds, Recurrence, And Trading Strategies FINANCE.arxiv 2015-04-02
413 Profitable Forecast Of Prices Of Stock Options On Real Market Data Via The Solution Of An Ill-posed Problem For The Black-Scholes Equation MICHAEL V. KLIBANOV et. al. Profitable Forecast Of Prices Of Stock Options On Real Market Data Via The Solution Of An Ill-posed Problem For The Black-Scholes Equation FINANCE.arxiv 2015-03-11
414 Statistical Properties And Pre-hit Dynamics Of Price Limit Hits In The Chinese Stock Markets YU-LEI WAN et. al. Statistical Properties And Pre-hit Dynamics Of Price Limit Hits In The Chinese Stock Markets FINANCE.arxiv 2015-03-11
415 Arbitrage, Hedging And Utility Maximization Using Semi-static Trading Strategies With American Options ERHAN BAYRAKTAR et. al. Arbitrage, Hedging And Utility Maximization Using Semi-static Trading Strategies With American Options FINANCE.arxiv 2015-02-23
416 Information And Trading Targets In A Dynamic Market Equilibrium JIN HYUK CHOI et. al. Information And Trading Targets In A Dynamic Market Equilibrium FINANCE.arxiv 2015-02-06
417 Tensor-Based Learning For Predicting Stock Movements QING LI et. al. In this article, we model the multi-faceted investors’ information and their intrinsic links with tensors. CS.aaai 2015-01-25
418 Self-Financing Trading And The Ito-Doeblin Lemma CHRIS KENYON et. al. Self-Financing Trading And The Ito-Doeblin Lemma FINANCE.arxiv 2015-01-12
419 Analyses Of Statistical Structures In Economic Indices FRANK W. K. FIRK Analyses Of Statistical Structures In Economic Indices FINANCE.arxiv 2014-11-21
420 Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit TIM LEUNG et. al. Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit FINANCE.arxiv 2014-11-18
421 First Exit Times Of Harmonically Trapped Particles: A Didactic Review D. S. GREBENKOV First Exit Times Of Harmonically Trapped Particles: A Didactic Review PHYSICS.arxiv 2014-11-13
422 Evolving Intraday Foreign Exchange Trading Strategies Utilizing Multiple Instruments Price Series SIMONE CIRILLO et. al. Evolving Intraday Foreign Exchange Trading Strategies Utilizing Multiple Instruments Price Series CS.arxiv 2014-11-08
423 Robust Fundamental Theorem For Continuous Processes SARA BIAGINI et. al. Robust Fundamental Theorem For Continuous Processes FINANCE.arxiv 2014-10-18
424 Volatility Is Rough JIM GATHERAL et. al. Volatility Is Rough FINANCE.arxiv 2014-10-13
425 On Volatility Smile And An Investment Strategy With Out-of-the-money Calls JARNO TALPONEN On Volatility Smile And An Investment Strategy With Out-of-the-money Calls FINANCE.arxiv 2014-10-06
426 Dynamic Investment Portfolio Optimization Under Constraints In The Financial Market With Regime Switching Using Model Predictive Control VLADIMIR DOMBROVSKII et. al. Dynamic Investment Portfolio Optimization Under Constraints In The Financial Market With Regime Switching Using Model Predictive Control FINANCE.arxiv 2014-10-05
427 Design And Implementation Of Schedule-Based Trading Strategies Based On Uncertainty Bands VLADIMIR MARKOV et. al. Design And Implementation Of Schedule-Based Trading Strategies Based On Uncertainty Bands FINANCE.arxiv 2014-09-04
428 Asymptotic Replication With Modified Volatility Under Small Transaction Costs JIATU CAI et. al. Asymptotic Replication With Modified Volatility Under Small Transaction Costs FINANCE.arxiv 2014-08-25
429 Risk Minimization For Game Options In Markets Imposing Minimal Transaction Costs YAN DOLINSKY et. al. Risk Minimization For Game Options In Markets Imposing Minimal Transaction Costs FINANCE.arxiv 2014-08-16
430 The Random Walk Of High Frequency Trading ERIC M. ALDRICH et. al. The Random Walk Of High Frequency Trading FINANCE.arxiv 2014-08-15
431 Critical Transaction Costs And 1-step Asymptotic Arbitrage In Fractional Binary Markets FERNANDO CORDERO et. al. Critical Transaction Costs And 1-step Asymptotic Arbitrage In Fractional Binary Markets MATH.arxiv 2014-07-30
432 Permutation Approach, High Frequency Trading And Variety Of Micro Patterns In Financial Time Series CINA AGHAMOHAMMADI et. al. Permutation Approach, High Frequency Trading And Variety Of Micro Patterns In Financial Time Series FINANCE.arxiv 2014-07-20
433 Agent-based Model With Asymmetric Trading And Herding For Complex Financial Systems JUN-JIE CHEN et. al. Agent-based Model With Asymmetric Trading And Herding For Complex Financial Systems FINANCE.arxiv 2014-07-20
434 Nowcasting The Bitcoin Market With Twitter Signals JERMAIN KAMINSKI Nowcasting The Bitcoin Market With Twitter Signals CS.arxiv 2014-06-29
435 Stock Market Prediction From WSJ: Text Mining Via Sparse Matrix Factorization FELIX MING FAI WONG et. al. Stock Market Prediction From WSJ: Text Mining Via Sparse Matrix Factorization CS.arxiv 2014-06-27
436 Statistical Arbitrage In The Black-Scholes Framework AHMET GONCU Statistical Arbitrage In The Black-Scholes Framework FINANCE.arxiv 2014-06-21
437 Pursuit-Evasion Without Regret, With An Application To Trading LILI DWORKIN et. al. We propose a state-based variant of the classical online learning problem of tracking the best expert. CS.icml 2014-06-21
438 Upside And Downside Risk Exposures Of Currency Carry Trades Via Tail Dependence MATTHEW AMES et. al. Upside And Downside Risk Exposures Of Currency Carry Trades Via Tail Dependence FINANCE.arxiv 2014-06-17
439 Does The uptick Rule Stabilize The Stock Market? Insights From Adaptive Rational Equilibrium Dynamics FABIO DERCOLE et. al. Does The uptick Rule Stabilize The Stock Market? Insights From Adaptive Rational Equilibrium Dynamics FINANCE.arxiv 2014-05-29
440 Micro And Macro Benefits Of Random Investments In Financial Markets ALESSIO EMANUELE BIONDO et. al. Micro And Macro Benefits Of Random Investments In Financial Markets FINANCE.arxiv 2014-05-22
