Paper Digest: Recent Papers on Algorithmic Trading / High-Frequency Trading
Paper Digest Team extracted all recent Algorithmic Trading / High-Frequency Trading related papers on our radar, and generated highlight sentences for them. The results are then sorted by relevance & date. In addition to this ‘static’ page, we also provide a real-time version of this article, which 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 | 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 |
| 2 | 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 |
| 3 | 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 |
| 4 | 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 |
| 5 | 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 |
| 6 | 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 |
| 7 | 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 |
| 8 | 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 |
| 9 | Trading Foreign Exchange Triplets | �LVARO 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 |
| 10 | 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 |
| 11 | 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 |
| 12 | 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 |
| 13 | 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 |
| 14 | QuantNet: Transferring Learning Across Systematic Trading Strategies | ADRIANO KOSHIYAMA et. al. | In this work we introduce QuantNet: an architecture that is capable of transferring knowledge over systematic trading strategies in several financial markets. | CS.arxiv | 2020-04-07 |
| 15 | 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 |
| 16 | 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 |
| 17 | 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 |
| 18 | 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 |
| 19 | 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 |
| 20 | 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 |
| 21 | 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 |
| 22 | 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 |
| 23 | 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 |
| 24 | 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 |
| 25 | 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 |
| 26 | On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization | AN CHEN et. al. | In our non-concave optimization problem, we find that with a not too strict regulation for any VaR-constraint with an arbitrary risk level, there exists an ES-constraint leading to the same investment strategy, which shows on some level the ineffectiveness of the ES-based regulation. | MATH.arxiv | 2020-02-06 |
| 27 | 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 |
| 28 | 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 |
| 29 | 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 |
| 30 | 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 |
| 31 | 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 |
| 32 | 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 |
| 33 | 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 |
| 34 | 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 |
| 35 | 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 |
| 36 | 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 |
| 37 | 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 |
| 38 | 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 re-analyse the transition from sure to probabilistic sniping as explored in Menkveld and Zoican [14]. | FINANCE.arxiv | 2019-12-09 |
| 39 | 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 |
| 40 | 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 |
| 41 | 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 |
| 42 | 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 |
| 43 | GRuB: Gas-Efficient Blockchain Storage via Workload-Adaptive Data Replication | KAI LI et. al. | We present GRuB, a dynamic data-replication framework that monitors the smart-contract workload and makes online replication decisions. | CS.arxiv | 2019-11-11 |
| 44 | 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 |
| 45 | 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 |
| 46 | 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 |
| 47 | 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 |
| 48 | 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 |
| 49 | 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 |
| 50 | 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 |
| 52 | 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 |
| 53 | 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 |
| 54 | 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 |
| 55 | 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 |
| 56 | 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 |
| 57 | 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 |
| 58 | 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 |
| 59 | Latency and Liquidity Risk | �LVARO 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 |
| 60 | 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 |
| 61 | 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 |
| 62 | 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 |
| 63 | 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 |
| 64 | 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 |
| 65 | 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 |
| 66 | 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 |
| 67 | 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 |
| 68 | 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 |
| 69 | 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 |
| 70 | 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 |
| 71 | 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 |
| 72 | 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 |
| 73 | Event Trend Aggregation Under Rich Event Matching Semantics | OLGA POPPE et. al. | Event Trend Aggregation Under Rich Event Matching Semantics | CS.sigmod | 2019-07-02 |
| 74 | 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 |
| 75 | 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 |
| 76 | 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 |
| 77 | 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 |
