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

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Paper Digest Team extracted all recent Algorithmic Trading / High-Frequency Trading related papers on our radar, and generated highlight sentences for them. The results are then sorted by relevance & date. In addition to this static page updated bi-weekly, we also provide an online version of this article, which is updated on a daily basis to include the most recent work on this topic.

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

Paper Author(s) Source Date
1 Parameters Optimization of Pair Trading Algorithm
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Highlight: This study explores the mathematical foundations of pair trading, focusing on identifying cointegrated pairs, constructing trading signals, and optimizing model parameters to maximize returns.		 Charles Barthelemy; Ruoyu Chen; Edward Lucyszyn; arxiv-cs.CE 2024-12-17
2 An Application of The Ornstein-Uhlenbeck Process to Pairs Trading
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Highlight: We conduct a preliminary analysis of a pairs trading strategy using the Ornstein-Uhlenbeck (OU) process to model stock price spreads.		 Jirat Suchato; Sean Wiryadi; Danran Chen; Ava Zhao; Michael Yue; arxiv-q-fin.TR 2024-12-16
3 STORM: A Spatio-Temporal Factor Model Based on Dual Vector Quantized Variational Autoencoders for Financial Trading
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Highlight: As a result, the learned factors are of low quality and lack diversity, reducing their effectiveness and robustness across different trading periods. To address these issues, we propose a Spatio-Temporal factOR Model based on dual vector quantized variational autoencoders, named STORM, which extracts features of stocks from temporal and spatial perspectives, then fuses and aligns these features at the fine-grained and semantic level, and represents the factors as multi-dimensional embeddings.		 YILEI ZHAO et. al. arxiv-cs.LG 2024-12-12
4 Research on Cross-provincial Power Trading Strategy Considering The Medium and Long-term Trading Plan
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Highlight: To accommodate China’s electricity market reforms integrating medium and long-term (MLT) transactions and spot transactions, and to boost renewable energy consumption through the spot market, this paper proposes an optimized cross-provincial electricity trading strategy model based on a two-layer game framework.		 Sizhe Yan; Weiqing Wang; Xiaozhu Li; Hang He; Xin Zhao; Scientific reports 2024-12-03
5 Pretrained LLM Adapted with LoRA As A Decision Transformer for Offline RL in Quantitative Trading
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Highlight: However, existing offline RL methods often struggle to capture the complex temporal dependencies inherent in financial time series and may overfit to historical patterns. To address these challenges, we introduce a Decision Transformer (DT) initialized with pre-trained GPT-2 weights and fine-tuned using Low-Rank Adaptation (LoRA).		 Suyeol Yun; arxiv-q-fin.CP 2024-11-26
6 Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide
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Highlight: We present a series of equations that track the total realized and unrealized profits and losses at any time, incorporating the spread.		 James B. Glattfelder; Thomas Houweling; arxiv-q-fin.TR 2024-11-21
7 A Study of Hybrid Deep Learning Model for Stock Asset Management
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Abstract: Crafting a lucrative stock trading strategy is pivotal in the realm of investments. However, the task of devising such a strategy becomes challenging task the intricate and …		 Yuanzhi Huo; Mengjie Jin; Sicong You; PeerJ. Computer science 2024-11-19
8 Financial News-Driven LLM Reinforcement Learning for Portfolio Management
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Highlight: This study explores the integration of sentiment analysis, derived from large language models (LLMs), into RL frameworks to enhance trading performance.		 Ananya Unnikrishnan; arxiv-q-fin.CP 2024-11-17
9 Deep Recurrent Q-network Algorithm for Carbon Emission Allowance Trading Strategy
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 Chao Wu; Wenjie Bi; Haiying Liu; Journal of environmental management 2024-11-15
10 Hybrid Vector Auto Regression and Neural Network Model for Order Flow Imbalance Prediction in High Frequency Trading
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Highlight: This paper introduces a hybrid predictive model that combines Vector Auto Regression (VAR) with a simple feedforward neural network (FNN) to forecast OFI and assess trading intensity.		 Abdul Rahman; Neelesh Upadhye; arxiv-q-fin.CP 2024-11-13
11 CryptoTrade: A Reflective LLM-based Agent to Guide Zero-shot Cryptocurrency Trading
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Highlight: This work aims to bridge the gap by developing an LLM-based trading agent, CryptoTrade, which uniquely combines the analysis of on-chain and off-chain data.		 YUAN LI et. al. emnlp 2024-11-11
12 Inferring Option Movements Through Residual Transactions: A Quantitative Model
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Highlight: This research presents a novel approach to predicting option movements by analyzing residual transactions, which are trades that deviate from standard hedging activities.		 Carl von Havighorst; Vincil Bishop III; arxiv-q-fin.CP 2024-10-21
13 Cross-contextual Sequential Optimization Via Deep Reinforcement Learning for Algorithmic Trading
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Highlight: Existing works mainly focus on capturing temporal relations while ignoring deriving essential factors across features. Therefore, we propose a DRL-based cross-contextual sequential optimization (CCSO) method for algorithmic trading.		 KAIMING PAN et. al. cikm 2024-10-21
14 Hierarchical Reinforced Trader (HRT): A Bi-Level Approach for Optimizing Stock Selection and Execution
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Highlight: Leveraging Deep Reinforcement Learning (DRL) in automated stock trading has shown promising results, yet its application faces significant challenges, including the curse of dimensionality, inertia in trading actions, and insufficient portfolio diversification. Addressing these challenges, we introduce the Hierarchical Reinforced Trader (HRT), a novel trading strategy employing a bi-level Hierarchical Reinforcement Learning framework.		 Zijie Zhao; Roy E. Welsch; arxiv-q-fin.TR 2024-10-18
15 Algorithmic and High-Frequency Trading Problems for Semi-Markov and Hawkes Jump-Diffusion Models
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Highlight: In this paper, we consider acquisition and liquidation problems for semi-Markov and Hawkes jump-diffusion models.		 Luca Lalor; Anatoliy Swishchuk; arxiv-q-fin.MF 2024-09-19
16 Automate Strategy Finding with LLM in Quant Investment
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Highlight: Leveraging advancements in Large Language Models (LLMs) and multi-agent architectures, we propose a novel framework for quantitative stock investment in portfolio management and alpha mining.		 Zhizhuo Kou; Holam Yu; Jingshu Peng; Lei Chen; arxiv-q-fin.PM 2024-09-10
17 Optimal Position-building Strategies in Competition
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Highlight: This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing.		 Neil A. Chriss; arxiv-q-fin.TR 2024-09-05
18 Do Controlling Shareholders’ Equity Pledges Exacerbate The Stock Price Crash Risk? -A Study Based on Margin Trading and Securities Lending Transactions in China’s Securities Market
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 Liang Wang; Ziqiu Cao; Wenyan Cao; Heliyon 2024-09-05
19 High-frequency Trading in The Stock Market and The Costs of Options Market Making
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 M. Nimalendran; Khaladdin Rzayev; Satchit Sagade; Journal of Financial Economics 2024-09-01
20 A Peer-to-Peer Joint Kilowatt and Negawatt Trading Framework Incorporating Battery Cycling Degradation
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Abstract: This paper presents a novel unified peer-to-peer (P2P) framework for both kilowatt (kW) and negawatt (nW) trading. The aim is to coordinate these two transaction types and …		 Chenxi Zhang; Jing Qiu; Yi Yang; IEEE Transactions on Power Systems 2024-09-01
21 Price-Matching-Based Regional Energy Market With Hierarchical Reinforcement Learning Algorithm
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Abstract: This article proposes a multienergy trading market model based on price matching, aiming to foster multienergy collaboration and enhance energy utilization through individual …		 NING ZHANG et. al. IEEE Transactions on Industrial Informatics 2024-09-01
22 MacroHFT: Memory Augmented Context-aware Reinforcement Learning On High Frequency Trading
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Highlight: However, existing RL methods for HFT still have some defects: 1) standard RL-based trading agents suffer from the overfitting issue, preventing them from making effective policy adjustments based on financial context; 2) due to the rapid changes in market conditions, investment decisions made by an individual agent are usually one-sided and highly biased, which might lead to significant loss in extreme markets. To tackle these problems, we propose a novel Memory Augmented Context-aware Reinforcement learning method On HFT, a.k.a. MacroHFT, which consists of two training phases: 1) we first train multiple types of sub-agents with the market data decomposed according to various financial indicators, specifically market trend and volatility, where each agent owns a conditional adapter to adjust its trading policy according to market conditions; 2) then we train a hyper-agent to mix the decisions from these sub-agents and output a consistently profitable meta-policy to handle rapid market fluctuations, equipped with a memory mechanism to enhance the capability of decision-making		 CHUQIAO ZONG et. al. kdd 2024-08-21
23 A Multimodal Foundation Agent for Financial Trading: Tool-Augmented, Diversified, and Generalist
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Highlight: While advanced AI techniques like deep learning and reinforcement learning are extensively utilized in finance, their application in financial trading tasks often faces challenges due to inadequate handling of multimodal data and limited generalizability across various tasks. To address these challenges, we present FinAgent, a multimodal foundational agent with tool augmentation for financial trading.		 WENTAO ZHANG et. al. kdd 2024-08-21
24 Blockchain with Secure Data Transactions and Energy Trading Model Over The Internet of Electric Vehicles
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Highlight: This study presents a secure data and energy trade paradigm based on Blockchain (BC) in the Internet of EVs (IoEV).		 TAHER AL-SHEHARI et. al. Scientific reports 2024-08-19
25 Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players
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Highlight: Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic trading activities through a game-theoretic perspective, examining market interactions among different types of participants.		 Yufan Chen; Lan Wu; Renyuan Xu; Ruixun Zhang; arxiv-q-fin.MF 2024-08-18
26 High-Frequency Options Trading | With Portfolio Optimization
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Highlight: This paper explores the effectiveness of high-frequency options trading strategies enhanced by advanced portfolio optimization techniques, investigating their ability to consistently generate positive returns compared to traditional long or short positions on options.		 Sid Bhatia; arxiv-q-fin.TR 2024-08-16
27 Enhancement of Price Trend Trading Strategies Via Image-induced Importance Weights
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Highlight: From an extensive empirical analysis on the Chinese stock market, we show that the triple-I weighting scheme can significantly enhance the price trend trading signals for proposing portfolios, with a thoughtful robustness study in terms of network specifications, image structures, and stock sizes.		 Zhoufan Zhu; Ke Zhu; arxiv-q-fin.PM 2024-08-15
28 Green Gold or Carbon Beast? Assessing The Environmental Implications of Cryptocurrency Trading on Clean Water Management and Carbon Emission SDGs
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 Fairouz Mustafa; Chima Mordi; Ahmed A Elamer; Journal of environmental management 2024-08-03
29 Deep Learning for Options Trading: An End-To-End Approach
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Highlight: We introduce a novel approach to options trading strategies using a highly scalable and data-driven machine learning algorithm.		 Wee Ling Tan; Stephen Roberts; Stefan Zohren; arxiv-q-fin.PM 2024-07-31
30 Large Language Model Agent in Financial Trading: A Survey
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Abstract: Trading is a highly competitive task that requires a combination of strategy, knowledge, and psychological fortitude. With the recent success of large language models(LLMs), it is …		 Han Ding; Yinheng Li; Junhao Wang; Hang Chen; ArXiv 2024-07-26
31 Research on The Synergistic Emission Reduction Effect of Carbon Emission Trading and Green Financial Policy
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 Zhang Xiufan; Fan Decheng; Journal of environmental management 2024-07-25
32 Reinforcement Learning Pair Trading: A Dynamic Scaling Approach
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Highlight: This study investigates whether Reinforcement Learning (RL) can enhance decision-making in cryptocurrency algorithmic trading compared to traditional methods. In order to address this question, we combined reinforcement learning with a statistical arbitrage trading technique, pair trading, which exploits the price difference between statistically correlated assets.		 Hongshen Yang; Avinash Malik; arxiv-q-fin.CP 2024-07-22
33 When AI Meets Finance (StockAgent): Large Language Model-based Stock Trading in Simulated Real-world Environments
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Highlight: We evaluate different LLMs under the framework of StockAgent in a stock trading environment that closely resembles real-world conditions.		 CHONG ZHANG et. al. arxiv-q-fin.TR 2024-07-15
34 An LSTM-based Optimization Algorithm for Enhancing Quantitative Arbitrage Trading
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Abstract: Arbitrage trading is a common quantitative trading strategy that leverages the long-term cointegration relationships between multiple related assets to conduct spread trading for …		 Guodong Han; Hecheng Li; PeerJ. Computer science 2024-07-08
35 A Reflective LLM-based Agent to Guide Zero-shot Cryptocurrency Trading