441 A Multi-factor Adaptive Statistical Arbitrage Model WENBIN ZHANG et. al. A Multi-factor Adaptive Statistical Arbitrage Model FINANCE.arxiv 2014-05-09
442 Gaussian-Chain Filters For Heavy-Tailed Noise With Application To Detecting Big Buyers And Big Sellers In Stock Market LI-XIN WANG Gaussian-Chain Filters For Heavy-Tailed Noise With Application To Detecting Big Buyers And Big Sellers In Stock Market FINANCE.arxiv 2014-05-09
443 Simultaneous Trading In ‘Lit’ And Dark Pools M. ALESSANDRA CRISAFI et. al. Simultaneous Trading In ‘Lit’ And Dark Pools FINANCE.arxiv 2014-05-08
444 Facilitation And Internalization Optimal Strategy In A Multilateral Trading Context QINGHUA LI Facilitation And Internalization Optimal Strategy In A Multilateral Trading Context FINANCE.arxiv 2014-04-29
445 FlexAuc: Serving Dynamic Demands In A Spectrum Trading Market With Flexible Auction XIAOJUN FENG et. al. FlexAuc: Serving Dynamic Demands In A Spectrum Trading Market With Flexible Auction CS.arxiv 2014-04-08
446 Ensemble Committees For Stock Return Classification And Prediction JAMES BROFOS Ensemble Committees For Stock Return Classification And Prediction STATISTICS.arxiv 2014-04-05
447 Trajectory Based Models, Arbitrage And Continuity ALEXANDER ALVAREZ et. al. Trajectory Based Models, Arbitrage And Continuity MATH.arxiv 2014-03-22
448 Finding Informed Traders In Futures And Their Inderlying Assets In Intraday Trading LYUDMILA A. GLIK et. al. Finding Informed Traders In Futures And Their Inderlying Assets In Intraday Trading FINANCE.arxiv 2014-02-26
449 Prospect Theory For Online Financial Trading YANG-YU LIU et. al. Prospect Theory For Online Financial Trading FINANCE.arxiv 2014-02-25
450 Model-independent Superhedging Under Portfolio Constraints ARASH FAHIM et. al. Model-independent Superhedging Under Portfolio Constraints FINANCE.arxiv 2014-02-11
451 Rock Around The Clock: An Agent-Based Model Of Low- And High-Frequency Trading SANDRINE JACOB LEAL et. al. Rock Around The Clock: An Agent-Based Model Of Low- And High-Frequency Trading FINANCE.arxiv 2014-02-10
452 Multiple-output Support Vector Regression With A Firefly Algorithm For Interval-valued Stock Price Index Forecasting TAO XIONG et. al. Multiple-output Support Vector Regression With A Firefly Algorithm For Interval-valued Stock Price Index Forecasting CS.arxiv 2014-01-09
453 Dynamical Models Of Stock Prices Based On Technical Trading Rules Part III: Application To Hong Kong Stocks LI-XIN WANG Dynamical Models Of Stock Prices Based On Technical Trading Rules Part III: Application To Hong Kong Stocks FINANCE.arxiv 2014-01-08
454 Dynamical Models Of Stock Prices Based On Technical Trading Rules Part I: The Models LI-XIN WANG Dynamical Models Of Stock Prices Based On Technical Trading Rules Part I: The Models FINANCE.arxiv 2014-01-08
455 Second Order Statistics Characterization Of Hawkes Processes And Non-parametric Estimation EMMANUEL BACRY et. al. Second Order Statistics Characterization Of Hawkes Processes And Non-parametric Estimation STATISTICS.arxiv 2014-01-05
456 The Self-Financing Equation In High Frequency Markets RENE CARMONA et. al. The Self-Financing Equation In High Frequency Markets FINANCE.arxiv 2013-12-08
457 Optimal Trading Strategies As Measures Of Market Disequilibrium VALERII SALOV Optimal Trading Strategies As Measures Of Market Disequilibrium FINANCE.arxiv 2013-12-06
458 Impact Of Information Cost And Switching Of Trading Strategies In An Artificial Stock Market YI-FANG LIU et. al. Impact Of Information Cost And Switching Of Trading Strategies In An Artificial Stock Market FINANCE.arxiv 2013-11-18
459 Simulating The Synchronizing Behavior Of High-Frequency Trading In Multiple Markets BENJAMIN MYERS et. al. Simulating The Synchronizing Behavior Of High-Frequency Trading In Multiple Markets FINANCE.arxiv 2013-11-17
460 Frequency Effects On Predictability Of Stock Returns PAWEŁ FIEDOR Frequency Effects On Predictability Of Stock Returns FINANCE.arxiv 2013-10-21
461 Statistical Likelihood Methods In Finance ARNOLD JANSSEN et. al. Statistical Likelihood Methods In Finance MATH.arxiv 2013-10-16
462 High Frequency Trading And Asymptotics For Small Risk Aversion In A Markov Renewal Model PIETRO FODRA et. al. High Frequency Trading And Asymptotics For Small Risk Aversion In A Markov Renewal Model FINANCE.arxiv 2013-10-07
463 Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing ERINDI ALLAJ Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing FINANCE.arxiv 2013-10-07
464 Probabilistic Aspects Of Finance HANS FÖLLMER et. al. Probabilistic Aspects Of Finance FINANCE.arxiv 2013-09-30
465 Modeling Capital Gains Taxes For Trading Strategies Of Infinite Variation CHRISTOPH KÜHN et. al. Modeling Capital Gains Taxes For Trading Strategies Of Infinite Variation FINANCE.arxiv 2013-09-27
466 Optimal Execution Trajectories. Linear Market Impact With Exponential Decay IGOR SKACHKOV Optimal Execution Trajectories. Linear Market Impact With Exponential Decay FINANCE.arxiv 2013-09-26
467 A Pre-Trade Algorithmic Trading Model Under Given Volume Measures And Generic Price Dynamics (GVM-GPD) JACKIE JIANHONG SHEN A Pre-Trade Algorithmic Trading Model Under Given Volume Measures And Generic Price Dynamics (GVM-GPD) FINANCE.arxiv 2013-09-19
468 Modeling Of Stock Returns And Trading Volume TAISEI KAIZOJI Modeling Of Stock Returns And Trading Volume FINANCE.arxiv 2013-09-10
469 Smooth Solutions To Portfolio Liquidation Problems Under Price-sensitive Market Impact PAULWIN GRAEWE et. al. Smooth Solutions To Portfolio Liquidation Problems Under Price-sensitive Market Impact FINANCE.arxiv 2013-09-02