| 78 | Optimal Dynamic Strategies on Gaussian Returns | NICK FIROOZYE et. al. | Optimal Dynamic Strategies on Gaussian Returns | FINANCE.arxiv | 2019-05-31 |
| 79 | 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 |
| 80 | 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 |
| 81 | 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 |
| 82 | 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 |
| 83 | 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 |
| 84 | 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 |
| 85 | 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 |
| 86 | 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 |
| 87 | 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 |
| 88 | 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 |
| 89 | 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 |
| 90 | 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 |
| 91 | 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 |
| 92 | 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 |
| 93 | 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 |
| 94 | 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 |
| 95 | 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 |
| 96 | 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 |
| 97 | 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 |
| 98 | 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 |
| 99 | 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 |
| 100 | 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 |
| 101 | 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 |
| 102 | Understanding What Drives Bitcoin Trading Activities | NATALIA JERDACK et. al. | Understanding What Drives Bitcoin Trading Activities | CS.arxiv | 2018-12-27 |
| 103 | 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 |
| 104 | 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 |
| 105 | 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 |
| 106 | Verl�ssliche 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 |
| 107 | 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 |
| 108 | Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy | VLADIM�R HOL� 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 |
| 109 | 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 |
| 110 | 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 |
| 111 | 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 |
| 112 | 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 |
| 113 | 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 |
| 114 | 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 |
| 115 | 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 |
| 116 | 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 |
| 117 | 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 |
| 118 | Optimal Execution Strategy Under Price and Volume Uncertainty | 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 |
| 119 | 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 |
| 120 | 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 |
| 121 | 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 |
| 122 | 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 |
| 123 | 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 |
| 124 | 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 |
| 125 | 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 |
| 126 | Deep Neural Networks in High Frequency Trading | PRAKHAR GANESH et. al. | The main objective of this paper is to propose a novel way of modeling the high frequency trading problem using Deep Neural Networks at its heart and to argue why Deep Learning methods can have a lot of potential in the field of High Frequency Trading. | CS.arxiv | 2018-09-05 |
| 127 | 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 |
| 128 | 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 |
| 129 | Optical TEMPEST | JOE LOUGHRY | Optical TEMPEST | CS.arxiv | 2018-08-21 |
| 130 | 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 |
| 131 | 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 |
| 132 | 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 |
| 133 | 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 |
| 134 | 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 |
| 135 | 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 |
| 136 | Facilitating Ontology Development with Continuous Evaluation | DEJAN LAVBI? 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 |
| 137 | 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 |
| 138 | Systems of ergodic BSDE 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 |
| 139 | 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 |
| 140 | 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 |
| 141 | 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 |
| 142 | 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 |
| 143 | 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 |
| 144 | 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 |
| 145 | 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 |
| 146 | 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 |
| 147 | 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 |
| 148 | MOrdReD: Memory-based Ordinal Regression Deep Neural Networks for Time Series Forecasting | BERNARDO P�REZ 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 |
| 149 | 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 |
| 150 | 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 |
| 151 | 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 |
| 152 | It� 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 |
| 153 | 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 |
| 154 | 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 |
| 155 | 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 |
| 156 | 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 |
| 157 | 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 |
| 158 | Deep Hedging | HANS B�HLER 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 |
| 159 | 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 |
| 160 | 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 |
| 161 | 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 |
| 162 | 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 |
