منابع مشابه
Algorithmic Trading of Futures via Machine Learning
A lgorithmic trading of securities has become a staple of modern approaches to financial investment. In this project, I attempt to obtain an effective strategy for trading a collection of 27 financial futures based solely on their past trading data. All of the strategies that I consider are based on predictions of the future price and volatility of the various securities under consideration, an...
متن کاملLearning Gated Bayesian Networks for Algorithmic Trading
Abstract. Gated Bayesian networks (GBNs) are a recently introduced extension of Bayesian networks that aims to model dynamical systems consisting of several distinct phases. In this paper, we present an algorithm for semi-automatic learning of GBNs. We use the algorithm to learn GBNs that output buy and sell decisions for use in algorithmic trading systems. We show how using the learnt GBNs can...
متن کاملAlgorithmic Trading with Markov Chains
An order book consists of a list of all buy and sell offers, represented by price and quantity, available to a market agent. The order book changes rapidly, within fractions of a second, due to new orders being entered into the book. The volume at a certain price level may increase due to limit orders, i.e. orders to buy or sell placed at the end of the queue, or decrease because of market orde...
متن کاملIntention-Disguised Algorithmic Trading
We propose a general model underlying the problem of designing trading strategies that leak no information to frontrunners and other exploiters. We study major scenarios in the market and design a family of algorithms that can be proven to leak no information in important scenarios. These algorithms can serve as building blocks for more challenging real-world scenarios beyond our current scope....
متن کاملAlgorithmic Trading and Information
We examine algorithmic trades (AT) and their role in the price discovery process in the 30 DAX stocks on the Deutsche Boerse in January 2008. AT liquidity demand represents 52% of volume and AT supplies liquidity on 50% of volume. AT act strategically by monitoring the market for liquidity and deviations of price from fundamental value. AT consume liquidity when it is cheap and supply liquidity...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2016
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s021902491650028x