470 Continuous-Time Portfolio Optimisation For A Behavioural Investor With Bounded Utility On Gains MIKLÓS RÁSONYI et. al. Continuous-Time Portfolio Optimisation For A Behavioural Investor With Bounded Utility On Gains FINANCE.arxiv 2013-09-02
471 Prospect Agents And The Feedback Effect On Price Fluctuations YIPENG YANG et. al. Prospect Agents And The Feedback Effect On Price Fluctuations FINANCE.arxiv 2013-08-30
472 Fractality Of Profit Landscapes And Validation Of Time Series Models For Stock Prices IL GU YI et. al. Fractality Of Profit Landscapes And Validation Of Time Series Models For Stock Prices FINANCE.arxiv 2013-08-08
473 Admissible Trading Strategies Under Transaction Costs WALTER SCHACHERMAYER Admissible Trading Strategies Under Transaction Costs FINANCE.arxiv 2013-08-07
474 Trading USDCHF Filtered By Gold Dynamics Via HMM Coupling DONNY LEE Trading USDCHF Filtered By Gold Dynamics Via HMM Coupling STATISTICS.arxiv 2013-08-05
475 Unveiling Correlations Between Financial Variables And Topological Metrics Of Trading Networks: Evidence From A Stock And Its Warrant MING-XIA LI et. al. Unveiling Correlations Between Financial Variables And Topological Metrics Of Trading Networks: Evidence From A Stock And Its Warrant FINANCE.arxiv 2013-08-05
476 Distributed Energy Trading: The Multiple-Microgrid Case DAVID GREGORATTI et. al. Distributed Energy Trading: The Multiple-Microgrid Case MATH.arxiv 2013-07-29
477 Predicting Financial Markets With Google Trends And Not So Random Keywords DAMIEN CHALLET et. al. Predicting Financial Markets With Google Trends And Not So Random Keywords FINANCE.arxiv 2013-07-17
478 Big Data In Capital Markets ALEX NAZARUK et. al. In this talk we present and analyze forces behind the wide proliferation of electronic securities trading in US stocks and options markets. CS.sigmod 2013-06-17
479 Balancing Small Fixed And Proportional Transaction Cost In Trading Strategies JOSE V. ALCALA et. al. Balancing Small Fixed And Proportional Transaction Cost In Trading Strategies FINANCE.arxiv 2013-04-29
480 Virtual Machine Trading In A Federation Of Clouds: Individual Profit And Social Welfare Maximization HONGXING LI et. al. Virtual Machine Trading In A Federation Of Clouds: Individual Profit And Social Welfare Maximization CS.arxiv 2013-04-24
481 Agent-based Modeling Of A Price Information Trading Business SAAD AHMAD KHAN et. al. Agent-based Modeling Of A Price Information Trading Business CS.arxiv 2013-03-29
482 Reinvestigating The Uncovered Interest Rate Parity Puzzle Via Analysis Of Multivariate Tail Dependence In Currency Carry Trades MATTHEW AMES et. al. Reinvestigating The Uncovered Interest Rate Parity Puzzle Via Analysis Of Multivariate Tail Dependence In Currency Carry Trades FINANCE.arxiv 2013-03-18
483 Are Random Trading Strategies More Successful Than Technical Ones? A. E. BIONDO et. al. Are Random Trading Strategies More Successful Than Technical Ones? FINANCE.arxiv 2013-03-18
484 Dynamical Trading Mechanism In Limit Order Markets SHILEI WANG Dynamical Trading Mechanism In Limit Order Markets FINANCE.arxiv 2013-03-13
485 Signal Amplification In An Agent-based Herding Model ADRIÁN CARRO et. al. Signal Amplification In An Agent-based Herding Model PHYSICS.arxiv 2013-02-26
486 Realtime Market Microstructure Analysis: Online Transaction Cost Analysis ROBERT AZENCOTT et. al. Realtime Market Microstructure Analysis: Online Transaction Cost Analysis FINANCE.arxiv 2013-02-26
487 Information Transmission Between Financial Markets In Chicago And New York GREGORY LAUGHLIN et. al. Information Transmission Between Financial Markets In Chicago And New York FINANCE.arxiv 2013-02-24
488 Low Latency Communications IVANA MARIC Low Latency Communications CS.arxiv 2013-02-22
489 Robust No-free Lunch With Vanishing Risk, A Continuum Of Assets And Proportional Transaction Costs BRUNO BOUCHARD et. al. Robust No-free Lunch With Vanishing Risk, A Continuum Of Assets And Proportional Transaction Costs FINANCE.arxiv 2013-02-02
490 Trading Networks, Abnormal Motifs And Stock Manipulation ZHI-QIANG JIANG et. al. Trading Networks, Abnormal Motifs And Stock Manipulation FINANCE.arxiv 2012-12-31
491 The Normaly Distributed Daily Returns In Stock Trading YOUNES BEN-GHABRIT The Normaly Distributed Daily Returns In Stock Trading FINANCE.arxiv 2012-12-30
492 Stochastic PDEs And Quantitative Finance: The Black-Scholes-Merton Model Of Options Pricing And Riskless Trading BRANDON KAPLOWITZ et. al. Stochastic PDEs And Quantitative Finance: The Black-Scholes-Merton Model Of Options Pricing And Riskless Trading FINANCE.arxiv 2012-12-09
493 Twitter Sentiment Analysis: How To Hedge Your Bets In The Stock Markets TUSHAR RAO et. al. Twitter Sentiment Analysis: How To Hedge Your Bets In The Stock Markets CS.arxiv 2012-12-05
494 Mean-variance Hedging Via Stochastic Control And BSDEs For General Semimartingales MONIQUE JEANBLANC et. al. Mean-variance Hedging Via Stochastic Control And BSDEs For General Semimartingales MATH.arxiv 2012-11-29
495 High Frequency Trading And Mini Flash Crashes ANTON GOLUB et. al. High Frequency Trading And Mini Flash Crashes FINANCE.arxiv 2012-11-28
496 High-Frequency Trading Synchronizes Prices In Financial Markets AUSTIN GERIG High-Frequency Trading Synchronizes Prices In Financial Markets FINANCE.arxiv 2012-11-08
497 Heavy-Tailed Features And Empirical Analysis Of The Limit Order Book Volume Profiles In Futures Markets KYLIE-ANNE RICHARDS et. al. Heavy-Tailed Features And Empirical Analysis Of The Limit Order Book Volume Profiles In Futures Markets FINANCE.arxiv 2012-10-26
498 High Quality Topic Extraction From Business News Explains Abnormal Financial Market Volatility RYOHEI HISANO et. al. High Quality Topic Extraction From Business News Explains Abnormal Financial Market Volatility STATISTICS.arxiv 2012-10-23