| 163 | 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 |
| 164 | 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 |
| 165 | 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 |
| 166 | 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 |
| 167 | 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 |
| 168 | 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 |
| 169 | Trading Strategies with Position Limits | VALERII SALOV | Trading Strategies with Position Limits | FINANCE.arxiv | 2017-12-19 |
| 170 | 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 |
| 171 | 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 |
| 172 | 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 |
| 173 | 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 |
| 174 | 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 |
| 175 | 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 |
| 176 | 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 |
| 177 | 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 |
| 178 | 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 |
| 179 | Time Series Prediction : Predicting Stock Price | AARON ELLIOT et. al. | Time Series Prediction : Predicting Stock Price | STATISTICS.arxiv | 2017-10-16 |
| 180 | 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 |
| 181 | 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 |
| 182 | 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 |
| 183 | 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 |
| 184 | Pricing derivatives in Hermite markets | STOYAN V. STOYANOV et. al. | Pricing derivatives in Hermite markets | FINANCE.arxiv | 2017-09-26 |
| 185 | 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 |
| 186 | Winning Investment Strategies Based on Financial Crisis Indicators | ANTOINE KORNPROBST | Winning Investment Strategies Based on Financial Crisis Indicators | FINANCE.arxiv | 2017-09-08 |
| 187 | The microstructure of high frequency markets | RENE CARMONA et. al. | The microstructure of high frequency markets | FINANCE.arxiv | 2017-09-06 |
| 188 | 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 |
| 189 | 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 |
| 190 | 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 |
| 191 | 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 |
| 192 | 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 |
| 193 | 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 |
| 194 | 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 |
| 195 | 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 |
| 196 | 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 |
| 197 | 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 |
| 198 | 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 |
| 199 | Mining Features Associated with Effective Tweets | JIAN XU et. al. | Mining Features Associated with Effective Tweets | CS.arxiv | 2017-06-22 |
| 200 | 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 |
| 201 | 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 |
| 202 | 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 |
| 203 | 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 |
| 204 | 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 |
| 205 | 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 |
| 206 | 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 |
| 207 | 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 |
| 208 | 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 |
| 209 | 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 |
| 210 | Wealth dynamics in a sentiment-driven market | MIKHAIL GOYKHMAN | Wealth dynamics in a sentiment-driven market | FINANCE.arxiv | 2017-05-19 |
| 211 | 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 |
| 212 | 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 |
| 213 | 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 |
| 214 | 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 |
| 215 | Algorithmic trading in a microstructural limit order book model | FR�D�RIC 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 |
| 216 | Multi-Period Trading via Convex Optimization | STEPHEN BOYD et. al. | Multi-Period Trading via Convex Optimization | FINANCE.arxiv | 2017-04-28 |
| 217 | 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 |
| 218 | 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 |
| 219 | 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 |
| 220 | 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 |
| 221 | 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 |
| 222 | Perfect hedging under endogenous permanent market impacts | MASAAKI FUKASAWA et. al. | Perfect hedging under endogenous permanent market impacts | FINANCE.arxiv | 2017-02-05 |
| 223 | Optimal Trading with a Trailing Stop | TIM LEUNG et. al. | Optimal Trading with a Trailing Stop | FINANCE.arxiv | 2017-01-14 |
| 224 | 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 |
| 225 | 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 |
| 226 | 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 |
| 227 | 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 |
| 228 | 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 |
| 229 | 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 |
| 230 | 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 |
| 231 | 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 |
| 232 | 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 |
| 233 | 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 |
| 234 | 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 |
| 235 | 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 |
| 236 | Optimal Portfolios of Illiquid Assets | T. R. HURD et. al. | Optimal Portfolios of Illiquid Assets | FINANCE.arxiv | 2016-10-02 |
| 237 | Biased Roulette Wheel: A Quantitative Trading Strategy Approach | GIANCARLO SALIRROSAS MART�NEZ | Biased Roulette Wheel: A Quantitative Trading Strategy Approach | FINANCE.arxiv | 2016-09-30 |
| 238 | 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 |
| 239 | 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 |
| 240 | 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 |
| 241 | 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 |
| 242 | 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 |