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Abstract: The utilization of Large Language Models (LLMs) in financial trading has primarily been concentrated within the stock market, aiding in economic and financial decisions. Yet, the …		 YUAN LI et. al. ArXiv 2024-06-27
36 Trading Gamification and Investor Behavior
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Abstract: We study the effect of gamification on retail traders’ behavior using a randomized online experiment. Participants with lower financial literacy prefer platforms with hedonic …		 P. Chapkovski; Mariana Khapko; Marius Zoican; Management Science 2024-06-17
37 Social Media, Investment Knowledge, and Meme Stock Trading
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 Ichchha Pandey; Michael Guillemette; Journal of Behavioral Finance 2024-06-17
38 Deep Reinforcement Learning with Positional Context for Intraday Trading
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Highlight: They neglect the contextual information related to the position of the strategy, which is an important aspect given the sequential nature of intraday trading. In this study, we propose a novel DRL model for intraday trading that introduces positional features encapsulating the contextual information into its sparse state space.		 Sven Goluža; Tomislav Kovačević; Tessa Bauman; Zvonko Kostanjčar; arxiv-q-fin.TR 2024-06-12
39 Application of Black-Litterman Bayesian in Statistical Arbitrage
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Highlight: \begin{abstract} In this paper, we integrated the statistical arbitrage strategy, pairs trading, into the Black-Litterman model and constructed efficient mean-variance portfolios.		 Qiqin Zhou; arxiv-q-fin.CP 2024-06-10
40 MOT: A Mixture of Actors Reinforcement Learning Method By Optimal Transport for Algorithmic Trading
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 Xi Cheng; Jinghao Zhang; Yunan Zeng; Wenfang Xue; European Conference on Principles of Data Mining and … 2024-06-03
41 A Pricing Strategy Based on Bi-level Stochastic Optimization for Virtual Power Plant Trading in Multi-market: Energy, Ancillary Services and Carbon Trading Market
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 Yue Chen; Yuguang Niu; Chenzhi Qu; Ming Du; Pin Liu; Electric Power Systems Research 2024-06-01
42 Robo-Advisors: Revolutionizing Wealth Management Through The Integration of Big Data and Artificial Intelligence in Algorithmic Trading Strategies
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Abstract: This article explores how robo-advisors are transforming wealth management by integrating big data and artificial intelligence into algorithmic trading strategies. It discusses …		 Luby Liu; Jinxin Xu; Qishuo Cheng; Yuqiang Zhong; Lichen Qin; Journal of Knowledge Learning and Science Technology ISSN: … 2024-05-30
43 A Deep Reinforcement Learning Approach for Trading Optimization in The Forex Market with Multi-Agent Asynchronous Distribution
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Highlight: The proposed method employs parallel learning across multiple asynchronous workers, each specialized in trading across multiple currency pairs to explore the potential for nuanced strategies tailored to different market conditions and currency pairs.		 Davoud Sarani; Dr. Parviz Rashidi-Khazaee; arxiv-cs.CE 2024-05-30
44 Unlocking Profit Potential: Maximizing Returns with Bayesian Optimization of Supertrend Indicator Parameters
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Highlight: By employing BO, the thesis aims to automate the identification of optimal parameter settings, leading to a more data-driven and potentially more profitable trading strategy compared to relying on manually chosen parameters.		 Abdul Rahman; arxiv-q-fin.TR 2024-05-23
45 Decision Trees for Intuitive Intraday Trading Strategies
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Highlight: This research paper aims to investigate the efficacy of decision trees in constructing intraday trading strategies using existing technical indicators for individual equities in the NIFTY50 index.		 Prajwal Naga; Dinesh Balivada; Sharath Chandra Nirmala; Poornoday Tiruveedi; arxiv-q-fin.ST 2024-05-22
46 Revolutionizing Forex Trading: Harnessing AI for Seamless Market Automation
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Abstract: The article explores the integration of AI and automated trading in the Forex market, focusing on the development of a custom Expert Advisor using FXDreema. To improve trading …		 Raswanth S S; Roshan M; Sanjit S; Dr. Suresh P; International Research Journal on Advanced Engineering Hub … 2024-05-21
47 Can Machine Learning Unlock New Insights Into High-frequency Trading?
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Highlight: In doing so, we introduce new metrics to identify liquidity-demanding and -supplying HFT strategies.		 G. Ibikunle; B. Moews; K. Rzayev; arxiv-q-fin.CP 2024-05-13
48 Enhancing Renewable Energy Certificate Transactions Through Reinforcement Learning and Smart Contracts Integration
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Highlight: This study presents a green power certificate trading (GC-TS) architecture based on an equilibrium strategy, which enhances the quoting efficiency and multi-party collaboration capability of green certificate trading by introducing Q-learning, smart contracts, and effectively integrating a multi-agent trading Nash strategy.		 Qingsu He; Jingsong Wang; Ruijie Shi; Yifan He; Muqing Wu; Scientific reports 2024-05-12
49 RISK-CONSTRAINED OPTIMAL DYNAMIC TRADING STRATEGIES UNDER SHORT- AND LONG-TERM UNCERTAINTIES
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 Ana SOFIA VIOTTI DAKER ARANHA;
50 BPET: A Unified Blockchain-Based Framework for Peer-to-Peer Energy Trading
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Abstract: Recent years have witnessed a significant dispersion of renewable energy and the emergence of blockchain-enabled transactive energy systems. These systems facilitate direct energy …		 Caixiang Fan; Hamzeh Khazaei; Petr Musílek; Future Internet 2024-05-07
51 Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from A Multi-Agent Simulation Study
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Highlight: Exploring complex adaptive financial trading environments through multi-agent based simulation methods presents an innovative approach within the realm of quantitative finance.		 Alicia Vidler; Toby Walsh; arxiv-q-fin.CP 2024-05-05
52 Improving Algorithmic Trading Consistency Via Human Alignment and Imitation Learning
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 Yuling Huang; Chujin Zhou; Kai Cui; Xiaoping Lu; Expert Syst. Appl. 2024-05-01
53 Analyzing The Impact of Algorithmic Trading on Stock Market Behavior: A Comprehensive Review
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Abstract: In the ever-evolving tapestry of financial markets, algorithmic trading has emerged as a transformative force, redefining the boundaries of trading strategies and market dynamics. …		 Lawrence Damilare; Lawrence Damilare Oyeniyi; Chinonye Esther Ugochukwu; Noluthando Zamanjomane Mhlongo; World Journal of Advanced Engineering Technology and … 2024-04-30
54 Multi-factor Stock Trading Strategy Based on DQN with Multi-BiGRU and Multi-head ProbSparse Self-attention
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 Wenjie Liu; Yuchen Gu; Yebo Ge; Appl. Intell. 2024-04-22
55 On A Fundamental Statistical Edge Principle
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Highlight: This paper establishes that conditioning the probability of execution of new orders on the self-generated historical trading information (HTI) of a trading strategy is a necessary condition for a statistical trading edge.		 Tommaso Gastaldi; arxiv-q-fin.PM 2024-04-22
56 A Review of Peer-to-Peer Energy Trading Markets: Enabling Models and Technologies
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Abstract: This paper presents a detailed review of the existing literature on peer-to-peer (P2P) energy trading considering market architectures, trading strategies, and enabling …		 S. Islam; Energies 2024-04-02
57 Blockchain and Digital Asset Transactions- Based Carbon Emissions Trading Scheme for Industrial Internet of Things
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Abstract: Carbon emissions trading has become an increasingly hot topic nowadays, due to the fact that how to reduce carbon emissions has been a common effort of different countries. …		 Fan Yang; Yanan Qiao; Junge Bo; Lvyang Ye; Mohammad Zoynul Abedin; IEEE Transactions on Industrial Informatics 2024-04-01
58 Research on Finance Credit Risk Quantification Model Based on Machine Learning Algorithm
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Abstract:  Machine learning is a branch of artificial intelligence (AI) technology that enables systems to learn and make predictions and decisions without the need for explicit …		 Junliang Wang; Jiahao Xu; Qishuo Cheng; Rathna Kumar; Academic Journal of Science and Technology 2024-03-26
59 Blockchain-Enabled Integrated Energy System Trading Model for CCS-P2G-Coupled Operation: Enhancing Energy Trading Efficiency and Carbon Emission Reduction
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Abstract: The need for sustainable integrated energy systems to mitigate environmental impact is hindered by challenges in fluctuating demand, trading reliability, and trustworthiness. This …		 Meizhen Gao; International Journal of Energy Research 2024-03-20
60 Advanced Statistical Arbitrage with Reinforcement Learning
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Highlight: In this study, we introduce an innovative model-free and reinforcement learning based framework for statistical arbitrage.		 Boming Ning; Kiseop Lee; arxiv-q-fin.ST 2024-03-18
61 Fear of Missing Out on Financial Gains: Associations Between Fear of Missing Out, Problem Gambling, and Speculative Trading in College Students
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Abstract: In recent years a fear of missing out (FOMO) on short-term monetary gains through speculative trading has been highlighted as a driving force of financial behaviors. Additionally, …		 Frank Song; S. Graupensperger; T. Lostutter; M. Larimer; Emerging Adulthood 2024-03-09
62 A Short-term Price Prediction-based Trading Strategy
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Highlight: In this paper, we proposed a short-term prediction-based trading strategy, which can equiponderate between return and risk, considerations while accounting for investor risk preferences.		 Weijia Fan; Ru Zhang; Hao He; Siyu Hou; Yongbo Tan; PloS one 2024-03-07
63 Enhanced Genetic-Algorithm-Driven Triple Barrier Labeling Method and Machine Learning Approach for Pair Trading Strategy in Cryptocurrency Markets
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Abstract: In the dynamic world of finance, the application of Artificial Intelligence (AI) in pair trading strategies is gaining significant interest among scholars. Current AI research …		 Ning Fu; Mingu Kang; Joongi Hong; Suntae Kim; Mathematics 2024-03-06
64 A Study on The Impact of Pilot Carbon Emission Trading Policies on Corporate Performance
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Abstract: This paper uses the carbon emission trading policy as a quasi-natural experiment to comprehensively investigate its impact on the financial and market performance of firms. The …		 Guihuan Yan; Zhilei Shi; Sustainability 2024-03-06
65 Impact of Night Trading Sessions on Volatility of USD Futures Market in Thailand
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Abstract: Prior to September 2021, USD Futures could only be traded during the regular hours in Thailand Futures Exchange (TFEX). An additional trading session at night, while trading in …		 W. Jongadsayakul; JOURNAL OF INTERNATIONAL STUDIES 2024-03-01
66 Leveraged Trading and Stock Returns: Evidence from International Stock Markets
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 Zhuo Chen; Pengfei Li; Zhengwei Wang; Bohui Zhang; Journal of Financial Markets 2024-03-01
67 Optimization of Traditional Stock Market Strategies Using The LSTM Hybrid Approach
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Abstract: Investment decision-makers increasingly rely on modern digital technologies to enhance their strategies in today’s rapidly changing and complex market environment. This paper …		 Ive Botunac; Jurica Bosna; M. Matetić; Inf. 2024-02-28
68 Artificial Intelligence in Stock Broking: A Systematic Review of Strategies and Outcomes
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Abstract: Artificial Intelligence (AI) has emerged as a transformative force in the field of stock broking, revolutionizing traditional trading strategies and reshaping financial markets. …		 ANDREW IFESINACHI et. al. World Journal of Advanced Research and Reviews 2024-02-28
69 Machine Learning in Financial Markets: A Critical Review of Algorithmic Trading and Risk Management
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Abstract: The integration of machine learning (ML) techniques in financial markets has revolutionized traditional trading and risk management strategies, offering unprecedented …		 WILHELMINA AFUA ADDY et. al. International Journal of Science and Research Archive 2024-02-28
70 Algorithmic Trading and AI: A Review of Strategies and Market Impact
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Abstract: This review explores the dynamic intersection of algorithmic trading and artificial intelligence (AI) within financial markets. It delves into the evolution, strategies, and …		 WILHELMINA AFUA ADDY et. al. World Journal of Advanced Engineering Technology and … 2024-02-28
71 A Study on The Dynamic Impact of Carbon Emission Trading on Green and High-quality Development
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Abstract: As a pivotal element in market mechanisms, carbon trading is increasingly recognized as crucial for achieving China’s Carbon Peaking and Carbon Neutrality Goals. This study …		 Qinghao Yang; Bingbing Zhang; Zhijun Yan; Tingqiang Chen; Environmental science and pollution research international 2024-02-28
72 EarnHFT: Efficient Hierarchical Reinforcement Learning for High Frequency Trading
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Highlight: Second, the dramatic price fluctuations and market trend changes of Crypto make existing algorithms fail to maintain satisfactory performances. To tackle these challenges, we propose an Efficient hieArchical Reinforcement learNing method for High Frequency Trading (EarnHFT), a novel three-stage hierarchical RL framework for HFT.		 MOLEI QIN et. al. aaai 2024-02-20
73 Algorithm-Based Low-Frequency Trading Using A Stochastic Oscillator and William%R: A Case Study on The U.S. and Korean Indices
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Abstract: Using stochastics in stock market analysis is widely accepted for index estimation and ultra-high-frequency trading. However, previous studies linking index estimation to actual …		 C. Paik; Jinhee Choi; Ivan Ureta Vaquero; Journal of Risk and Financial Management 2024-02-20