499 Determination The Parameters Of Markowitz Portfolio Optimization Model ERTUGRUL BAYRAKTAR et. al. Determination The Parameters Of Markowitz Portfolio Optimization Model FINANCE.arxiv 2012-10-22
500 High Frequency Market Making RENE CARMONA et. al. High Frequency Market Making FINANCE.arxiv 2012-10-21
501 Simple Arbitrage CHRISTIAN BENDER Simple Arbitrage FINANCE.arxiv 2012-10-19
502 Optimal Investment With Stocks And Derivatives PIETRO SIORPAES Optimal Investment With Stocks And Derivatives FINANCE.arxiv 2012-10-19
503 The Beneficial Role Of Random Strategies In Social And Financial Systems ALESSIO EMANUELE BIONDO et. al. The Beneficial Role Of Random Strategies In Social And Financial Systems PHYSICS.arxiv 2012-09-26
504 Optimal Relaxed Portfolio Strategies For Growth Rate Maximization Problems With Transaction Costs SÖREN CHRISTENSEN et. al. Optimal Relaxed Portfolio Strategies For Growth Rate Maximization Problems With Transaction Costs FINANCE.arxiv 2012-09-03
505 How News Affect The Trading Behavior Of Different Categories Of Investors In A Financial Market FABRIZIO LILLO et. al. How News Affect The Trading Behavior Of Different Categories Of Investors In A Financial Market FINANCE.arxiv 2012-07-13
506 Microscopic Understanding Of Heavy-tailed Return Distributions In An Agent-based Model THILO A. SCHMITT et. al. Microscopic Understanding Of Heavy-tailed Return Distributions In An Agent-based Model FINANCE.arxiv 2012-07-12
507 LogBase: A Scalable Log-structured Database System In The Cloud HOANG TAM VO et. al. LogBase: A Scalable Log-structured Database System In The Cloud CS.arxiv 2012-06-30
508 DBToaster: Higher-order Delta Processing For Dynamic, Frequently Fresh Views YANIF AHMAD et. al. DBToaster: Higher-order Delta Processing For Dynamic, Frequently Fresh Views CS.arxiv 2012-06-30
509 Effective Trade Execution RICCARDO CESARI et. al. Effective Trade Execution FINANCE.arxiv 2012-06-22
510 High-frequency Market-making With Inventory Constraints And Directional Bets PIETRO FODRA et. al. High-frequency Market-making With Inventory Constraints And Directional Bets FINANCE.arxiv 2012-06-21
511 Active Portfolio Management, Positive Jensen-Jarrow Alpha, And Zero Sets Of CAPM G. CHARLES-CADOGAN Active Portfolio Management, Positive Jensen-Jarrow Alpha, And Zero Sets Of CAPM FINANCE.arxiv 2012-06-20
512 Alpha Representation For Active Portfolio Management And High Frequency Trading In Seemingly Efficient Markets GODFREY CHARLES-CADOGAN Alpha Representation For Active Portfolio Management And High Frequency Trading In Seemingly Efficient Markets FINANCE.arxiv 2012-06-12
513 Cone-Constrained Continuous-Time Markowitz Problems CHRISTOPH CZICHOWSKY et. al. Cone-Constrained Continuous-Time Markowitz Problems FINANCE.arxiv 2012-06-01
514 A Multi Period Equilibrium Pricing Model TRAIAN A. PIRVU et. al. A Multi Period Equilibrium Pricing Model MATH.arxiv 2012-05-28
515 A Bayesian Mixture Of Lasso Regressions With T-Errors ALBERTO COZZINI et. al. A Bayesian Mixture Of Lasso Regressions With T-Errors STATISTICS.arxiv 2012-05-22
516 Point Process Bridges And Weak Convergence Of Insider Trading Models UMUT ÇETIN et. al. Point Process Bridges And Weak Convergence Of Insider Trading Models MATH.arxiv 2012-05-19
517 Universal Algorithm For Online Trading Based On The Method Of Calibration VLADIMIR V’YUGIN et. al. Universal Algorithm For Online Trading Based On The Method Of Calibration CS.arxiv 2012-05-16
518 Optimal Starting Times, Stopping Times And Risk Measures For Algorithmic Trading: Target Close And Implementation Shortfall MAURICIO LABADIE et. al. Optimal Starting Times, Stopping Times And Risk Measures For Algorithmic Trading: Target Close And Implementation Shortfall FINANCE.arxiv 2012-05-15
519 Optimal High Frequency Trading In A Pro-Rata Microstructure With Predictive Information FABIEN GUILBAUD et. al. Optimal High Frequency Trading In A Pro-Rata Microstructure With Predictive Information FINANCE.arxiv 2012-05-14
520 Foraging Under Conditions Of Short-term Exploitative Competition: The Case Of Stock Traders SERGUEI SAAVEDRA et. al. Foraging Under Conditions Of Short-term Exploitative Competition: The Case Of Stock Traders BIOLOGY.arxiv 2012-05-14
521 Fractal Profit Landscape Of The Stock Market ANDREAS GRONLUND et. al. Fractal Profit Landscape Of The Stock Market FINANCE.arxiv 2012-05-02
522 Optimal Multifactor Trading Under Proportional Transaction Costs RICHARD J. MARTIN Optimal Multifactor Trading Under Proportional Transaction Costs FINANCE.arxiv 2012-04-29
523 Negative Call Prices JOHANNES RUF Negative Call Prices FINANCE.arxiv 2012-04-09
524 Patience Vs. Impatience Of Stock Traders PETER LERNER Patience Vs. Impatience Of Stock Traders FINANCE.arxiv 2012-04-06
525 Optimal Trading With Linear Costs JOACHIM DE LATAILLADE et. al. Optimal Trading With Linear Costs FINANCE.arxiv 2012-03-27
526 From Nuclear Reactions To High-Frequency Trading: An R-function Approach FRANK W. K. FIRK From Nuclear Reactions To High-Frequency Trading: An R-function Approach FINANCE.arxiv 2012-03-25
527 Ensemble Properties Of High Frequency Data And Intraday Trading Rules FULVIO BALDOVIN et. al. Ensemble Properties Of High Frequency Data And Intraday Trading Rules FINANCE.arxiv 2012-02-11
528 Portfolio Liquidation In Dark Pools In Continuous Time PETER KRATZ et. al. Portfolio Liquidation In Dark Pools In Continuous Time FINANCE.arxiv 2012-01-30
529 Continuous Equilibrium In Affine And Information-Based Capital Asset Pricing Models ULRICH HORST et. al. Continuous Equilibrium In Affine And Information-Based Capital Asset Pricing Models FINANCE.arxiv 2012-01-09
530 Random Matrix Approach To The Dynamics Of Stock Inventory Variations W. -X. ZHOU et. al. Random Matrix Approach To The Dynamics Of Stock Inventory Variations FINANCE.arxiv 2012-01-02