| 243 | Optimal Learning of Specifications from Examples | DANA DRACHSLER-COHEN et. al. | Optimal Learning of Specifications from Examples | CS.arxiv | 2016-07-30 |
| 244 | 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 |
| 245 | 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 |
| 246 | 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 |
| 247 | 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 |
| 248 | 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 |
| 249 | Optimal market making | OLIVIER GU�ANT | Optimal market making | FINANCE.arxiv | 2016-05-06 |
| 250 | 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 |
| 251 | 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 |
| 252 | 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 |
| 253 | Trading Strategies Generated by Lyapunov Functions | IOANNIS KARATZAS et. al. | Trading Strategies Generated by Lyapunov Functions | FINANCE.arxiv | 2016-03-27 |
| 254 | Universal trading under proportional transaction costs | RICHARD J MARTIN | Universal trading under proportional transaction costs | FINANCE.arxiv | 2016-03-21 |
| 255 | The geometric phase of stock trading | CLAUDIO ALTAFINI | The geometric phase of stock trading | FINANCE.arxiv | 2016-03-17 |
| 256 | 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 |
| 257 | 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 |
| 258 | 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 |
| 259 | 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 |
| 260 | A pathwise approach to continuous-time trading | CANDIA RIGA | A pathwise approach to continuous-time trading | FINANCE.arxiv | 2016-02-16 |
| 261 | Model-Free Discretisation-Invariant Swap Contracts | CAROL ALEXANDER et. al. | Model-Free Discretisation-Invariant Swap Contracts | FINANCE.arxiv | 2016-01-31 |
| 262 | 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 |
| 263 | Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift | J�RN SASS et. al. | Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift | FINANCE.arxiv | 2016-01-29 |
| 264 | Speculative Futures Trading under Mean Reversion | TIM LEUNG et. al. | Speculative Futures Trading under Mean Reversion | FINANCE.arxiv | 2016-01-16 |
| 265 | 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 |
| 266 | 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 |
| 267 | 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 |
| 268 | 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 |
| 269 | 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 |
| 270 | 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 |
| 271 | Learning Unfair Trading: a Market Manipulation Analysis From the Reinforcement Learning Perspective | ENRIQUE MART�NEZ-MIRANDA et. al. | Learning Unfair Trading: a Market Manipulation Analysis From the Reinforcement Learning Perspective | FINANCE.arxiv | 2015-11-02 |
| 272 | 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 |
| 273 | 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 |
| 274 | Correctness of Backtest Engines | ROBERT L�W et. al. | Correctness of Backtest Engines | FINANCE.arxiv | 2015-09-28 |
| 275 | Optimal trading strategies – a time series approach | PETER A. BEBBINGTON et. al. | Optimal trading strategies – a time series approach | FINANCE.arxiv | 2015-09-26 |
| 276 | 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 |
| 277 | 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 |
| 278 | Dynamic Mode Decomposition for Financial Trading Strategies | JORDAN MANN et. al. | Dynamic Mode Decomposition for Financial Trading Strategies | FINANCE.arxiv | 2015-08-18 |
| 279 | 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 |
| 280 | 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 |
| 281 | 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 |
| 282 | Scale Invariance in Gravity On The Light-Front | VASUDEV SHYAM | Scale Invariance in Gravity On The Light-Front | PHYSICS.arxiv | 2015-07-27 |
| 283 | 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 |
| 284 | 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 |
| 285 | Sequential Quantiles via Hermite Series Density Estimation | MICHAEL STEPHANOU et. al. | Sequential Quantiles via Hermite Series Density Estimation | STATISTICS.arxiv | 2015-07-17 |
| 286 | 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 |
| 287 | Hedging, arbitrage and optimality with superlinear frictions | PAOLO GUASONI et. al. | Hedging, arbitrage and optimality with superlinear frictions | FINANCE.arxiv | 2015-06-19 |
| 288 | Social signals and algorithmic trading of Bitcoin | DAVID GARCIA et. al. | Social signals and algorithmic trading of Bitcoin | CS.arxiv | 2015-06-04 |
| 289 | 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 |
| 290 | 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 |
| 291 | 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 |
| 292 | 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 |
| 293 | 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 |
| 294 | Portfolio Optimization under Nonlinear Utility | GREGOR HEYNE et. al. | Portfolio Optimization under Nonlinear Utility | MATH.arxiv | 2015-04-15 |
| 295 | 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 |
| 296 | 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 |
| 297 | 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 |
| 298 | 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 |
| 299 | 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 |
| 300 | 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 |
| 301 | 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 |
| 302 | 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 |
| 303 | 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 |
| 304 | 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 |
| 305 | Robust Fundamental Theorem for Continuous Processes | SARA BIAGINI et. al. | Robust Fundamental Theorem for Continuous Processes | FINANCE.arxiv | 2014-10-18 |
| 306 | Volatility is rough | JIM GATHERAL et. al. | Volatility is rough | FINANCE.arxiv | 2014-10-13 |
| 307 | 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 |
| 308 | 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 |
| 309 | 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 |
