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                Trading and Market Microstructure

                Authors and titles for recent submissions

                [ total of 6 entries: 1-6 ]
                [ showing up to 25 entries per page: fewer | more ]

                Fri, 22 May 2020

                [1]  arXiv:2005.10488 [pdf, other]
                Title: Does an artificial intelligence perform market manipulation with its own discretion? -- A genetic algorithm learns in an artificial market simulation
                Authors: Takanobu Mizuta
                Subjects: Trading and Market Microstructure (q-fin.TR); Computational Finance (q-fin.CP); Risk Management (q-fin.RM)
                [2]  arXiv:2005.10568 (cross-list from q-fin.ST) [pdf, other]
                Title: Using the Epps effect to detect discrete data generating processes
                Comments: 13 pages, 9 figures, 1 table. Link to our supporting Julia code: this https URL
                Subjects: Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)

                Thu, 21 May 2020

                [3]  arXiv:2005.10064 [pdf, ps, other]
                Title: Recipes for hedging exotics with illiquid vanillas
                Subjects: Trading and Market Microstructure (q-fin.TR)

                Wed, 20 May 2020

                [4]  arXiv:2005.09356 [pdf, other]
                Title: Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets
                Comments: 26 pages, 9 figures
                Subjects: Trading and Market Microstructure (q-fin.TR)

                Wed, 13 May 2020

                [5]  arXiv:2005.05730 [pdf, other]
                Title: Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events
                Comments: 17 pages, 9 figures, 3 tables
                Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Mechanics (cond-mat.stat-mech)

                Thu, 30 Apr 2020

                [6]  arXiv:2004.13797 [pdf, ps, other]
                Title: A Stochastic LQR Model for Child Order Placement in Algorithmic Trading
                Subjects: Trading and Market Microstructure (q-fin.TR); Optimization and Control (math.OC); Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Applications (stat.AP)
                [ total of 6 entries: 1-6 ]
                [ showing up to 25 entries per page: fewer | more ]
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