531 Automated Action Abstraction Of Imperfect Information Extensive-Form Games JOHN ALEXANDER HAWKIN et. al. The main contribution of this paper is a technique that abstracts a game’s action space by selecting one, or a small number, of the many values for each parameter. CS.aaai 2011-12-30
532 The Position Profiles Of Order Cancellations In An Emerging Stock Market GAO-FENG GU et. al. The Position Profiles Of Order Cancellations In An Emerging Stock Market FINANCE.arxiv 2011-12-28
533 An Application Of The Method Of Moments To Volatility Estimation Using Daily High, Low, Opening And Closing Prices CRISTIN BUESCU et. al. An Application Of The Method Of Moments To Volatility Estimation Using Daily High, Low, Opening And Closing Prices FINANCE.arxiv 2011-12-19
534 Impact Of Meta-order In The Minority Game ANDRE CARDOSO BARATO et. al. Impact Of Meta-order In The Minority Game FINANCE.arxiv 2011-12-16
535 Evidence Of Market Manipulation In The Financial Crisis VEDANT MISRA et. al. Evidence Of Market Manipulation In The Financial Crisis FINANCE.arxiv 2011-12-13
536 Optimal Posting Price Of Limit Orders: Learning By Trading SOPHIE LARUELLE et. al. Optimal Posting Price Of Limit Orders: Learning By Trading FINANCE.arxiv 2011-12-11
537 Evolving Chart Pattern Sensitive Neural Network Based Forex Trading Agents GENE I. SHER Evolving Chart Pattern Sensitive Neural Network Based Forex Trading Agents CS.arxiv 2011-11-25
538 Privacy-Preserving Methods For Sharing Financial Risk Exposures EMMANUEL A. ABBE et. al. Privacy-Preserving Methods For Sharing Financial Risk Exposures FINANCE.arxiv 2011-11-19
539 Memory Effects In Stock Price Dynamics: Evidences Of Technical Trading FEDERICO GARZARELLI et. al. Memory Effects In Stock Price Dynamics: Evidences Of Technical Trading FINANCE.arxiv 2011-10-24
540 Suitability Of Using Technical Indicators As Potential Strategies Within Intelligent Trading Systems EVAN HURWITZ et. al. Suitability Of Using Technical Indicators As Potential Strategies Within Intelligent Trading Systems FINANCE.arxiv 2011-10-15
541 Distinguishing Manipulated Stocks Via Trading Network Analysis XIAO-QIAN SUN et. al. Distinguishing Manipulated Stocks Via Trading Network Analysis FINANCE.arxiv 2011-10-10
542 Synchronicity, Instant Messaging And Performance Among Financial Traders SERGUEI SAAVEDRA et. al. Synchronicity, Instant Messaging And Performance Among Financial Traders PHYSICS.arxiv 2011-10-03
543 The Capital Asset Pricing Model As A Corollary Of The Black-Scholes Model VLADIMIR VOVK The Capital Asset Pricing Model As A Corollary Of The Black-Scholes Model FINANCE.arxiv 2011-09-23
544 The Efficient Index Hypothesis And Its Implications In The BSM Model VLADIMIR VOVK The Efficient Index Hypothesis And Its Implications In The BSM Model FINANCE.arxiv 2011-09-11
545 Constructing The Best Trading Strategy: A New General Framework PHILIP Z. MAYMIN et. al. Constructing The Best Trading Strategy: A New General Framework FINANCE.arxiv 2011-08-03
546 Ito Calculus Without Probability In Idealized Financial Markets VLADIMIR VOVK Ito Calculus Without Probability In Idealized Financial Markets FINANCE.arxiv 2011-08-03
547 Detection Of Crashes And Rebounds In Major Equity Markets WANFENG YAN et. al. Detection Of Crashes And Rebounds In Major Equity Markets FINANCE.arxiv 2011-07-30
548 Identification Of Clusters Of Investors From Their Real Trading Activity In A Financial Market MICHELE TUMMINELLO et. al. Identification Of Clusters Of Investors From Their Real Trading Activity In A Financial Market FINANCE.arxiv 2011-07-20
549 Robust Maximization Of Asymptotic Growth Under Covariance Uncertainty ERHAN BAYRAKTAR et. al. Robust Maximization Of Asymptotic Growth Under Covariance Uncertainty FINANCE.arxiv 2011-07-14
550 Scaling Properties And Universality Of First-passage Time Probabilities In Financial Markets JOSEP PERELLÓ et. al. Scaling Properties And Universality Of First-passage Time Probabilities In Financial Markets FINANCE.arxiv 2011-07-06
551 Stock Price Processes With Infinite Source Poisson Agents MINE CAGLAR Stock Price Processes With Infinite Source Poisson Agents MATH.arxiv 2011-06-30
552 Optimal High Frequency Trading With Limit And Market Orders FABIEN GUILBAUD et. al. Optimal High Frequency Trading With Limit And Market Orders FINANCE.arxiv 2011-06-24
553 Chaos Structures. Multicurrency Adviser On The Basis Of NSW Model And Social-financial Nets A. M. AVDEENKO Chaos Structures. Multicurrency Adviser On The Basis Of NSW Model And Social-financial Nets FINANCE.arxiv 2011-06-22
554 CRRA Utility Maximization Under Risk Constraints SANTIAGO MORENO-BROMBERG et. al. CRRA Utility Maximization Under Risk Constraints FINANCE.arxiv 2011-06-09
555 Adding To The Regulator’s Toolbox: Integration And Extension Of Two Leading Market Models BRIAN TIVNAN et. al. Adding To The Regulator’s Toolbox: Integration And Extension Of Two Leading Market Models FINANCE.arxiv 2011-05-26
557 Calibration With Changing Checking Rules And Its Application To Short-Term Trading VLADIMIR TRUNOV et. al. Calibration With Changing Checking Rules And Its Application To Short-Term Trading CS.arxiv 2011-05-21
558 On-Demand Based Wireless Resources Trading For Green Communications WENCHI CHENG et. al. On-Demand Based Wireless Resources Trading For Green Communications CS.arxiv 2011-05-02
559 Strategies Used As Spectroscopy Of Financial Markets Reveal New Stylized Facts WEI-XING ZHOU et. al. Strategies Used As Spectroscopy Of Financial Markets Reveal New Stylized Facts FINANCE.arxiv 2011-04-18
560 Constrained Mixture Models For Asset Returns Modelling IEAD REZEK Constrained Mixture Models For Asset Returns Modelling STATISTICS.arxiv 2011-03-14