| 310 | 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 |
| 311 | 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 |
| 312 | The Random Walk of High Frequency Trading | ERIC M. ALDRICH et. al. | The Random Walk of High Frequency Trading | FINANCE.arxiv | 2014-08-15 |
| 313 | 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 |
| 314 | 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 |
| 315 | Nowcasting the Bitcoin Market with Twitter Signals | JERMAIN KAMINSKI | Nowcasting the Bitcoin Market with Twitter Signals | CS.arxiv | 2014-06-29 |
| 316 | 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 |
| 317 | Statistical Arbitrage in the Black-Scholes Framework | AHMET GONCU | Statistical Arbitrage in the Black-Scholes Framework | FINANCE.arxiv | 2014-06-21 |
| 318 | 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 |
| 319 | 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 |
| 320 | 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 |
| 321 | A Multi-factor Adaptive Statistical Arbitrage Model | WENBIN ZHANG et. al. | A Multi-factor Adaptive Statistical Arbitrage Model | FINANCE.arxiv | 2014-05-09 |
| 322 | 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 |
| 323 | Simultaneous Trading in ‘Lit’ and Dark Pools | M. ALESSANDRA CRISAFI et. al. | Simultaneous Trading in ‘Lit’ and Dark Pools | FINANCE.arxiv | 2014-05-08 |
| 324 | 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 |
| 325 | Ensemble Committees for Stock Return Classification and Prediction | JAMES BROFOS | Ensemble Committees for Stock Return Classification and Prediction | STATISTICS.arxiv | 2014-04-05 |
| 326 | Trajectory Based Models, Arbitrage and Continuity | ALEXANDER ALVAREZ et. al. | Trajectory Based Models, Arbitrage and Continuity | MATH.arxiv | 2014-03-22 |
| 327 | 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 |
| 328 | Prospect Theory for Online Financial Trading | YANG-YU LIU et. al. | Prospect Theory for Online Financial Trading | FINANCE.arxiv | 2014-02-25 |
| 329 | Model-independent Superhedging under Portfolio Constraints | ARASH FAHIM et. al. | Model-independent Superhedging under Portfolio Constraints | FINANCE.arxiv | 2014-02-11 |
| 330 | 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 |
| 331 | 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 |
| 332 | 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 |
| 333 | 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 |
| 334 | 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 |
| 335 | Optimal Trading Strategies as Measures of Market Disequilibrium | VALERII SALOV | Optimal Trading Strategies as Measures of Market Disequilibrium | FINANCE.arxiv | 2013-12-06 |
| 336 | 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 |
| 337 | 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 |
| 338 | Frequency Effects on Predictability of Stock Returns | PAWE? FIEDOR | Frequency Effects on Predictability of Stock Returns | FINANCE.arxiv | 2013-10-21 |
| 339 | Statistical likelihood methods in finance | ARNOLD JANSSEN et. al. | Statistical likelihood methods in finance | MATH.arxiv | 2013-10-16 |
| 340 | 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 |
| 341 | 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 |
| 342 | Probabilistic aspects of finance | HANS F�LLMER et. al. | Probabilistic aspects of finance | FINANCE.arxiv | 2013-09-30 |
| 343 | Modeling capital gains taxes for trading strategies of infinite variation | CHRISTOPH K�HN et. al. | Modeling capital gains taxes for trading strategies of infinite variation | FINANCE.arxiv | 2013-09-27 |
| 344 | 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 |
| 345 | 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 |
| 346 | Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains | MIKL�S R�SONYI et. al. | Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains | FINANCE.arxiv | 2013-09-02 |
| 347 | 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 |
| 348 | 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 |
| 349 | Admissible Trading Strategies under Transaction Costs | WALTER SCHACHERMAYER | Admissible Trading Strategies under Transaction Costs | FINANCE.arxiv | 2013-08-07 |
| 350 | 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 |
| 351 | 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 |
| 352 | 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 |
| 353 | 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 |
| 354 | 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 |
| 355 | 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 |
| 356 | Dynamical Trading Mechanism in Limit Order Markets | SHILEI WANG | Dynamical Trading Mechanism in Limit Order Markets | FINANCE.arxiv | 2013-03-13 |
| 357 | 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 |
| 358 | Signal amplification in an agent-based herding model | ADRI�N CARRO et. al. | Signal amplification in an agent-based herding model | PHYSICS.arxiv | 2013-02-26 |
| 359 | 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 |
| 360 | Low Latency Communications | IVANA MARIC | Low Latency Communications | CS.arxiv | 2013-02-22 |
| 361 | 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 |
| 362 | Trading networks, abnormal motifs and stock manipulation | ZHI-QIANG JIANG et. al. | Trading networks, abnormal motifs and stock manipulation | FINANCE.arxiv | 2012-12-31 |
| 363 | The normaly distributed daily returns in stock trading | YOUNES BEN-GHABRIT | The normaly distributed daily returns in stock trading | FINANCE.arxiv | 2012-12-30 |
| 364 | 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 |
| 365 | 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 |
| 366 | 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 |
| 367 | High Frequency Trading and Mini Flash Crashes | ANTON GOLUB et. al. | High Frequency Trading and Mini Flash Crashes | FINANCE.arxiv | 2012-11-28 |
| 368 | High-Frequency Trading Synchronizes Prices in Financial Markets | AUSTIN GERIG | High-Frequency Trading Synchronizes Prices in Financial Markets | FINANCE.arxiv | 2012-11-08 |
| 369 | 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 |
| 370 | 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 |
| 371 | High Frequency Market Making | RENE CARMONA et. al. | High Frequency Market Making | FINANCE.arxiv | 2012-10-21 |