74 Towards The Net Zero Carbon Future: A Review of Blockchain‐enabled Peer‐to‐peer Carbon Trading
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Abstract: The increasing trend of energy generation and management systems towards decentralized structures such as using renewable energy resources makes it necessary to use digital and …		 Mohammad Parhamfar; I. Sadeghkhani; Amir Mohammad Adeli; Energy Science & Engineering 2024-02-14
75 End-to-End Policy Learning of A Statistical Arbitrage Autoencoder Architecture
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Highlight: As a first approach, we employ a standard Autoencoder trained on US stock returns to derive trading strategies based on the Ornstein-Uhlenbeck (OU) process.		 Fabian Krause; Jan-Peter Calliess; arxiv-q-fin.TR 2024-02-13
76 Applying News and Media Sentiment Analysis for Generating Forex Trading Signals
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Abstract: The objective of this research is to examine how sentiment analysis can be employed to generate trading signals for the Foreign Exchange (Forex) market.The author assessed …		 O. F. Olaiyapo; ArXiv 2024-02-12
77 Learning The Market: Sentiment-Based Ensemble Trading Agents
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Highlight: We propose and study the integration of sentiment analysis and deep reinforcement learning ensemble algorithms for stock trading by evaluating strategies capable of dynamically altering their active agent given the concurrent market environment.		 ANDREW YE et. al. arxiv-q-fin.TR 2024-02-02
78 An EM/MCMC Markov-Switching GARCH Behavioral Algorithm for Random-Length Lumber Futures Trading
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Abstract: This paper tests using two-regime Markov-switching models with asymmetric, time-varying exponential generalized autoregressive conditional heteroskedasticity (MS-EGARCH) variances …		 O. V. de la Torre-Torres; J. Álvarez‐García; María del Río-Rama; Mathematics 2024-02-02
79 ESG Driven Pairs Algorithm for Sustainable Trading: Analysis from The Indian Market
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Highlight: This paper proposes an algorithmic trading framework integrating Environmental, Social, and Governance (ESG) ratings with a pairs trading strategy.		 Eeshaan Dutta; Sarthak Diwan; Siddhartha P. Chakrabarty; arxiv-q-fin.TR 2024-01-26
80 The Flash Crash: The Impact of High-Frequency Trading on The Stability of Financial Market
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Abstract: The growing prevalence of High-Frequency Trading (HFT) in financial markets has sparked intense debate over its impact on market stability. This paper aims to research the adverse …		 Pengfei Gu; Highlights in Business, Economics and Management 2024-01-22
81 Quantum Probability Theoretic Asset Return Modeling: A Novel Schrödinger-Like Trading Equation and Multimodal Distribution
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Abstract: Quantum theory provides a comprehensive framework for quantifying uncertainty, often applied in quantum finance to explore the stochastic nature of asset returns. This perspective …		 Li Lin; SSRN Electronic Journal 2024-01-11
82 Multi-level Deep Q-networks for Bitcoin Trading Strategies
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Highlight: In this study, we propose a multi-level deep Q-network (M-DQN) that leverages historical Bitcoin price data and Twitter sentiment analysis.		 Sattarov Otabek; Jaeyoung Choi; Scientific reports 2024-01-08
83 Blue Carbon Development in China: Realistic Foundation, Internal Demands, and The Construction of Blue Carbon Market Trading Mode
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Abstract: Promoting the inclusion of blue carbon in market trading is crucial for recognizing its value and protecting the marine ecological environment. However, China currently does not …		 PING LI et. al. Frontiers in Marine Science 2024-01-04
84 From Prediction to Profit: A Comprehensive Review of Cryptocurrency Trading Strategies and Price Forecasting Techniques
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Abstract: The rapid evolution of cryptocurrency markets and the increasing complexity of trading strategies necessitate a comprehensive understanding of price-prediction models and their …		 Sattarov Otabek; Jaeyoung Choi; IEEE Access 2024-01-01
85 A Novel Stock Trading Utilizing Long Short Term Memory Prediction and Evolutionary Operating-weights Strategy
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 Xiaoman Huang; Chang Wu; Xiaoqi Du; Hong Wang; Ming Ye; Expert Syst. Appl. 2024-01-01
86 Evaluating LLMs in Financial Tasks – Code Generation in Trading Strategies
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 Miquel Noguer i Alonso; Hanane Dupouy; SSRN Electronic Journal 2024-01-01
87 AI-Driven Intraday Trading: Applying Machine Learning and Market Activity for Enhanced Decision Support in Financial Markets
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Abstract: In response to the unpredictable fluctuations in the global economic landscape, and with the aim of mitigating overnight risks, the stock market has seen a substantial increase in …		 Min-Chih Hung; An-Pin Chen; Wan-Ting Yu; IEEE Access 2024-01-01
88 A Review on High Frequency Trading Forecasting Methods: Opportunity and Challenges for Quantum Based Method
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 Visalakshi Palaniappan; I. Ishak; Hamidah Ibrahim; F. Sidi; Z. Zukarnain; IEEE Access 2024-01-01
89 Bidirectional Privacy-Preserving Network- Constrained Peer-to-Peer Energy Trading Based on Secure Multiparty Computation and Blockchain
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Abstract: The increasing integration of distributed energy resources has led to a network-constrained peer-to-peer (NCP2P) energy trading. Compared with conventional peer-to-peer trading …		 XIN ZHOU et. al. IEEE Transactions on Power Systems 2024-01-01
90 A Real-Time Simulation for P2P Energy Trading Using A Distributed Algorithm
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Abstract: Increasing the deployment of Renewable Energy Resources (RES), along with innovations in Information and Communication Technologies (ICT), would allow prosumers to engage in the …		 Younes Zahraoui; Tarmo Korõtko; A. Rosin; T. E. K. Zidane; Saad Mekhilef; IEEE Access 2024-01-01
91 Intraday Trading Algorithm for Predicting Cryptocurrency Price Movements Using Twitter Big Data Analysis
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Highlight: To accomplish this objective, we conduct a conditional examination of return and excess return rates within the 15 minutes following tweet publication.		 Vahidin Jeleskovic; Stephen Mackay; arxiv-q-fin.CP 2023-12-31
92 Prediction Model for Stock Trading Using Combined Long Short Term Memory and Neural Prophet with Regressors
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 International Journal of Intelligent Engineering and Systems 2023-12-31
93 How Do Carbon Emissions Trading Impact The Financialization of Non-financial Companies? Evidence from A Quasi-natural Experiment in China
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Highlight: We find that the carbon trading policy exerts a substantial and enduring inhibitory effect on corporate financialization.		 Wenhao Ma; Xuwen Yan; PloS one 2023-12-27
94 Deep Reinforcement Learning for Quantitative Trading
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Highlight: Striking a balance between exploration and exploitation poses another challenge for AI-driven trading agents. To surmount these hurdles, our proposed solution, QTNet, introduces an adaptive trading model that autonomously formulates QT strategies through an intelligent trading agent.		 Maochun Xu; Zixun Lan; Zheng Tao; Jiawei Du; Zongao Ye; arxiv-q-fin.TR 2023-12-25
95 The Scripless Trading of Share Transfer: Analysing The Role of Information Technology in Paperless Trading in Indonesian and Malaysian Stock Exchange
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Abstract: This research aims to find out the influences of information technology development on the concept of share ownership transfer in scripless trading and how this scripless trading …		 Suratman S; Muhammad Umar Abdul Razak; Wan Zulhafiz Wan Zahari; Azlan Roni; Conference on Mathematical and Statistical Physics, … 2023-12-19
96 A Novel Approach for Deep Learning-Powered Forecasting of Market Bottoms in Cryptocurrency and Stock Trading
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Abstract: The cryptocurrency and stock markets are dynamic environments that attract traders, seeking to enhance their investment returns. In cryptocurrency trading, there is a pullback in …		 D.M.D.K. Dasanayake; H.Y. Dilshan; H.D.K.Y. Rathnaweera; S. Ahangama; Indika Perera; 2023 IEEE International Conference on Big Data (BigData) 2023-12-15
97 From ML-Infused Algorithms to Financial Agents, Transforming Algorithmic Trading Excellence: A Comprehensive Study
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Abstract: Algorithmic trading has become a crucial component of modern financial markets, using advanced computational methods to execute trades quickly and accurately. This study explores …		 Tanaya Patil; 2023 IEEE/ACIS 8th International Conference on Big Data, … 2023-12-14
98 Analyzing Deep Reinforcement Learning Strategies for Enhanced Profit Generation and Risk Mitigation in Algorithm Stock Trading
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Abstract: Stock trading holds a pivotal role for investors seeking to navigate the intricate world of financial markets with the dual objectives of maximizing profits and minimizing risks. …		 PRASANNA KUMAR et. al. 2023 6th International Conference on Recent Trends in … 2023-12-14
99 Machine Learning Applications in Algorithmic Trading: A Comprehensive Systematic Review
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Abstract: : This paper reviews recent advancements in machine learning (ML) driven automated trading systems (ATS). ATS has progressed from simple rule-based systems to sophisticated ML …		 Arash Salehpour; Karim Samadzamini; International Journal of Education and Management … 2023-12-08
100 Consumer Protection in Commodity Futures Trading Transactions in The Physical Crypto Asset Market
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Abstract: In 2014, cryptocurrencies entered Indonesia, introduced by a trading company named Indodax. Cryptocurrencies are distributed on the blockchain and have fluctuating prices. Since …		 Stefanus Gilmore Soputro; Ali Imron; Kasuwi Saiban; International Journal of Social Science Research and Review 2023-12-06
101 An Integrated Approach of TAM and TPB with Financial Literacy and Perceived Risk for Influence on Online Trading Intention
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Abstract: Purpose This paper aims to propose a decision-making framework by investigating the impact of perceived risk and computer self-efficacy on the intention to use online stock …		 R. Raut; Santosh Kumar; Digital Policy, Regulation and Governance 2023-12-04
102 High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets
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 D. Alaminos; M. B. Salas; M. A. Fernández-Gámez; Computational Economics 2023-12-02
103 Exploiting The Potential of A Directional Changes-based Trading Algorithm in Stock Market
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 Han Ao; Munan Li; Finance Research Letters 2023-12-01
104 AUQ–ADMM Algorithm-Based Peer-to-Peer Trading Strategy in Large-Scale Interconnected Microgrid Systems Considering Carbon Trading
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Abstract: In the context of dual carbon target, this article proposes an optimal dispatch strategy for peer-to-peer (P2P) trading of large-scale interconnected microgrid (MG) systems …		 CHUN WEI et. al. IEEE Systems Journal 2023-12-01
105 Research on Carbon Asset Trading Strategy Based on PSO-VMD and Deep Reinforcement Learning
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 Jiayang Zhang; Kaijie Chen; Journal of Cleaner Production 2023-12-01
106 Empirical Analysis of The Relationship Between Carbon Trading Price and Stock Price of High Carbon Emitting Firms Based on VAR Model – Evidence from Chinese Listed Companies
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Abstract: At the United Nations General Assembly, the Chinese government promised to reach the peak of carbon dioxide emissions by 2030 and achieve a relative balance between carbon dioxide …		 Yukun Song; Yang Liu; Environmental science and pollution research international 2023-12-01
107 Gambling, Cryptocurrency, and Financial Trading App Marketing in English Premier League Football: A Frequency Analysis of In-game Logos
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Abstract: The gamblification of UK football has resulted in a proliferation of in-game marketing associated with gambling and gambling-like products such as cryptocurrencies and financial …		 Jamie Torrance; Conor Heath; Maira Andrade; Philip Newall; Journal of behavioral addictions 2023-11-27
108 Margin Trader: A Reinforcement Learning Framework for Portfolio Management with Margin and Constraints
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Abstract: In the field of portfolio management using reinforcement learning, existing approaches have mainly focused on cash-only trading, overlooking the potential benefits and risks of …		 Jingyi Gu; Wenlu Du; A. M. M. Rahman; Guiling Wang; Proceedings of the Fourth ACM International Conference on … 2023-11-25
109 Mbt-gym: Reinforcement Learning for Model-based Limit Order Book Trading
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Abstract: Within the mathematical finance literature there is a rich catalogue of mathematical models for studying algorithmic trading problems such as market making and optimal execution. …		 Joseph Jerome; Leandro Sánchez-Betancourt; Rahul Savani; Martin Herdegen; Proceedings of the Fourth ACM International Conference on … 2023-11-25
110 Automated Stock Trading Using Reinforcement Learning
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Abstract: Trading stocks requires effective methodologies to succeed in the business process. Automated stock trading involves utilizing computer algorithms and software programs to execute …		 I. VARSHINI DEVI et. al. 2023 International Conference on Integrated Intelligence … 2023-11-24
111 FinMem: A Performance-Enhanced LLM Trading Agent with Layered Memory and Character Design
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Highlight: While LLMs are efficient in decoding human instructions and deriving solutions by holistically processing historical inputs, transitioning to purpose-driven agents requires a supplementary rational architecture to process multi-source information, establish reasoning chains, and prioritize critical tasks. Addressing this, we introduce \textsc{FinMem}, a novel LLM-based agent framework devised for financial decision-making.		 YANGYANG YU et. al. arxiv-q-fin.CP 2023-11-22