561 Optimal Stopping Under Probability Distortion ZUO QUAN XU et. al. Optimal Stopping Under Probability Distortion MATH.arxiv 2011-03-09
562 Analysis Of Trade Packages In Chinese Stock Market FEI REN et. al. Analysis Of Trade Packages In Chinese Stock Market FINANCE.arxiv 2011-03-08
563 Trading Activity And Price Impact In Parallel Markets: SETS Vs. Off-book Market At The London Stock Exchange ANGELO CAROLLO et. al. Trading Activity And Price Impact In Parallel Markets: SETS Vs. Off-book Market At The London Stock Exchange FINANCE.arxiv 2011-02-03
564 On Utility Maximization Under Convex Portfolio Constraints KASPER LARSEN et. al. On Utility Maximization Under Convex Portfolio Constraints FINANCE.arxiv 2011-02-01
565 Efficient Computation Of Optimal Trading Strategies VICTOR BOYARSHINOV et. al. Efficient Computation Of Optimal Trading Strategies CS.arxiv 2010-09-23
566 Not All Microseconds Are Equal: Fine-grained Per-flow Measurements With Reference Latency Interpolation MYUNGJIN LEE et. al. To enable fine-grained per-flow measurements in routers, we propose a new scalable architecture called reference latency interpolation (RLI) that is based on our observation that packets potentially belonging to different flows that are closely spaced to each other exhibit similar delay properties. CS.sigcomm 2010-08-19
567 Models Of Self-financing Hedging Strategies In Illiquid Markets: Symmetry Reductions And Exact Solutions LJUDMILA A. BORDAG et. al. Models Of Self-financing Hedging Strategies In Illiquid Markets: Symmetry Reductions And Exact Solutions FINANCE.arxiv 2010-08-16
568 Statistical Trading Using Target Oriented Trading Agent ZEESHAN AHMED Statistical Trading Using Target Oriented Trading Agent CS.arxiv 2010-08-07
569 Empirical Limitations On High Frequency Trading Profitability MICHAEL KEARNS et. al. Empirical Limitations On High Frequency Trading Profitability FINANCE.arxiv 2010-07-15
570 Automated Liquidity Provision And The Demise Of Traditional Market Making AUSTIN GERIG et. al. Automated Liquidity Provision And The Demise Of Traditional Market Making FINANCE.arxiv 2010-07-14
571 Is High-frequency Trading Inducing Changes In Market Microstructure And Dynamics? REGINALD D. SMITH Is High-frequency Trading Inducing Changes In Market Microstructure And Dynamics? FINANCE.arxiv 2010-06-28
572 Intraday Patterns In The Cross-section Of Stock Returns STEVEN L. HESTON et. al. Intraday Patterns In The Cross-section Of Stock Returns FINANCE.arxiv 2010-05-19
573 Robust And Adaptive Algorithms For Online Portfolio Selection THEODOROS TSAGARIS et. al. Robust And Adaptive Algorithms For Online Portfolio Selection FINANCE.arxiv 2010-05-17
574 Rough Paths In Idealized Financial Markets VLADIMIR VOVK Rough Paths In Idealized Financial Markets FINANCE.arxiv 2010-05-03
575 A Multi Agent Model For The Limit Order Book Dynamics MARCO BARTOLOZZI A Multi Agent Model For The Limit Order Book Dynamics FINANCE.arxiv 2010-05-02
576 Hedging Errors Induced By Discrete Trading Under An Adaptive Trading Strategy MATS BRODÉN et. al. Hedging Errors Induced By Discrete Trading Under An Adaptive Trading Strategy FINANCE.arxiv 2010-04-26
577 Optimal Closing Of A Pair Trade With A Model Containing Jumps STIG LARSSON et. al. Optimal Closing Of A Pair Trade With A Model Containing Jumps FINANCE.arxiv 2010-04-17
579 Diagnosis And Prediction Of Market Rebounds In Financial Markets WANFENG YAN et. al. Diagnosis And Prediction Of Market Rebounds In Financial Markets FINANCE.arxiv 2010-03-30
580 Hedging Under Arbitrage JOHANNES RUF Hedging Under Arbitrage FINANCE.arxiv 2010-03-25
581 Risk Aversion Asymptotics For Power Utility Maximization MARCEL NUTZ Risk Aversion Asymptotics For Power Utility Maximization FINANCE.arxiv 2010-03-18
582 Complex Stock Trading Network Among Investors ZHI-QIANG JIANG et. al. Complex Stock Trading Network Among Investors FINANCE.arxiv 2010-03-11
583 Outsider Trading DORJE C. BRODY et. al. Outsider Trading FINANCE.arxiv 2010-03-03
584 Regulation Simulation PHILIP MAYMIN Regulation Simulation FINANCE.arxiv 2010-02-11
585 A New Space-time Model For Volatility Clustering In The Financial Market MARIA BOGUTA et. al. A New Space-time Model For Volatility Clustering In The Financial Market FINANCE.arxiv 2010-02-03
586 Does Security Transaction Volume-Price Behavior Resemble A Probability Wave? LEILEI SHI Does Security Transaction Volume-Price Behavior Resemble A Probability Wave? FINANCE.arxiv 2010-01-06
587 A Security Price Volatile Trading Conditioning Model LEILEI SHI et. al. A Security Price Volatile Trading Conditioning Model FINANCE.arxiv 2010-01-05
588 Defining, Estimating And Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis ARTHUR M. BERD et. al. Defining, Estimating And Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis FINANCE.arxiv 2009-12-23
589 Sequential Optimizing Strategy In Multi-dimensional Bounded Forecasting Games MASAYUKI KUMON et. al. Sequential Optimizing Strategy In Multi-dimensional Bounded Forecasting Games MATH.arxiv 2009-11-19
590 Admissible Strategies In Semimartingale Portfolio Selection SARA BIAGINI et. al. Admissible Strategies In Semimartingale Portfolio Selection FINANCE.arxiv 2009-10-20
591 Every Microsecond Counts: Tracking Fine-grain Latencies With A Lossy Difference Aggregator RAMANA RAO KOMPELLA et. al. We describe a compact data structure that efficiently computes the average and standard deviation of latency and loss rate in a coordinated streaming environment. CS.sigcomm 2009-08-19
592 Minority Games, Evolving Capitals And Replicator Dynamics TOBIAS GALLA et. al. Minority Games, Evolving Capitals And Replicator Dynamics PHYSICS.arxiv 2009-08-17
593 Market Impact And Trading Profile Of Large Trading Orders In Stock Markets ESTEBAN MORO et. al. Market Impact And Trading Profile Of Large Trading Orders In Stock Markets FINANCE.arxiv 2009-08-03