| 372 | Optimal Investment with Stocks and Derivatives | PIETRO SIORPAES | Optimal Investment with Stocks and Derivatives | FINANCE.arxiv | 2012-10-19 |
| 373 | Simple arbitrage | CHRISTIAN BENDER | Simple arbitrage | FINANCE.arxiv | 2012-10-19 |
| 374 | 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 |
| 375 | Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs | S�REN CHRISTENSEN et. al. | Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs | FINANCE.arxiv | 2012-09-03 |
| 376 | 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 |
| 377 | 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 |
| 378 | 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 |
| 379 | Effective Trade Execution | RICCARDO CESARI et. al. | Effective Trade Execution | FINANCE.arxiv | 2012-06-22 |
| 380 | 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 |
| 381 | 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 |
| 382 | 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 |
| 383 | Cone-Constrained Continuous-Time Markowitz Problems | CHRISTOPH CZICHOWSKY et. al. | Cone-Constrained Continuous-Time Markowitz Problems | FINANCE.arxiv | 2012-06-01 |
| 384 | A Multi Period Equilibrium Pricing Model | TRAIAN A. PIRVU et. al. | A Multi Period Equilibrium Pricing Model | MATH.arxiv | 2012-05-28 |
| 385 | 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 |
| 386 | Point process bridges and weak convergence of insider trading models | UMUT �ETIN et. al. | Point process bridges and weak convergence of insider trading models | MATH.arxiv | 2012-05-19 |
| 387 | 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 |
| 388 | 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 |
| 389 | 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 |
| 390 | Fractal Profit Landscape of the Stock Market | ANDREAS GRONLUND et. al. | Fractal Profit Landscape of the Stock Market | FINANCE.arxiv | 2012-05-02 |
| 391 | Optimal multifactor trading under proportional transaction costs | RICHARD J. MARTIN | Optimal multifactor trading under proportional transaction costs | FINANCE.arxiv | 2012-04-29 |
| 392 | Negative Call Prices | JOHANNES RUF | Negative Call Prices | FINANCE.arxiv | 2012-04-09 |
| 393 | Patience vs. Impatience of Stock Traders | PETER LERNER | Patience vs. Impatience of Stock Traders | FINANCE.arxiv | 2012-04-06 |
| 394 | Optimal Trading with Linear Costs | JOACHIM DE LATAILLADE et. al. | Optimal Trading with Linear Costs | FINANCE.arxiv | 2012-03-27 |
| 395 | 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 |
| 396 | 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 |
| 397 | 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 |
| 398 | 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 |
| 399 | 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 |
| 400 | 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 |
| 401 | 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 |
| 402 | 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 |
| 403 | 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 |
| 404 | 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 |
| 405 | 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 |
| 406 | 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 |
| 407 | Distinguishing manipulated stocks via trading network analysis | XIAO-QIAN SUN et. al. | Distinguishing manipulated stocks via trading network analysis | FINANCE.arxiv | 2011-10-10 |
| 408 | 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 |
| 409 | 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 |
| 410 | 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 |
| 411 | Ito calculus without probability in idealized financial markets | VLADIMIR VOVK | Ito calculus without probability in idealized financial markets | FINANCE.arxiv | 2011-08-03 |
| 412 | 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 |
| 413 | 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 |
| 414 | Scaling properties and universality of first-passage time probabilities in financial markets | JOSEP PERELL� et. al. | Scaling properties and universality of first-passage time probabilities in financial markets | FINANCE.arxiv | 2011-07-06 |
| 415 | 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 |
| 416 | CRRA Utility Maximization under Risk Constraints | SANTIAGO MORENO-BROMBERG et. al. | CRRA Utility Maximization under Risk Constraints | FINANCE.arxiv | 2011-06-09 |
| 417 | 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 |
| 418 | 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 |
| 419 | 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 |
| 420 | Constrained Mixture Models for Asset Returns Modelling | IEAD REZEK | Constrained Mixture Models for Asset Returns Modelling | STATISTICS.arxiv | 2011-03-14 |
| 421 | Optimal stopping under probability distortion | ZUO QUAN XU et. al. | Optimal stopping under probability distortion | MATH.arxiv | 2011-03-09 |
| 422 | On utility maximization under convex portfolio constraints | KASPER LARSEN et. al. | On utility maximization under convex portfolio constraints | FINANCE.arxiv | 2011-02-01 |
| 423 | Efficient Computation of Optimal Trading Strategies | VICTOR BOYARSHINOV et. al. | Efficient Computation of Optimal Trading Strategies | CS.arxiv | 2010-09-23 |
| 424 | 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 |
| 425 | Statistical Trading Using Target Oriented Trading Agent | ZEESHAN AHMED | Statistical Trading Using Target Oriented Trading Agent | CS.arxiv | 2010-08-07 |
| 426 | Empirical Limitations on High Frequency Trading Profitability | MICHAEL KEARNS et. al. | Empirical Limitations on High Frequency Trading Profitability | FINANCE.arxiv | 2010-07-15 |
| 427 | 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 |
| 428 | 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 |
| 429 | 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 |
| 430 | Rough paths in idealized financial markets | VLADIMIR VOVK | Rough paths in idealized financial markets | FINANCE.arxiv | 2010-05-03 |
| 431 | 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 |
| 432 | Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy | MATS BROD�N et. al. | Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy | FINANCE.arxiv | 2010-04-26 |