112 Do Technical Trading Rules Outperform The Simple Buy-and-hold Strategy in The Cryptocurrency Market?
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Abstract: The authors test the weak-form efficiency in cryptocurrency markets using the most recent and comprehensive data as of 2021. The authors apply various technical indicators to take …		 JunHyeong Jin; JiHoon Jung; Kyojik Song; Journal of Derivatives and Quantitative Studies: 선물연구 2023-11-22
113 Predicting Risk/reward Ratio in Financial Markets for Asset Management Using Machine Learning
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Highlight: In this study, we introduce a novel algorithm specifically designed for forecasting the profit and loss outcomes of trading activities.		 Reza Yarbakhsh; Mahdieh Soleymani Baghshah; Hamidreza Karimaghaie; arxiv-q-fin.CP 2023-11-15
114 Toward Green and Efficient Blockchain for Energy Trading: A Noncooperative Game Approach
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Abstract: Blockchain has gained significant adoption in energy trading, offering benefits for both economy and environment. Consensus, in particular, is a decisive factor for …		 ZHENG BAO et. al. IEEE Internet of Things Journal 2023-11-15
115 Advancing Algorithmic Trading: A Multi-Technique Enhancement of Deep Q-Network Models
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Highlight: This study enhances a Deep Q-Network (DQN) trading model by incorporating advanced techniques like Prioritized Experience Replay, Regularized Q-Learning, Noisy Networks, Dueling, and Double DQN.		 Gang Hu; arxiv-q-fin.CP 2023-11-09
116 Fractal Geometry in High-Frequency Trading: Modeling Market Microstructure and Price Dynamics
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Abstract: This theoretical article delves into the intricate world of high-frequency trading (HFT) without empirical testing of real-world data, focusing on the incorporation of fractal …		 ABDULGAFFAR MUHAMMAD et. al. Saudi Journal of Economics and Finance 2023-11-05
117 An Exploration of Sex Trading for Compensation and LGBTQ+ Inclusive Screening Practices: Perspectives of Young People Who Have Experienced Sex Trading And/or Homelessness
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 Lara B Gerassi; Caro Cruys; Nicole Hendry; Maria Del Carmen Rosales; Children and youth services review 2023-11-04
118 A Novel Deep Reinforcement Learning Framework with BiLSTM-Attention Networks for Algorithmic Trading
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 Yuling Huang; Xiaoxiao Wan; Lin Zhang; Xiaoping Lu; Expert Syst. Appl. 2023-11-01
119 Peer-to-peer Energy Trading in A Community Based on Deep Reinforcement Learning
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Abstract: With the massive access to distributed energy resources, an increasing number of users have transformed into prosumers with the functions of producing, storing, and consuming …		 Yiqun Wang; Qingyu Yang; Donghe Li; Journal of Renewable and Sustainable Energy 2023-11-01
120 Hybrid ARMA-GARCH-Neural Networks for Intraday Strategy Exploration in High-frequency Trading
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 D. Alaminos; M. B. Salas; Antonio Partal-Ureña; Pattern Recognit. 2023-11-01
121 Consortium Blockchain-Based Security and Efficient Resource Trading in V2V-Assisted Intelligent Transport Systems
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Abstract: As an effective method to increase the computing capability of vehicles, vehicle-to-vehicle (V2V) assisted vehicular edge computing (VEC) has great potential to reduce …		 Peng Liu; Weipeng Jing; Xinyu Fu; Yang Xiao; Lili Jia; IEEE Transactions on Intelligent Transportation Systems 2023-11-01
122 Internal and External Determinants of Bank Syariah Indonesia Capital Gain During The Pandemic
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Abstract: This paper seeks to confirm and explain the relationship between internal factors of stock-lagged return and trading volume and external factors of composite price on returns of …		 Resi Ariyasa Qadri; Etty Murwaningsari; Journal of Governance Risk Management Compliance and … 2023-10-31
123 A Framework for Enhancing Stock Investment Performance By Predicting Important Trading Points with Return-Adaptive Piecewise Linear Representation and Batch Attention Multi-Scale Convolutional Recurrent Neural Network
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Abstract: Efficient stock status analysis and forecasting are important for stock market participants to be able to improve returns and reduce associated risks. However, stock market data …		 Yu Lin; Ben Liu; Entropy (Basel, Switzerland) 2023-10-30
124 Combining Deep Learning on Order Books with Reinforcement Learning for Profitable Trading
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Abstract: High-frequency trading is prevalent, where automated decisions must be made quickly to take advantage of price imbalances and patterns in price action that forecast near-future …		 Koti S. Jaddu; P. Bilokon; ArXiv 2023-10-24
125 Optimal Strategies for Round-Trip Pairs Trading Under Geometric Brownian Motions
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Highlight: This paper is concerned with an optimal strategy for simultaneously trading a pair of stocks.		 Emily Crawford Das; Jingzhi Tie; Qing Zhang; arxiv-math.OC 2023-10-24
126 Natural Language Coding (NLC) for Autonomous Stock Trading: A New Dimension in No-Code/Low-Code (NCLC) AI
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Abstract: In the evolving field of AI, the advent of Large Language Models (LLMs) and Natural Language Coding (NLC) represents a revolutionary step in programming and computational …		 Yulia Kumar; Wenxiao Li; Kuan Huang; Michael Thompson; B. Hannon; 2023 IEEE 23rd International Conference on Software … 2023-10-22
127 Visualizing Profitability: A Heatmap Approach to Evaluate Bitcoin Futures Trading Using VMA Trading Rules
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 Min-Yuh Day; Yensen Ni; Chinning Hsu; Paoyu Huang; Heliyon 2023-10-21
128 E‐trading and Services Quality Effects on Stock Exchange in A Developing Country: A Study of Dhaka Stock Exchange
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Abstract: In a developing country like Bangladesh, Members’ satisfaction with stock exchanges was examined in this study based on the quality of e‐trading services. Five specific objectives …		 Shah Md. Safiul Hoque; H. Magd; M. Ashraf; Abu Rashed Osman; Shah Mohammed Mazeedul Hoque; The Electronic Journal of Information Systems in Developing … 2023-10-21
129 Cryptocurrency Algorithmic Trading with Price Forecasting Analysis Using PowerBI
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Abstract: As an alternate form of trade money, cryptocurrencies are now widely accepted and have been integrated into all financial activities. Trading cryptocurrencies is one of the most …		 LALIT SHROTRIYA et. al. 2023 First International Conference on Advances in … 2023-10-19
130 Stock Liquidity, Future Investment and Future Investment Efficiency in An Emerging Economy: Investigating The Moderator Role of Financial Constraints
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Abstract: Purpose This study aims to investigate the relationship between stock liquidity, future investment, future investment efficiency and the moderating effect of financial …		 Arash Arianpoor; Nahid Mohammadbeikzade; Journal of Islamic Accounting and Business Research 2023-10-19
131 Profitability and Data-Snooping Tests of Four Technical Trade Strategies for Cryptocurrency Pair BTC/USDT and ETH/USDT in Cryptocurrency Markets During 2022–2023
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Abstract: We provide a comprehensive investigation into the profitability of technical trading methods applied to the cryptocurrency pairs BTC/USDT and ETH/USDT. By employing rigorous …		 Wei Li; Xinwan Wang; Zigan Wang; Mengxin Yang; Journal of Accounting and Finance 2023-10-13
132 A Framework for Empowering Reinforcement Learning Agents with Causal Analysis: Enhancing Automated Cryptocurrency Trading
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Highlight: To this end, we present CausalReinforceNet, a framework framed as a decision support system.		 Rasoul Amirzadeh; Dhananjay Thiruvady; Asef Nazari; Mong Shan Ee; arxiv-cs.AI 2023-10-13
133 Beating The Market with A Simple Proposed Portfolio and Technical Trading Rules
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Abstract: This study presents evidence that well-known technical trading rules (TTRs) applied to a proposed simple exchange-traded fund (ETF) portfolio provide better risk-adjusted …		 Massoud Metghalchi; Peggy Cloninger; F. Niroomand; International Journal of Financial Engineering 2023-10-12
134 Study on Distributed Hydrogen Block Chain Trading Mechanism Based on Game Strategy
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Abstract: The hydrogen market trading mechanism has problems such as high transaction costs and a small market scale, making it difficult to meet the demand for large-scale renewable energy …		 Chongshi Wang; Yuede Hu; Nan Li; Hao Yang; Conference on Computer Science and Communication Technology 2023-10-11
135 Logic-guided Deep Reinforcement Learning for Stock Trading
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Highlight: In this paper, we propose a novel logic-guided trading framework, termed as SYENS (Program Synthesis-based Ensemble Strategy).		 ZHIMING LI et. al. arxiv-cs.CE 2023-10-09
136 Market Crowds’ Trading Behaviors, Agreement Prices, and The Implications of Trading Volume
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Highlight: Here we show that trading volume probability represents the frequency of market crowd’s trading action in terms of behavior analysis, and test two adaptive hypotheses relevant to the volume uncertainty associated with price in China stock market.		 LEILEI SHI et. al. arxiv-q-fin.GN 2023-10-08
137 A Reinforcement Learning Algorithm for Trading Commodities
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Abstract: We propose a reinforcement learning (RL) algorithm for generating a trading strategy in a realistic setting, that includes transaction costs and factors driving the asset …		 Federico Giorgi; S. Herzel; P. Pigato; SSRN Electronic Journal 2023-10-03
138 Assessing The Level of Competence in Automated Trading Among Malaysian Traders
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Abstract: In today’s technology world, financial trading instrument such as stock, currencies, futures, and acts is now done electronically via the internet due to technological …		 ZARITH SOFIA ZULKIFLI et. al. Journal of Soft Computing and Data Mining 2023-10-03
139 CAD: Clustering And Deep Reinforcement Learning Based Multi-Period Portfolio Management Strategy
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Highlight: In this paper, we present a novel trading strategy that integrates reinforcement learning methods with clustering techniques for portfolio management in multi-period trading.		 Zhengyong Jiang; Jeyan Thiayagalingam; Jionglong Su; Jinjun Liang; arxiv-q-fin.PM 2023-10-02
140 A Novel Crude Oil Futures Trading Strategy Based on Volume-price Time-frequency Decomposition with Ensemble Deep Reinforcement Learning
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 Xiao-xu Du; Zhen-peng Tang; Kai-jie Chen; Energy 2023-10-01
141 NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading
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Highlight: We introduce NoxTrader, a sophisticated system designed for portfolio construction and trading execution with the primary objective of achieving profitable outcomes in the stock market, specifically aiming to generate moderate to long-term profits.		 Hsiang-Hui Liu; Han-Jay Shu; Wei-Ning Chiu; arxiv-q-fin.PM 2023-10-01
142 EVALUATION OF SUPPORT VECTOR MACHINE BASED STOCK PRICE PREDICTION
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Abstract: In recent years with the advent of computational power, Machine Learning has become a popular approach in financial forecasting, particularly for stock price analysis. In this …		 Tilla Izsák; László Marák; M. Ormos; Applied Computer Science 2023-09-30
143 Gray-box Adversarial Attack of Deep Reinforcement Learning-based Trading Agents*
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Abstract: In recent years, deep reinforcement learning (Deep RL) has been successfully implemented as a smart agent in many systems such as complex games, self-driving cars, and chat-bots. …		 Foozhan Ataiefard; H. Hemmati; 2023 International Conference on Machine Learning and … 2023-09-26
144 Prediction of US 30‐years‐treasury‐bonds Movement and Trading Entry Point Using The Robust 1DCNN‐BiLSTM‐XGBoost Algorithm
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Abstract: This article presents a novel algorithm that accurately predicts market trends and identifies trading entry points for US 30‐year Treasury bonds. The proposed method employs a …		 Abdellah El Zaar; Nabil Benaya; Toufik Bakir; Amine Mansouri; A. Allati; Expert Systems 2023-09-26
145 Asynchronous Deep Double Dueling Q-learning for Trading-signal Execution in Limit Order Book Markets
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Abstract: We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders. …		 Peer Nagy; Jan-Peter Calliess; Stefan Zohren; Frontiers in artificial intelligence 2023-09-25
146 Gray-box Adversarial Attack of Deep Reinforcement Learning-based Trading Agents