594 Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets PAUL GASSIAT et. al. Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets FINANCE.arxiv 2009-07-13
595 Optimal Portfolio Liquidation With Execution Cost And Risk IDRIS KHARROUBI et. al. Optimal Portfolio Liquidation With Execution Cost And Risk MATH.arxiv 2009-06-14
596 No Arbitrage Without Semimartingales ROBERT A. JARROW et. al. No Arbitrage Without Semimartingales MATH.arxiv 2009-06-12
597 Spiraling Toward Market Completeness And Financial Instability MATTEO MARSILI Spiraling Toward Market Completeness And Financial Instability FINANCE.arxiv 2009-06-08
598 The Premium Of Dynamic Trading CHUN HUNG CHIU et. al. The Premium Of Dynamic Trading FINANCE.arxiv 2009-06-04
599 Trading Leads To Scale-free Self-organization M. EBERT et. al. Trading Leads To Scale-free Self-organization FINANCE.arxiv 2009-05-29
600 Continuous-time Trading And The Emergence Of Probability VLADIMIR VOVK Continuous-time Trading And The Emergence Of Probability MATH.arxiv 2009-04-28
601 Local Risk Decomposition For High-frequency Trading Systems M. BARTOLOZZI et. al. Local Risk Decomposition For High-frequency Trading Systems FINANCE.arxiv 2009-04-27
602 An Investigation Report On Auction Mechanism Design JINZHONG NIU et. al. An Investigation Report On Auction Mechanism Design CS.arxiv 2009-04-07
603 Optimal Investment With Counterparty Risk: A Default-density Modeling Approach YING JIAO et. al. Optimal Investment With Counterparty Risk: A Default-density Modeling Approach MATH.arxiv 2009-03-05
604 Emergence Of Power Law In A Market With Mixed Models M. ALI SAIF et. al. Emergence Of Power Law In A Market With Mixed Models FINANCE.arxiv 2009-02-12
605 The Minimal Model Of Financial Complexity PHILIP MAYMIN The Minimal Model Of Financial Complexity FINANCE.arxiv 2009-01-24
606 State-dependent Utility Maximization In Lévy Markets JOSE E. FIGUEROA-LOPEZ et. al. State-dependent Utility Maximization In Lévy Markets FINANCE.arxiv 2009-01-14
607 A Long-range Memory Stochastic Model Of The Return In Financial Markets V. GONTIS et. al. A Long-range Memory Stochastic Model Of The Return In Financial Markets FINANCE.arxiv 2009-01-07
608 Evaluating The Performance Of Adapting Trading Strategies With Different Memory Lengths ANDREAS KRAUSE Evaluating The Performance Of Adapting Trading Strategies With Different Memory Lengths FINANCE.arxiv 2009-01-05
609 Liquidity Risk, Price Impacts And The Replication Problem ALEXANDRE F. ROCH Liquidity Risk, Price Impacts And The Replication Problem MATH.arxiv 2008-12-12
610 Multiplicative Approximation Of Wealth Processes Involving No-short-sale Strategies Via Simple Trading CONSTANTINOS KARDARAS et. al. Multiplicative Approximation Of Wealth Processes Involving No-short-sale Strategies Via Simple Trading FINANCE.arxiv 2008-11-28
612 Le Trading Algorithmique VICTOR LEBRETON Le Trading Algorithmique FINANCE.arxiv 2008-10-22
613 The Stock Market As A Game: An Agent Based Approach To Trading In Stocks ERIC ENGLE The Stock Market As A Game: An Agent Based Approach To Trading In Stocks FINANCE.arxiv 2008-09-02
614 Robust Hedging Of Double Touch Barrier Options ALEXANDER M. G. COX et. al. Robust Hedging Of Double Touch Barrier Options FINANCE.arxiv 2008-08-29
615 Dynamic Modeling Of Mean-reverting Spreads For Statistical Arbitrage KOSTAS TRIANTAFYLLOPOULOS et. al. Dynamic Modeling Of Mean-reverting Spreads For Statistical Arbitrage FINANCE.arxiv 2008-08-12
616 Joint Analysis And Estimation Of Stock Prices And Trading Volume In Barndorff-Nielsen And Shephard Stochastic Volatility Models FRIEDRICH HUBALEK et. al. Joint Analysis And Estimation Of Stock Prices And Trading Volume In Barndorff-Nielsen And Shephard Stochastic Volatility Models FINANCE.arxiv 2008-07-22
617 Informed Traders DORJE C. BRODY et. al. Informed Traders FINANCE.arxiv 2008-07-08
618 How To Grow A Bubble: A Model Of Myopic Adapting Agents GEORGES HARRAS et. al. How To Grow A Bubble: A Model Of Myopic Adapting Agents FINANCE.arxiv 2008-06-18
619 A Unified Framework For Utility Maximization Problems: An Orlicz Space Approach SARA BIAGINI et. al. A Unified Framework For Utility Maximization Problems: An Orlicz Space Approach MATH.arxiv 2008-06-16
620 A Model For Interevent Times With Long Tails And Multifractality In Human Communications: An Application To Financial Trading J. PERELLO et. al. A Model For Interevent Times With Long Tails And Multifractality In Human Communications: An Application To Financial Trading FINANCE.arxiv 2008-05-09
621 Optimal Robust Mean-Variance Hedging In Incomplete Financial Markets N. LAZRIEVA et. al. Optimal Robust Mean-Variance Hedging In Incomplete Financial Markets FINANCE.arxiv 2008-05-01
622 Modified Holder Exponents Approach To Prediction Of The USA Stock Market Critical Points And Crashes YU. A KUPERIN et. al. Modified Holder Exponents Approach To Prediction Of The USA Stock Market Critical Points And Crashes FINANCE.arxiv 2008-02-29
623 Multistep Bayesian Strategy In Coin-tossing Games And Its Application To Asset Trading Games In Continuous Time KEI TAKEUCHI et. al. Multistep Bayesian Strategy In Coin-tossing Games And Its Application To Asset Trading Games In Continuous Time FINANCE.arxiv 2008-02-28
624 No Arbitrage Conditions For Simple Trading Strategies ERHAN BAYRAKTAR et. al. No Arbitrage Conditions For Simple Trading Strategies FINANCE.arxiv 2008-01-25
625 Providing A Recommended Trading Agent To A Population: A Novel Approach EFRAT MANISTERSKI et. al. This paper presents a novel approach for providing automated trading agents to a population, focusing on bilateral negotiation with unenforceable agreements. CS.ijcai 2007-12-30