| 433 | 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 |
| 435 | 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 |
| 436 | Hedging under arbitrage | JOHANNES RUF | Hedging under arbitrage | FINANCE.arxiv | 2010-03-25 |
| 437 | Risk Aversion Asymptotics for Power Utility Maximization | MARCEL NUTZ | Risk Aversion Asymptotics for Power Utility Maximization | FINANCE.arxiv | 2010-03-18 |
| 438 | Complex stock trading network among investors | ZHI-QIANG JIANG et. al. | Complex stock trading network among investors | FINANCE.arxiv | 2010-03-11 |
| 439 | Outsider Trading | DORJE C. BRODY et. al. | Outsider Trading | FINANCE.arxiv | 2010-03-03 |
| 440 | Regulation Simulation | PHILIP MAYMIN | Regulation Simulation | FINANCE.arxiv | 2010-02-11 |
| 441 | 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 |
| 442 | 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 |
| 443 | 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 |
| 444 | Admissible Strategies in Semimartingale Portfolio Selection | SARA BIAGINI et. al. | Admissible Strategies in Semimartingale Portfolio Selection | FINANCE.arxiv | 2009-10-20 |
| 445 | Minority games, evolving capitals and replicator dynamics | TOBIAS GALLA et. al. | Minority games, evolving capitals and replicator dynamics | PHYSICS.arxiv | 2009-08-17 |
| 446 | 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 |
| 447 | 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 |
| 448 | No arbitrage without semimartingales | ROBERT A. JARROW et. al. | No arbitrage without semimartingales | MATH.arxiv | 2009-06-12 |
| 449 | Continuous-time trading and the emergence of probability | VLADIMIR VOVK | Continuous-time trading and the emergence of probability | MATH.arxiv | 2009-04-28 |
| 450 | 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 |
| 451 | An Investigation Report on Auction Mechanism Design | JINZHONG NIU et. al. | An Investigation Report on Auction Mechanism Design | CS.arxiv | 2009-04-07 |
| 452 | 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 |
| 453 | 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 |
| 454 | The Minimal Model of Financial Complexity | PHILIP MAYMIN | The Minimal Model of Financial Complexity | FINANCE.arxiv | 2009-01-24 |
| 455 | State-dependent utility maximization in L�vy markets | JOSE E. FIGUEROA-LOPEZ et. al. | State-dependent utility maximization in L�vy markets | FINANCE.arxiv | 2009-01-14 |
| 456 | 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 |
| 457 | Liquidity Risk, Price Impacts and the Replication Problem | ALEXANDRE F. ROCH | Liquidity Risk, Price Impacts and the Replication Problem | MATH.arxiv | 2008-12-12 |
| 458 | Le trading algorithmique | VICTOR LEBRETON | Le trading algorithmique | FINANCE.arxiv | 2008-10-22 |
| 459 | 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 |
| 460 | 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 |
| 461 | 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 |
| 462 | Informed Traders | DORJE C. BRODY et. al. | Informed Traders | FINANCE.arxiv | 2008-07-08 |
| 463 | 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 |
| 464 | 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 |
| 465 | 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 |
| 466 | 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 |
| 467 | 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 |
| 468 | 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 |
| 469 | No Arbitrage Conditions For Simple Trading Strategies | ERHAN BAYRAKTAR et. al. | No Arbitrage Conditions For Simple Trading Strategies | FINANCE.arxiv | 2008-01-25 |
| 470 | 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 |
| 471 | 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 |
| 472 | 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 |
| 473 | 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 |
| 474 | 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 |
| 475 | Multi-scale correlations in different futures markets | M. BARTOLOZZI et. al. | Multi-scale correlations in different futures markets | FINANCE.arxiv | 2007-07-23 |
| 476 | Growth-optimal portfolios under transaction costs | JAN PALCZEWSKI et. al. | Growth-optimal portfolios under transaction costs | FINANCE.arxiv | 2007-07-21 |
| 477 | 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 |
| 478 | 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 |
| 479 | Detecting anchoring in financial markets | JORGEN VITTING ANDERSEN | Detecting anchoring in financial markets | FINANCE.arxiv | 2007-05-23 |
| 480 | 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 |
| 481 | 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 |
| 482 | 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 |
| 483 | On non-markovian nature of stock trading | ANDREI LEONIDOV | On non-markovian nature of stock trading | PHYSICS.arxiv | 2004-03-18 |
| 484 | The 2001 Trading Agent Competition | MICHAEL P. WELLMAN et. al. | The 2001 Trading Agent Competition | CS.aaai | 2002-12-30 |
| 485 | 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 |
| 486 | Pricing formulas, model error and hedging derivative portfolios | T. R. HURD | Pricing formulas, model error and hedging derivative portfolios | PHYSICS.arxiv | 2001-08-31 |
| 487 | The price dynamics of common trading strategies | J. DOYNE FARMER et. al. | The price dynamics of common trading strategies | PHYSICS.arxiv | 2000-12-21 |
| 488 | Moving averages and markets inefficiency | R. BAVIERA et. al. | Moving averages and markets inefficiency | PHYSICS.arxiv | 2000-11-20 |
| 489 | 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 |
| 490 | 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 |
| 491 | 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 |
| 492 | 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 |
| 493 | 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 |
| 494 | 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 |
| 495 | 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 |
| 496 | 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 |
| 497 | 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 |
| 498 | Dynamic portfolio strategy using clustering approach | FEI REN et. al. | Dynamic portfolio strategy using clustering approach | FINANCE.arxiv | 2016-08-10 |