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Highlight: In this research, we demonstrate that a gray-box approach for attacking a Deep RL-based trading agent is possible by trading in the same stock market, with no extra access to the trading agent.		 Foozhan Ataiefard; Hadi Hemmati; arxiv-cs.LG 2023-09-25
147 Literature Review on Algorithmic Trading in Financial Markets
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Abstract: The financial market has drastically changed because of technological development. One of the most critical developments in this area is algorithmic trading, which refers to using …		 Vaibhav Aggarwal; Shallu Batra; Mahender Yadav; Pankaj Kumar; 2023 International Conference on Sustainable Islamic … 2023-09-24
148 Stock Market Sentiment Classification and Backtesting Via Fine-tuned BERT
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Highlight: And for non-strongly efficient trading markets, human emotions and expectations always dominate market trends and trading decisions. Therefore, this paper starts from the theory of emotion, taking East Money as an example, crawling user comment titles data from its corresponding stock bar and performing data cleaning.		 Jiashu Lou; arxiv-q-fin.CP 2023-09-21
149 AI-Infused Algorithmic Trading: Genetic Algorithms and Machine Learning in High-Frequency Trading
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Abstract: In this research we explore the transformative impact of Artificial Intelligence (AI) and Genetic Algorithms (GAs) in the context of algorithmic trading, with a specific focus on …		 Rahul Ramesh Patil; International Journal For Multidisciplinary Research 2023-09-17
150 Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis
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Highlight: The paper investigates different models of sizing in financial trading and backtest to high volatility situations to understand how sizing models can lower the models of VaR during crisis events.		 S. M. Masrur Ahmed; arxiv-q-fin.CP 2023-09-16
151 Six-Segment Strategy for Prosumers’ Financial Benefit Maximization in Local Peer-to-Peer Energy Trading
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Abstract: The notion of prosumers, people who create and consume energy, has emerged in the energy sector as a result of the fast integration of renewable energy sources and advances in …		 P. Mochi; Kartiki Pandya; Ricardo Faia; João Soares; Mathematics 2023-09-15
152 Analysis of Frequent Trading Effects of Various Machine Learning Models
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Abstract: In recent years, high-frequency trading has emerged as a crucial strategy in stock trading. This study aims to develop an advanced high-frequency trading algorithm and compare the …		 Jiahao Chen; Xiaofei Li; ArXiv 2023-09-14
153 Harnessing Deep Q-Learning for Enhanced Statistical Arbitrage in High-Frequency Trading: A Comprehensive Exploration
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Abstract: The realm of High-Frequency Trading (HFT) is characterized by rapid decision-making processes that capitalize on fleeting market inefficiencies. As the financial markets become …		 Soumyadip Sarkar; ArXiv 2023-09-13
154 A Broader Perspective On cryptocurrency Trading: Consumer-driven Value, Online Communities and Heuristics Are Drivers for Consumer Behaviour
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Abstract: PurposeThis review aims to provide an overview of research from different academic disciplines to chart some of the key developments in retail cryptocurrency trading against the …		 Paul McGivern; Journal of Money and Business 2023-09-12
155 C++ Design Patterns for Low-latency Applications Including High-frequency Trading
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Highlight: This work aims to bridge the existing knowledge gap in the optimisation of latency-critical code, specifically focusing on high-frequency trading (HFT) systems.		 Paul Bilokon; Burak Gunduz; arxiv-cs.PF 2023-09-08
156 Extending The Omega Model with Momentum and Reversal Strategies to Intraday Trading
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Highlight: This study develops the Omega model integrated with momentum and reversal strategies using high-frequency data on the component stocks of the S&P 500 Index and the NASDAQ 100.		 Jing-Rung Yu; Chieh-Hui Wei; Chi-Ju Lai; Wen-Yi Lee; PloS one 2023-09-08
157 TradingGPT: Multi-Agent System with Layered Memory and Distinct Characters for Enhanced Financial Trading Performance
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Highlight: This can result in LLMs struggling to prioritize immediate and critical tasks efficiently. To bridge this gap, we introduce an innovative LLM multi-agent framework endowed with layered memories.		 Yang Li; Yangyang Yu; Haohang Li; Zhi Chen; Khaldoun Khashanah; arxiv-q-fin.PM 2023-09-07
158 Comparative Analysis of Peer-to-Peer PV Trading Strategies Under The Influence of Network Constraints with Prosumer Sensitivity Towards Network Coefficients
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Abstract: With the increase in rooftop photovoltaic (PV) systems at the residential level, customers owning such renewable resources can act as a source of generation for other consumers in …		 SHEROZE LIAQUAT et. al. Applied Sciences 2023-09-06
159 Exploiting Unfair Advantages: Investigating Opportunistic Trading in The NFT Market
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Abstract: As cryptocurrency evolved, new financial instruments, such as lending and borrowing protocols, currency exchanges, fungible and non-fungible tokens (NFT), staking and mining …		 PRIYANKA BOSE et. al. ArXiv 2023-09-05
160 ATMS: Algorithmic Trading-Guided Market Simulation
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Abstract: The effective construction of an Algorithmic Trading (AT) strategy often relies on market simulators, which remains challenging due to existing methods’ inability to adapt to the …		 Song Wei; Andrea Coletta; Svitlana Vyetrenko; T. Balch; ArXiv 2023-09-04
161 Algorithmic Trading Using Combinational Rule Vector and Deep Reinforcement Learning
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 Zhen Huang; Ning Li; Wenliang Mei; Wenyong Gong; Appl. Soft Comput. 2023-09-01
162 Algorithmic Trading: Intraday Profitability and Trading Behavior
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 Devi Arumugam; Economic Modelling 2023-09-01
163 A Deep Q-learning Based Algorithmic Trading System for Commodity Futures Markets
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 Mahdi Massahi Kh.; Masoud Mahootchi; Expert Syst. Appl. 2023-09-01
164 Stochastic Optimal Scheduling Strategy of Cross-regional Carbon Emissions Trading and Green Certificate Trading Market Based on Stackelberg Game
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 SIZHE YAN et. al. Renewable Energy 2023-09-01
165 The Intraday High-Frequency Trading with Different Data Ranges: A Comparative Study with Artificial Neural Network and Vector Autoregressive Models
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Abstract: With the High-Frequency Trading process, which is a subclass of algorithmic trading transactions, intraday information has increasing importance. Traditional statistical methods …		 Ayben Koy; A. B. Çolak; Archives of Advanced Engineering Science 2023-08-31
166 On A Data-Driven Optimization Approach to The PID-Based Algorithmic Trading
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Abstract: This paper proposes an optimal trading algorithm based on a novel application of conventional control engineering (CE). We consider a fundamental CE concept, namely, the feedback …		 V. Azhmyakov; I. Shirokov; Yuri Dernov; Luz Adriana Guzman Trujillo; Journal of Risk and Financial Management 2023-08-30
167 Signature Trading: A Path-Dependent Extension of The Mean-Variance Framework with Exogenous Signals
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Highlight: In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies in the joint signal-asset dynamics, naturally extending traditional factor models, while keeping the resulting formulas lightweight and easily interpretable.		 Owen Futter; Blanka Horvath; Magnus Wiese; arxiv-q-fin.PM 2023-08-29
168 DADE-DQN: Dual Action and Dual Environment Deep Q-Network for Enhancing Stock Trading Strategy
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Abstract: Deep reinforcement learning (DRL) has attracted strong interest since AlphaGo beat human professionals, and its applications in stock trading are widespread. In this paper, an …		 Yuling Huang; Xiaoping Lu; Chujin Zhou; Yunlin Song; Mathematics 2023-08-22
169 How Do Carbon Trading Price and Carbon Tax Rate Affect Power Project Portfolio Investment and Carbon Emission: An Analysis Based on Uncertainty Theory
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 Xiaoxia Huang; Jang Su Kim; Kwon Ryong Hong; Nam Hyok Kim; Journal of environmental management 2023-08-22
170 PET-Exchange: A Privacy Enhanced Trading Exchange Using Homomorphic Encryption
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Abstract: The underlying trading mechanisms of electronic securities exchanges have mostly stayed the same over the years with some additions and improvements. However, over the recent …		 David Hasselquist; Jacob Wahlman; Niklas Carlsson; 2023 20th Annual International Conference on Privacy, … 2023-08-21
171 A Memetic-based Technical Indicator Portfolio and Parameters Optimization Approach for Finding Trading Signals to Construct Transaction Robot in Smart City Era
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Abstract: With the development of smart cities, the demand for personal financial services is becoming more and more importance, and personal investment suggestion is one of them. A common …		 C. H. Chen; S. T. Hung; P. T. Chen; C. S. Wang; R. D. Chiang; Intell. Data Anal. 2023-08-10
172 Risk Perception and Adoption of Digital Innovation in Mobile Stock Trading
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Abstract: An increase in retail investors, trading platforms, and smartphones is facilitating digital transformation in stock trading. Investments in mobile‐centered digitalization by …		 Sunil Gupta; D. Dey; Journal of Consumer Behaviour 2023-08-04
173 A Comparison of Machine Learning and Econometric Models for Pricing Perpetual Bitcoin Futures and Their Application to Algorithmic Trading
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Abstract: Bitcoin (BTC) perpetual futures contracts are highly leveraged speculative trading instruments with daily market trading of $45 Billion. BTC perpetual futures are derivative …		 Avinash Malik; Expert Systems 2023-08-04
174 Mastering Stock Markets with Efficient Mixture of Diversified Trading Experts
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Highlight: One major limitation of existing works is that investment decisions are made based on one individual neural network predictor with high uncertainty, which is inconsistent with the workflow in real-world trading firms. To tackle this limitation, we propose AlphaMix, a novel three-stage mixture-of-experts (MoE) framework for quantitative investment to mimic the efficient bottom-up hierarchical trading strategy design workflow of successful trading companies.		 Shuo Sun; Xinrun Wang; Wanqi Xue; Xiaoxuan Lou; Bo An; kdd 2023-08-04
175 Identification of High-frequency Trading: A Machine Learning Approach
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 M. Goudarzi; F. Bazzana; Research in International Business and Finance 2023-08-01
176 Optimized Operation of Integrated Energy System with Carbon Trading Mechanism Based on IGDT
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Abstract: With the proposal of the carbon peak and neutrality goals goal, integrated energy systems (IES) have become a research hotspot. In order to give consideration to the economy and …		 LIUZHU ZHU et. al. 2023 3rd International Conference on Energy Engineering and … 2023-07-28
177 Unleashing The Algorithmic Frontier: Navigating The Impact of Algo Trading on Investor Portfolios
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Abstract: In the ever-evolving landscape of financial markets, algo trading has emerged as a powerful force, revolutionizing the way investors execute trades. With the speed and precision …		 Madhava Priya Dananjayan; Sridevi Gopakumar; Parthasarathi Narayanasamy; Journal of Information Technology Teaching Cases 2023-07-26
178 Quantitative Trading of Stocks Based on TD3 Algorithm
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Abstract: Intelligent and efficient stock analysis can help investors and institutions judge stock trends, improve investment returns, and avoid investment risks. The use of deep …		 Kaitian Yu; Highlights in Science, Engineering and Technology 2023-07-25
179 VolTS: A Volatility-based Trading System to Forecast Stock Markets Trend Using Statistics and Machine Learning
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Highlight: In this article, we propose a new volatility-based trading strategy that combines statistical analysis with machine learning techniques to forecast stock markets trend.		 Ivan Letteri; arxiv-q-fin.TR 2023-07-25
180 EMD-BiLSTM Stock Price Trend Forecasting Model Based on Investor Sentiment
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Abstract: The movement of stock prices is the focus of investors’ attention in the stock market, so stock price trend prediction has always been a hot topic in quantitative investment …		 Tianyu Xu; Xiaoling He; Frontiers in Computing and Intelligent Systems 2023-07-20