626 Trading In Risk Dimensions (TRD) LESTER INGBER Trading In Risk Dimensions (TRD) CS.arxiv 2007-12-17
627 The Impact Of Heterogeneous Trading Rules On The Limit Order Book And Order Flows CARL CHIARELLA et. al. The Impact Of Heterogeneous Trading Rules On The Limit Order Book And Order Flows FINANCE.arxiv 2007-11-22
628 Flexible Least Squares For Temporal Data Mining And Statistical Arbitrage GIOVANNI MONTANA et. al. Flexible Least Squares For Temporal Data Mining And Statistical Arbitrage FINANCE.arxiv 2007-09-25
629 An Empirical Behavioral Model Of Liquidity And Volatility SZABOLCS MIKE et. al. An Empirical Behavioral Model Of Liquidity And Volatility FINANCE.arxiv 2007-09-03
630 A Non Parametric Model For The Forecasting Of The Venezuelan Oil Prices SABATINO COSTANZO et. al. A Non Parametric Model For The Forecasting Of The Venezuelan Oil Prices CS.arxiv 2007-08-28
631 A New Formulation Of Asset Trading Games In Continuous Time With Essential Forcing Of Variation Exponent KEI TAKEUCHI et. al. A New Formulation Of Asset Trading Games In Continuous Time With Essential Forcing Of Variation Exponent FINANCE.arxiv 2007-08-02
632 Multi-scale Correlations In Different Futures Markets M. BARTOLOZZI et. al. Multi-scale Correlations In Different Futures Markets FINANCE.arxiv 2007-07-23
633 Growth-optimal Portfolios Under Transaction Costs JAN PALCZEWSKI et. al. Growth-optimal Portfolios Under Transaction Costs FINANCE.arxiv 2007-07-21
634 Multifractality In Stock Indexes: Fact Or Fiction? ZHI-QIANG JIANG et. al. Multifractality In Stock Indexes: Fact Or Fiction? FINANCE.arxiv 2007-06-14
635 Inferring The Composition Of A Trader Population In A Financial Market NACHI GUPTA et. al. Inferring The Composition Of A Trader Population In A Financial Market CS.arxiv 2007-06-06
636 Optimal Investment With An Unbounded Random Endowment And Utility-Based Pricing MARK OWEN et. al. Optimal Investment With An Unbounded Random Endowment And Utility-Based Pricing FINANCE.arxiv 2007-06-04
637 Detecting Anchoring In Financial Markets JORGEN VITTING ANDERSEN Detecting Anchoring In Financial Markets FINANCE.arxiv 2007-05-23
638 Entropy Oriented Trading: A Trading Strategy Based On The Second Law Of Thermodynamics YOICHI HIRAI Entropy Oriented Trading: A Trading Strategy Based On The Second Law Of Thermodynamics FINANCE.arxiv 2007-05-21
639 Geometry Of Polar Wedges And Super-replication Prices In Incomplete Financial Markets FRANK OERTEL et. al. Geometry Of Polar Wedges And Super-replication Prices In Incomplete Financial Markets MATH.arxiv 2006-09-14
640 An E-market Framework For Informed Trading JOHN DEBENHAM et. al. This paper describes a demonstrable prototype e-trading system that integrates these three technologies and is available on the World Wide Web. CS.www 2006-05-13
641 Scaling Analysis Of Multivariate Intermittent Time Series ROBERT KITT et. al. Scaling Analysis Of Multivariate Intermittent Time Series PHYSICS.arxiv 2005-01-13
642 Study On Evolvement Complexity In An Artificial Stock Market CHUN-XIA YANG et. al. Study On Evolvement Complexity In An Artificial Stock Market PHYSICS.arxiv 2004-06-07
643 On Non-markovian Nature Of Stock Trading ANDREI LEONIDOV On Non-markovian Nature Of Stock Trading PHYSICS.arxiv 2004-03-18
644 Could Short Selling Make Financial Markets Tumble? JORGEN VITTING ANDERSEN Could Short Selling Make Financial Markets Tumble? PHYSICS.arxiv 2003-08-26
645 The 2001 Trading Agent Competition MICHAEL P. WELLMAN et. al. The 2001 Trading Agent Competition CS.aaai 2002-12-30
646 Generating Trading Agent Strategies DANIEL REEVES et. al. My thesis work concerns the generation of trading agent strategies — automatically, semi-automatically, and manually. CS.aaai 2002-12-30
647 Dynamics Of Price And Trading Volume In A Spin Model Of Stock Markets With Heterogeneous Agents TAISEI KAIZOJI et. al. Dynamics Of Price And Trading Volume In A Spin Model Of Stock Markets With Heterogeneous Agents PHYSICS.arxiv 2002-07-10
648 The Perception Of Time, Risk And Return During Periods Of Speculation EMANUEL DERMAN The Perception Of Time, Risk And Return During Periods Of Speculation PHYSICS.arxiv 2002-01-18
649 A Quantitative Model Of Trading And Price Formation In Financial Markets MARCUS G. DANIELS et. al. A Quantitative Model Of Trading And Price Formation In Financial Markets PHYSICS.arxiv 2001-12-23
650 Pricing Formulas, Model Error And Hedging Derivative Portfolios T. R. HURD Pricing Formulas, Model Error And Hedging Derivative Portfolios PHYSICS.arxiv 2001-08-31
651 Levels Of Complexity In Financial Markets GIOVANNI BONANNO et. al. Levels Of Complexity In Financial Markets PHYSICS.arxiv 2001-04-19
652 The Price Dynamics Of Common Trading Strategies J. DOYNE FARMER et. al. The Price Dynamics Of Common Trading Strategies PHYSICS.arxiv 2000-12-21
653 Moving Averages And Markets Inefficiency R. BAVIERA et. al. Moving Averages And Markets Inefficiency PHYSICS.arxiv 2000-11-20
654 Towards Understanding The Predictability Of Stock Markets From The Perspective Of Computational Complexity JAMES ASPNES et. al. Towards Understanding The Predictability Of Stock Markets From The Perspective Of Computational Complexity CS.arxiv 2000-10-14
655 Mixtures Of Eigenfeatures For Real-time Structure From Texture T. JEBARA et. al. We describe a face modeling system which estimates complete facial structure and texture from a real-time video stream. CS.iccv 1998-10-29
656 High Contention In A Stock Trading Database: A Case Study PETER PEINL et. al. As a result, we propose extended data types and several novel mechanisms, which are easy to use and highly increase the expressional power of transaction oriented programming, that effectively cope with hot spots. CS.sigmod 1988-06-17