| 499 | 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 |
| 500 | 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 |
| 501 | Analyses of Statistical Structures in Economic Indices | FRANK W. K. FIRK | Analyses of Statistical Structures in Economic Indices | FINANCE.arxiv | 2014-11-21 |
| 502 | 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 |
| 503 | 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 |
| 504 | 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 |
| 505 | 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 |
| 506 | 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 |
| 507 | 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 |
| 508 | 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 |
| 509 | 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 |
| 510 | Scaling analysis of multivariate intermittent time series | ROBERT KITT et. al. | Scaling analysis of multivariate intermittent time series | PHYSICS.arxiv | 2005-01-13 |
| 511 | 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 |
| 512 | Liquidity Effects of Trading Frequency | ROMAN GAYDUK et. al. | Liquidity Effects of Trading Frequency | FINANCE.arxiv | 2015-08-31 |
| 513 | 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 |
| 514 | 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 |
| 515 | 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 |
| 516 | 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 |
| 517 | 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 |
| 518 | 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 |
| 519 | 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 |
| 520 | 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 |
| 521 | 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 |
| 522 | 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 |
| 523 | 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 |
| 524 | 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 |
| 525 | 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 |
| 526 | 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 |
| 527 | 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 |
| 528 | 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 |
| 529 | 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 |
| 530 | Time-scale effects on the gain-loss asymmetry in stock indices | BULCS� S�NDOR et. al. | Time-scale effects on the gain-loss asymmetry in stock indices | FINANCE.arxiv | 2016-08-16 |
| 531 | Market Imitation and Win-Stay Lose-Shift strategies emerge as unintended patterns in market direction guesses | MARIO GUTI�RREZ-ROIG et. al. | Market Imitation and Win-Stay Lose-Shift strategies emerge as unintended patterns in market direction guesses | FINANCE.arxiv | 2016-04-06 |
| 532 | 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 |
| 533 | 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 |
| 534 | 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 |
| 535 | 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 |
| 536 | 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 |
| 537 | 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 |
| 538 | Modeling of Stock Returns and Trading Volume | TAISEI KAIZOJI | Modeling of Stock Returns and Trading Volume | FINANCE.arxiv | 2013-09-10 |
| 539 | 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 |
| 540 | Distributed Energy Trading: The Multiple-Microgrid Case | DAVID GREGORATTI et. al. | Distributed Energy Trading: The Multiple-Microgrid Case | MATH.arxiv | 2013-07-29 |
| 541 | 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 |
| 542 | 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 |
| 543 | 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 |
| 544 | 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 |
| 545 | 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 |
| 546 | 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 |
| 547 | 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 |
| 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 | Stock Price Processes with Infinite Source Poisson Agents | MINE CAGLAR | Stock Price Processes with Infinite Source Poisson Agents | MATH.arxiv | 2011-06-30 |
| 550 | 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 |
| 551 | Financial factor influence on scaling and memory of trading volume in stock market | WEI LI et. al. | Financial factor influence on scaling and memory of trading volume in stock market | FINANCE.arxiv | 2011-06-07 |
| 552 | 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 |
| 553 | 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 |
| 554 | 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 |
| 555 | 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 |
| 556 | 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 |
| 557 | A Security Price Volatile Trading Conditioning Model | LEILEI SHI et. al. | A Security Price Volatile Trading Conditioning Model | FINANCE.arxiv | 2010-01-05 |
| 558 | Spiraling toward market completeness and financial instability | MATTEO MARSILI | Spiraling toward market completeness and financial instability | FINANCE.arxiv | 2009-06-08 |
| 559 | The premium of dynamic trading | CHUN HUNG CHIU et. al. | The premium of dynamic trading | FINANCE.arxiv | 2009-06-04 |
| 560 | Trading leads to scale-free self-organization | M. EBERT et. al. | Trading leads to scale-free self-organization | FINANCE.arxiv | 2009-05-29 |
| 561 | 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 |
| 562 | Trading in Risk Dimensions (TRD) | LESTER INGBER | Trading in Risk Dimensions (TRD) | CS.arxiv | 2007-12-17 |
| 564 | 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 |
| 565 | Multifractality in stock indexes: Fact or fiction? | ZHI-QIANG JIANG et. al. | Multifractality in stock indexes: Fact or fiction? | FINANCE.arxiv | 2007-06-14 |
| 566 | Could short selling make financial markets tumble? | JORGEN VITTING ANDERSEN | Could short selling make financial markets tumble? | PHYSICS.arxiv | 2003-08-26 |
| 567 | 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 |
| 568 | 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 |
| 569 | Levels of complexity in financial markets | GIOVANNI BONANNO et. al. | Levels of complexity in financial markets | PHYSICS.arxiv | 2001-04-19 |