181 Data Cross-Segmentation for Improved Generalization in Reinforcement Learning Based Algorithmic Trading
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Highlight: In these markets, the trading strategy must consider the long-term effects of taking positions that are relatively more difficult to change. In this work, we propose a Reinforcement Learning (RL) algorithm that trades based on signals from a learned predictive model and addresses these challenges.		 VIKRAM DUVVUR et. al. arxiv-cs.LG 2023-07-18
182 Beware of Extreme Investor Sentiments! Indian Evidence on The Performance of Neuro-specific Options Volatility Trading Strategies on The Facets of COVID-19
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Abstract: This study investigates the dynamic relationship between noise trader sentiment and excessive volatility in the Indian financial market during the COVID-19 outbreak. It proposes …		 Ansu Royit; Babu Jose; James Varghese; Journal of Emerging Market Finance 2023-07-12
183 Real-Time Trading System Based on Selections of Potentially Profitable, Uncorrelated, and Balanced Stocks By NP-Hard Combinatorial Optimization
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Abstract: Financial portfolio construction problems are often formulated as quadratic and discrete (combinatorial) optimization that belong to the nondeterministic polynomial time (NP)-hard …		 Kosuke Tatsumura; Ryo Hidaka; Jun Nakayama; Tomoya Kashimata; Masaya Yamasaki; IEEE Access 2023-07-12
184 Pairs-trading System Using Quantum-inspired Combinatorial Optimization Accelerator for Optimal Path Search in Market Graphs
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Highlight: Here we report a stock pairs-trading system that finds trading opportunities for any two stocks in an $N$-stock universe using a combinatorial optimization accelerator based on a quantum-inspired algorithm called simulated bifurcation.		 Kosuke Tatsumura; Ryo Hidaka; Jun Nakayama; Tomoya Kashimata; Masaya Yamasaki; arxiv-cs.ET 2023-07-12
185 A Game Theory Approach (VCG-PSO) for Optimal P2P Energy Trading in Blockchain-Enabled Microgrids
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Abstract: The management of energy flow in peer-to-peer (P2P) microgrid trading is presented in this work utilizing a novel strategy that combines game theory, particle swarm …		 OUSSAMA LAAYATI et. al. IEEE EUROCON 2023 – 20th International Conference on Smart … 2023-07-06
186 Is Carbon Emission Trading A Green Blessing or A Curse for Firm Performance in China? A Quasi-experiment Design and Exploring The Spatial Spillover Effect
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Abstract: This paper conducts quasi-experiment design with Chinese listed companies microdata to investigate the effect and mechanism of corporate participation in carbon emission trading …		 Shaopeng Zhang; Huanhui Gan; Environmental science and pollution research international 2023-07-03
187 Overview Analysis of The Regulation of Insider Trading in Zimbabwe During The Corona Virus Pandemic
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Abstract: Purpose It is important to note that insider trading is currently outlawed under the Securities Act 17 of 2004 (Chapter 24: 25) as amended (Securities Act) in Zimbabwe. This Act …		 Howard Chitimira; Journal of Financial Crime 2023-07-03
188 Bi-Level Carbon Trading Model on Demand Side for Integrated Electricity-Gas System
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Abstract: With the exploration of deep decarbonization around the world, it has become a broad consensus that the carbon trading mechanism can promote the low-carbon operation of the energy …		 ZHICHAO YAN et. al. IEEE Transactions on Smart Grid 2023-07-01
189 A Novel Recurrent Neural Network Based Online Portfolio Analysis for High Frequency Trading
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 XINWEI CAO et. al. Expert Syst. Appl. 2023-07-01
190 MENGUJI EFEK MERGER TERHADAP KINERJA SAHAM PT BANK SYARIAH INDONESIA TBK
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Abstract: The objective of this research was to examine the impact of the merger of three national Islamic banks, specifically PT Bank Syariah Mandiri Tbk, PT Bank BRI Syariah Tbk, and PT …		 Rakhmat Hadi Sucipto; Journal of Management : Small and Medium Enterprises (SMEs) 2023-07-01
191 Shared Trading Strategy of Multiple Microgrids Considering Joint Carbon and Green Certificate Mechanism
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Abstract: With a background of carbon peak and neutrality, the economic and environmental requirements are increasing for microgrids. In view of the problem of energy wastage and conflicts …		 PENG CHEN et. al. Sustainability 2023-06-29
192 P2P Energy Trading Through Prospect Theory, Differential Evolution, and Reinforcement Learning
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Abstract: Peer-to-peer (P2P) energy trading is a decentralized energy market where local energy prosumers act as peers, trading energy among each other. Existing works in this area largely …		 Ashutosh Timilsina; Simone Silvestri; ACM Transactions on Evolutionary Learning 2023-06-10
193 Agent Performing Autonomous Stock Trading Under Good and Bad Situations
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Highlight: In this project, we have developed a pipeline that simulates the stock trading environment and have trained an agent to automate the stock trading process with deep reinforcement learning methods, including deep Q-learning, deep SARSA, and the policy gradient method.		 Yunfei Luo; Zhangqi Duan; arxiv-cs.LG 2023-06-06
194 Insights Into UK Investment Firms’ Efforts to Comply with MiFID II RTS 6 That Governs The Conduct of Algorithmic Trading
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Abstract: Purpose The purpose of this paper is to examine the effectiveness of UK investment firms’ implementation of the requirements in Commission Delegated Regulation 2017/589 (more …		 Alexander Conrad Culley; Journal of Financial Regulation and Compliance 2023-06-06
195 Cryptosentiment: A Dataset and Baseline for Sentiment-Aware Deep Reinforcement Learning for Financial Trading
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Abstract: Deep Learning (DL) models have been applied in several studies to solve financial trading problems. Most approaches handle these problems as classification or reinforcement …		 Loukia Avramelou; Paraskevi Nousi; N. Passalis; S. Doropoulos; A. Tefas; 2023 IEEE International Conference on Acoustics, Speech, … 2023-06-04
196 A Survey on Machine Learning Algorithms for Risk-Controlled Algorithmic Trading
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Abstract: Machine learning algorithms have emerged as powerful tools for risk control in algorithmic trading, enabling traders to analyze vast amounts of market data, detect patterns, and …		 Soham Pathak; Antara Pawar; Shruti Taware; Sarthak Kulkarni; Afsha Akkalkot; International Journal of Scientific Research in Science and … 2023-06-01
197 A Study of Trade Strategies Based on The Markov Regime Switching Model
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Abstract: Market traders often buy and sell stocks to maximize their total return. For each purchase and sale, there is often a return commission. Having trading technology plays an …		 Zhijie Shen; Zicheng Wei; Yang Zhang; Advances in Economics and Management Research 2023-06-01
198 A Novel Fading-Memory Filter Multiple Trading Strategy with Data-Driven Innovation Volatility
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Abstract: A profitable data-driven algorithmic trading algorithm will benefit from a dynamic system that can produce accurate hedge ratio estimates and short-term innovation volatility …		 You Liang; A. Thavaneswaran; Alex Paseka; Sulalitha Bowala; Juan Liyau; 2023 IEEE 47th Annual Computers, Software, and Applications … 2023-06-01
199 On Theoretical Foundations of Mostly Model-free Cross-coupled Simultaneously Long-short Stock Trading Controllers
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 M. Baumann; Eur. J. Control 2023-06-01
200 Quantitative Trading Strategy Based on Simplified DPG
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Abstract: In recent years, investment has become more and more popular, and asset management has also received more and more attention. At the same time, with the development of computer …		 Linpei Huang; Tengwei Cai; Shuai Feng; Zhecheng Xie; Highlights in Business, Economics and Management 2023-05-29
201 Trading Strategy Based on Dynamic Programming
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Abstract: In order to obtain more stable profit expectations, this article established an index enhancement strategy. With the continuous development of China’s financial market, an index …		 MENGYUAN HU et. al. Conference on Machine Learning and Computer Application 2023-05-25
202 Social Informedness and Investor Sentiment in The GameStop Short Squeeze
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Abstract: We examine investor behavior on social media platforms related to the GameStop (GME) short squeeze in early 2021. Individual investors stimulated the stock market via Reddit …		 Kwansoo Kim; Sang-Yong Tom Lee; Robert J Kauffman; Electronic markets 2023-05-23
203 A New Hybrid Method of Recurrent Reinforcement Learning and BiLSTM for Algorithmic Trading
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Abstract: Recently, the algorithmic trading of financial assets is rapidly developing with the rise of deep learning. In particular, deep reinforcement learning, as a combination of deep …		 Yuling Huang; Yunlin Song; J. Intell. Fuzzy Syst. 2023-05-20
204 Intraday Algorithmic Trading Strategies for Cryptocurrencies
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 Gil Cohen; Review of Quantitative Finance and Accounting 2023-05-19
205 Online Hybrid Neural Network for Stock Price Prediction: A Case Study of High-Frequency Stock Trading in The Chinese Market
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Abstract: Time-series data, which exhibit a low signal-to-noise ratio, non-stationarity, and non-linearity, are commonly seen in high-frequency stock trading, where the objective is to …		 Chengyu Li; Luyi W. Shen; G. Qian; Econometrics 2023-05-18
206 Application of Machine Learning With News Sentiment in Stock Trading Strategies
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Abstract: This study empirically tested the feasibility of machine learning in trading strategies using technical indicators and news information as the feature variables for machine …		 Tse-Mao Lin; J. Yu; Jhih-Wei Chen; Chin-Sheng Huang; International Journal of Financial Research 2023-05-18
207 Feedback Trading in The Cryptocurrency Market
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Abstract: Purpose This paper aims to investigate feedback trading and autocorrelation behavior in the cryptocurrency market. Design/methodology/approach It uses the GJR-GARCH model to …		 Mohamed Shaker Ahmed; Adel Alsamman; Kaouther Chebbi; Studies in Economics and Finance 2023-05-17
208 Multiple Game Trading Strategy of Multiple Virtual Power Plants Considering Carbon Trading
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Abstract: The large-scale access of distributed energy resources has a certain impact on the power grid, so distributed energy resources cannot participate in the power market transactions …		 Tianfeng Chu; Xingchen An; Yu Zhu; Xueying Wang; Limin Deng; Frontiers in Energy Research 2023-05-16
209 Copula-Based Trading of Cointegrated Cryptocurrency Pairs
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Highlight: This research introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies.		 Masood Tadi; Jiří Witzany; arxiv-q-fin.TR 2023-05-11
210 Retail Broker Trading Restrictions and Market Liquidity: An Examination of GameStop
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Abstract: We examine changes in market liquidity when several popular U.S. retail brokers restrict client trading in GameStop stock over a six-day period in early 2021 due to higher …		 Ryan Garvey; Jingbin He; Fei Wu; Applied Economics 2023-05-08
211 Peer-to-Peer Transactive Energy Trading of A Reconfigurable Multi-Energy Network
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Abstract: This paper proposes a bi-level peer-to-peer (P2P) multi-energy trading framework for a coupled distribution network (DN) and district heating network (DHN). At the lower level, …		 Yuexian Zou; Yan Xu; X. Feng; H. Nguyen; IEEE Transactions on Smart Grid 2023-05-01
212 Trading Strategy Hyper-parameter Optimization Using Genetic Algorithm
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Abstract: This paper presents the application of a genetic algorithm (GA) for optimizing a simple moving average convergence divergence (MACD) crossover trading strategy and an ensemble …		 George-Antoniu Deac; David-Traian Iancu; 2023 24th International Conference on Control Systems and … 2023-05-01
213 Algorithmic Trading Strategy Using Technical Indicators
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Abstract: The stock market holds great importance for the economic progress of any country, despite its inherently unpredictable and volatile nature. Factors such as political …		 Pranay D. Kumbhare; Lokendra Kolhe; Sakshi Dani; Pooja Fandade; Dipti Theng; 2023 11th International Conference on Emerging Trends in … 2023-04-28
214 Is Attention All You Need for Intraday Forex Trading?
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Abstract: The main objective of this paper is to analyse whether the Transformer neural network, which has become one of the most influential algorithms in Artificial Intelligence over the …		 Przemysław Grądzki; Piotr Wójcik; Expert Systems 2023-04-25
215 Optimum Output Long Short-Term Memory Cell for High-Frequency Trading Forecasting
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Highlight: This type of neural network is formed based on cells that perform sequential and stale calculations via gates and states without knowing whether their order, within the cell, is optimal. In this paper, we propose a revised and real-time adjusted long short-term memory cell that selects the best gate or state as its final output.		 Adamantios Ntakaris; Moncef Gabbouj; Juho Kanniainen; arxiv-cs.LG 2023-04-17
216 The Roles of Carbon Trading System and Sustainable Energy Strategies in Reducing Carbon Emissions-An Empirical Study in China with Panel Data
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Abstract: Carbon emission reduction is now a vital element in urban development. This study explores the effectiveness of the two emerging methods to reduce carbon emission, which are …		 Yue Yu; Yishuang Xu; International journal of environmental research and public … 2023-04-17
217 Virtual Currency Trading Strategy Based on ARIMA and AHP-PSO
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Abstract: As the price of virtual currency fluctuates greatly, precise prediction and appropriate trading strategies can bring investors best returns. This paper predicted the price of …		 Hongru Song; Zijie Zhang; Highlights in Business, Economics and Management 2023-04-11
218 Gambling on The Stock Market: The Behavior of At-risk Online Traders
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Abstract: PurposeOnline investment platforms offer an environment that may lead some traders into excessive behaviors akin to gambling. Over the last decade, gambling behaviors associated …		 P. GRÉGOIRE et. al. Review of Behavioral Finance 2023-04-06
219 Do Investors’ Personalities Predict Market Winners? Experimental Setting and Machine Learning Analysis
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 Huan Huu Nguyen; Vu Minh Ngo; Thao Thi Phuong Le; Phuc Van Nguyen; Heliyon 2023-04-05
220 A Hybrid Forecasting Model Based on Deep Learning Feature Extraction and Statistical Arbitrage Methods for Stock Trading Strategies
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 Weiqian Zhang; Songsong Li; Zhichang Guo; Yizhe Yang; Journal of Forecasting 2023-04-04
221 Intraday Trend Prediction of Stock Indices with Machine Learning Approaches
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Abstract: In recent years, as research at the intersection of machine learning and finance has grown, predicting stock price movements has become a particularly intriguing issue. Current …		 Pan Tang; Xin Tang; Wentao Yu; The Engineering Economist 2023-04-03
222 Quantitative Trading Using Deep Q Learning
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Abstract: Abstract: Reinforcement learning (RL) is a branch of machine learning that has been used in a variety of applications such as robotics, game playing, and autonomous systems. In …		 Soumya Sarkar; ArXiv 2023-04-03
223 Peer-to-Peer Energy Trading Considering Low-Carbon Preference
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Abstract: The acceleration of renewable energy resources prompts transition to the low-carbon networks. However, the intermittent output of RES causes severe operational problems. To cope …		 HAOTIAN YAO et. al. 2023 Panda Forum on Power and Energy (PandaFPE) 2023-04-01
224 A High-frequency Trading Volume Prediction Model Using Neural Networks
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 Xiaojie Xu; Yun Zhang; Decision Analytics Journal 2023-04-01
225 The Roles of Carbon Trading System and Sustainable Energy Strategies in Reducing Carbon Emissions—An Empirical Study in China with Panel Data
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Abstract: Carbon emission reduction is now a vital element in urban development. This study explores the effectiveness of the two emerging methods to reduce carbon emission, which are …		 Yue Yu; Yishuang Xu; International Journal of Environmental Research and Public … 2023-04-01
226 Research on Day-Ahead Optimal Scheduling Considering Carbon Emission Allowance and Carbon Trading
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Abstract: In the context of the marketization of carbon trading in the power system, it is of great theoretical and practical significance to study a scientific and effective carbon …		 Jiangnan Li; Tian Mao; Guanglei Huang; Wenmeng Zhao; Tao Wang; Sustainability 2023-04-01
227 OG-CAT: A Novel Algorithmic Trading Alternative to Investment in Crypto Market
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 Surinder Singh Khurana; Parvinder Singh; N. Garg; Computational Economics 2023-03-28
228 Research on Stock Trading Prediction Based on MAD and Q-learning
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Abstract: The accuracy of traditional stock trading prediction is lacking, and stock trading is risky, so this study tries to use machine learning models for stock trading change prediction …		 YIKAI SUN et. al. Fifth International Conference on Computer Information … 2023-03-28
229 The Impact and Profitability of Day Trading Following The Relaxation of Day Trading Restrictions in Taiwan
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 Wan-Hsiu Cheng; Yuhsin Chen; Paoyu Huang; Yensen Ni; Mei-Chu Liang; Heliyon 2023-03-27
230 Energy Trading Strategy Incoporating Electric Vehicles
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Abstract: Integrating distributed generation (DG) into the main grid represents a challenge for grid safety and stability, as well as a potential solution for technical and economic issues. …		 May Alaa El Din; Amany El Zonkoly; Osama M. Hebala; 2023 13th International Symposium on Advanced Topics in … 2023-03-23
231 Optimal Operation of A Regional Integrated Energy System Considering P2G and Stepped Carbon Trading
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Abstract: To solve the problems of low energy utilization and carbon pollution of RIES under the background of double carbon, a strategy is proposed to optimize the operation of the …		 Mingguang Zhang; Hongyi Li; Yi Zhu; 2023 5th Asia Energy and Electrical Engineering Symposium … 2023-03-23
232 An Intelligent System for Trading Signal of Cryptocurrency Based on Market Tweets Sentiments
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Abstract: The purpose of this study is to examine the efficacy of an online stock trading platform in enhancing the financial literacy of those with limited financial knowledge. To this …		 MAN-FAI LEUNG et. al. FinTech 2023-03-16
233 Stock Portfolio Management By Using Fuzzy Ensemble Deep Reinforcement Learning Algorithm
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Abstract: The research objective of this article is to train a computer (agent) with market information data so it can learn trading strategies and beat the market index in stock trading …		 Zheng Hao; Haowei Zhang; Yipu Zhang; Journal of Risk and Financial Management 2023-03-15
234 Optimizing Trading Strategies in Quantitative Markets Using Multi-Agent Reinforcement Learning
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Highlight: As a result, we introduce two novel multi-agent RL (MARL) methods, CPPI-MADDPG and TIPP-MADDPG, tailored for probing strategic trading within quantitative markets.		 HENGXI ZHANG et. al. arxiv-q-fin.TR 2023-03-15
235 Impact of COVID-19 Lockdowns on Retail Stock Trading Patterns
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Abstract: The purpose of this paper is to explore the impact of the first wave of COVID-19 lockdowns on retail stock trading patterns, at a transnational level. Cross-sectional empirical …		 Christos Sigalas; Cogent Economics & Finance 2023-03-13
236 Peer-to-Peer Energy Trading: Energy Pricing Using Game Theory Models
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Abstract: Peer-to-peer (P2P) energy trading facilitates the trading of a prosumer’s surplus generated energy from the Distributed Energy Resource (DER) to the neighbouring prosumer having …		 Ravi Rakeshkumar Trivedi; Chandra Prakash Barala; Parul Mathuria; R. Bhakar; Satish Sharma; 2023 IEEE IAS Global Conference on Renewable Energy and … 2023-03-11
237 Improving CNN-base Stock Trading By Considering Data Heterogeneity and Burst
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Abstract: In recent years, there have been quite a few attempts to apply intelligent techniques to financial trading, i.e., constructing automatic and intelligent trading framework based on …		 KEER YANG et. al. ArXiv 2023-03-11
238 Recommendation Algorithm of Industry Stock Trading Model with TODIM
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 D. Lv; Yingli Gong; Jianting Chen; Yang Xiang; Int. J. Inf. Technol. Decis. Mak. 2023-03-10
239 Money Management for Trading Strategies
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Abstract: Investors generally focus primarily on trading algorithms and not on money management, causing their portfolios to be seriously damaged when things go wrong. In this research, …		 Kritthanit Malathong; J. Konpang; A. Sirikham; 2023 International Electrical Engineering Congress (iEECON) 2023-03-08
240 Algorithm Trading Strategy Based on GARCH and LSTM Models
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Abstract: The prediction of the volatility of stock has been a topic of great interest in the financial realm. In this paper, we aim to create new trading strategies based on the volatility …		 Z. Wei; Jingyi Cui; International Conference on Green Communication, Network, … 2023-03-08
241 Where Will Corporate Capital Flow To? Revisiting The Impact of China’s Pilot Carbon Emission Trading System on Investment
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 Yong Qi; Mingsheng Yuan; Tingting Bai; Journal of environmental management 2023-03-08
242 A Futures Quantitative Trading Strategy Based on A Deep Reinforcement Learning Algorithm
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Abstract: Deep reinforcement learning (DRL) is a type of machine learning algorithm that has gained a lot of attention for its application in the financial field. Based on the proximal …		 Xuemei Chen; Haoran Guo; 2023 IEEE 8th International Conference on Big Data … 2023-03-03
243 Turn-of-the-candle Effect in Bitcoin Returns
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 Savva Shanaev; Mikhail Vasenin; Roman Stepanov; Heliyon 2023-03-02
244 Heterogeneously Informed Trading and The Stock Market Efficiency During The COVID-19 Pandemic
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 Liao Xu; Mingqi Xue; Xuan Zhang; Yang Zhao; International review of financial analysis 2023-03-02
245 An Algorithmic Trading System Based on A Stacked Generalization Model and Hidden Markov Model in The Foreign Exchange Market
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 Alireza Fereydooni; M. Mahootchi; Global Finance Journal 2023-03-01
246 Application of Traditional Machine Learning Models for Quantitative Trading of Bitcoin
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Abstract: Bitcoin, the most popular cryptocurrency around the world, has had frequent and dramatic price changes in recent years. The price of bitcoin reached a new peak, nearly $65,000 in …		 Yimeng Wang; Keyue Yan; Artificial Intelligence Evolution 2023-03-01
247 Exploring Arbitrage Opportunities Between China’s Carbon Markets Based on Statistical Arbitrage Pairs Trading Strategy
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 Boqiang Lin; Zhizhou Tan; Environmental Impact Assessment Review 2023-03-01
248 Peer-to-Peer Energy Trading, Independence Aspirations and Financial Benefits Among Nigerian Households
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Abstract: This paper demonstrates how preferences for energy trading are influenced by autarky aspirations and possible financial benefits from energy trading in the form of lower energy …		 A. Adewole; M. Shipworth; Xavier Lemaire; Danielle Sanderson; SSRN Electronic Journal 2023-03-01
249 A Privacy-Preserving Blockchain-Based Method to Optimize Energy Trading
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Abstract: It is always desired for optimizing energy trading to disable manipulation and preserve individual privacy. These two features become increasingly appealing for an energy market …		 J. Ping; Zheng Yan; Sijie Chen; IEEE Transactions on Smart Grid 2023-03-01
250 Exploring The Advantages of Transformers for High-Frequency Trading
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Abstract: This paper explores the novel deep learning Transformers architectures for high-frequency Bitcoin-USDT log-return forecasting and compares them to the traditional Long Short-Term …		 Fazl Barez; Paul Bilokon; Arthur Gervais; Nikita Lisitsyn; ArXiv 2023-02-20
251 Co-trading Networks for Modeling Dynamic Interdependency Structures and Estimating High-dimensional Covariances in US Equity Markets
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Highlight: By leveraging a co-trading-based pairwise similarity measure, we propose a novel method to construct dynamic networks of stocks.		 Yutong Lu; Gesine Reinert; Mihai Cucuringu; arxiv-q-fin.TR 2023-02-18
252 Research on Multistage Dynamic Trading Model Based on Gray Model and Auto-Regressive Integrated Moving Average Model
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Abstract: Quantitative portfolio investment mainly depends on historical data analysis and market trend prediction to make appropriate decisions, which is an important mean to reduce risks …		 Zishan Xu; Chuang-Yuang Lin; Zhe Zhuang; Lidong Wang; Discrete Dynamics in Nature and Society 2023-02-16
253 Heterogeneity of Beliefs and Trading Behavior: A Reexamination
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Abstract: Combining experimental data sets from seven individual studies, including 255 asset markets with 2,031 participants, and 36,326 short-term price forecasts, we analyze the role of …		 Sascha C. Füllbrunn; C. Huber; Catherine C. Eckel; Utz Weitzel; Journal of Financial and Quantitative Analysis 2023-02-14
254 Designing Fairness in Autonomous Peer-to-peer Energy Trading
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Abstract: Several autonomous energy management and peer-to-peer trading mechanisms for future energy markets have been recently proposed based on optimization and game theory. In this …		 VARSHA BEHRUNANI et. al. ArXiv 2023-02-09
255 Empirical Analysis in Limit Order Book Modeling for Nikkei 225 Stocks with Cox-type Intensities
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Highlight: In this paper, we build on the analysis of Muni Toke and Yoshida (2020) and conduct several empirical studies using high-frequency financial data.		 Shunya Chomei; arxiv-q-fin.TR 2023-02-03
256 An IPSO-FW-WSVM Method for Stock Trading Signal Forecasting
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Abstract: Trading signal detection is a very popular yet challenging research topic in the financial investment area. This paper develops a novel method integrating piecewise linear …		 Yingjun Chen; Zhigang Zhu; Entropy (Basel, Switzerland) 2023-02-02
257 LightTrader: A Standalone High-Frequency Trading System with Deep Learning Inference Accelerators and Proactive Scheduler
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Abstract: Recent research shows that artificial intelligence (AI) algorithms can dramatically improve the profitability of high-frequency trading (HFT) with accurate market prediction, …		 SUNGYEOB YOO et. al. 2023 IEEE International Symposium on High-Performance … 2023-02-01
258 Pairs Trading Strategy Optimization Using Proximal Policy Optimization Algorithms
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Abstract: Pairs trading is a market-neutral quantitative trading strategy which exploits historically correlated stock prices by forming pairs with weighted long and short positions. A pair …		 Yi-Feng Chen; Wen-Yueh Shih; Hsu-Chao Lai; Hao-Chun Chang; Jiun-Long Huang; 2023 IEEE International Conference on Big Data and Smart … 2023-02-01
259 The Impact of The Russia-Ukraine War on The Cryptocurrency Market
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Abstract: This research provides the very first empirical investigation of the impact of the Russia-Ukraine war on the cryptocurrency market (Bitcoin trading volume, and returns). The …		 Isaac Appiah‐Otoo; Asian Economics Letters 2023-01-31
260 Association Between Gambling and Financial Trading: A Systemic Review
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Abstract: Background: Financial trading is often categorized separately from traditional forms of gambling (e.g., blackjack, poker, lottery, slot machines), as it is often viewed from an …		 Uibin Lee; Lauren E. Lewis; Devin J. Mills; F1000Research 2023-01-30
261 Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets
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Highlight: We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders.		 Peer Nagy; Jan-Peter Calliess; Stefan Zohren; arxiv-q-fin.TR 2023-01-20
262 Optimization Trading Strategy Model for Gold and Bitcoin Based on Market Fluctuation
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Abstract: As a new type of digital currency, Bitcoin is considered as “future gold” by various scholars. Therefore, this study considers Bitcoin and gold as a group of hedging assets to …		 Hong-Xia Xie; Yan Feng; Xueyong Yu; Yuning Hu; J. Adv. Comput. Intell. Intell. Informatics 2023-01-20
263 Acceleration of Trading System Back End with FPGAs Using High-Level Synthesis Flow
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Abstract: FPGA technology is widely used in the finance domain. We describe the design of a financial trading system order processing component using FPGAs, implemented with high-level …		 Sunil Puranik; Mahesh Barve; Swapnil Rodi; R. Patrikar; Electronics 2023-01-19
264 Domain-adapted Learning and Interpretability: DRL for Gas Trading
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Highlight: In this paper, we present a practical implementation of Deep RL for trading natural gas futures contracts.		 Yuanrong Wang; Yinsen Miao; Alexander CY Wong; Nikita P Granger; Christian Michler; arxiv-q-fin.TR 2023-01-19
265 A Deep Reinforcement Learning-based Bidding Strategy for Participants in A Peer-to-peer Energy Trading Scenario
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Abstract: An efficient energy trading strategy is proven to have a vital role in reducing participants’ payment in the energy trading process of the power grid, which can greatly improve …		 Feiye Zhang; Qingyu Yang; Donghe Li; Frontiers in Energy Research 2023-01-16
266 Enhanced Bollinger Band Stock Quantitative Trading Strategy Based on Random Forest
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Abstract: Constructing applicable automated stock trading strategies has become one of the best ways that people can earn profits from their underlying assets’ investments now. Automated …		 Keyue Yan; Yimeng Wang; Y. Li; Artificial Intelligence Evolution 2023-01-11
267 Trade Filtering Method for Trend Following Strategy Based on LSTM-extracted Feature and Machine Learning
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Abstract: Trend following strategies have a wide-ranging role in quantitative trading fields, which can capture important unilateral market trends for large gains, while this is vulnerable …		 Jun Liang; Keyi Huang; Shaojian Qiu; Hai Lin; Keng Lian; J. Intell. Fuzzy Syst. 2023-01-11
268 Design and Implementation of Algorithmic Stock Trading
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Abstract: The act of trading in the financial markets from a discretionary standpoint comes with a vast number of pitfalls that lead to participants achieving poor returns on their …		 Piers Blackmun; Sahar Al-Sudani; D. Al-Jumeily; 2023 15th International Conference on Developments in … 2023-01-09
269 Empirical Analysis of Automated Stock Trading Using Deep Reinforcement Learning
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Abstract: There are several automated stock trading programs using reinforcement learning, one of which is an ensemble strategy. The main idea of the ensemble strategy is to train DRL …		 Minseok Kong; Jungmin So; Applied Sciences 2023-01-03
270 Intraday High-frequency Pairs Trading Strategies for Energy Futures: Evidence from China
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Abstract: We investigate the performance of pairs trading strategies based on Ornstein-Uhlenbeck (OU) process with jump-diffusion and regime-switching using minute-level data for five …		 Jing Luo; YuCheng Lin; Sijia Wang; Applied Economics 2023-01-01
271 Blockchain-Enabled Fintech Innovation: A Case of Reengineering Stock Trading Services
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Abstract: As it plays a key role in industrial and commercial development, the stock market has significant impacts on a country’s economic growth; the stability of the stock market is …		 S. Chang; Meng-Hsuan Wang; IEEE Access 2023-01-01
272 Integrating Piecewise Linear Representation and Deep Learning for Trading Signals Forecasting
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Abstract: Trading signals forecasting is an interesting but challenging research topic in the field of financial investment, since the financial market is a nonlinearity and high volatility …		 Yingjun Chen; Zhigang Zhu; IEEE Access 2023-01-01
273 Bandits for Algorithmic Trading with Signals
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 Á. Cartea; Fayçal Drissi; Pierre Osselin; SSRN Electronic Journal 2023-01-01
274 A Three-Stage Multi-Energy Trading Strategy Based on P2P Trading Mode
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Abstract: This paper proposes a three-stage multi-energy sharing strategy for a gas-electricity integrated energy system (IES). It aims to solve the multi-energy imbalance problem among …		 Jie Yang; Wenya Xu; K. Ma; Conghui Li; IEEE Transactions on Sustainable Energy 2023-01-01
275 Algorithmic Trading System Based on Technical Indicators in Artificial Intelligence: A Review
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 ZARITH SOFIA ZULKIFLI et. al. 1ST INTERNATIONAL POSTGRADUATE CONFERENCE ON OCEAN … 2023-01-01
276 Reinforcement Learning for Stock Prediction and High-Frequency Trading With T+1 Rules
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Abstract: The high-frequency trading framework for the price trend prediction model and trading strategy has been a popular approach for T+0 trading in the stock market. The prediction …		 Weipeng Zhang; Tao Yin; Yunan Zhao; Bing Han; Huanxi Liu; IEEE Access 2023-01-01
277 Can Day Trading Really Be Profitable? Evidence of Sustainable Long-term Profits from Opening Range Breakout (ORB) Day Trading Strategy Vs. Benchmark in The US Stock Market
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 Carlo Zarattini; Andrew R. Aziz; SSRN Electronic Journal 2023-01-01
278 A Novel Convolutional Neural Networks for Stock Trading Based on DDQN Algorithm
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Abstract: In deep learning based stock trading strategy models, most of the research just use simple convolutional neural networks (CNN) to process stock data. But task-specific neural …		 Kai Cui; Ruizhe Hao; Yuling Huang; Jianqing Li; Yunlin Song; IEEE Access 2023-01-01
279 Does Algorithmic Trading Improve Liquidity Around Dividend Announcement? Evidence from The Stock Exchange of Thailand
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Abstract: This study investigates the impact of the entry of algorithmic trading on Thailand’s stock market liquidity around dividend announcement during 2001 – 2016. We find some evidence …		 Chotika Chatchawanwanit; 2023-01-01
280 Stock Market Price Prediction Using Machine Learning
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Abstract: The stock market is known for its high volatility, fast changes, and nonlinear behaviour; investors should be prepared for all three. It is highly challenging to precisely …		 SHARIQ MOHAMMED et. al. 2023 5th International Conference on Smart Systems and … 2023-01-01
281 Intraday Trading of Cryptocurrencies Using Polynomial Auto Regression
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Abstract: This research attempts to fit a polynomial auto regression (PAR) model to intraday price data of four major cryptocurrencies and convert the model into a real-time profitable …		 Gil Cohen; AIMS Mathematics 2023-01-01
282 Stock-Crypto-App – Recommendation System for Stock and Cryptocurrency Market Using Cutting Edge Machine Learning Technology
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Abstract: – In the dynamic world of financial markets, the prediction of stock performance and bitcoin trading is undergoing a significant transformation due to the integration of advanced …		 THUSHANTHA SANJU et. al. International Research Journal of Innovations in … 2023-01-01
283 Multi-Feature Supervised Reinforcement Learning for Stock Trading
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Abstract: Deep reinforcement learning (DRL) algorithm is often used to find the best trading strategy in algorithmic trading. However, the classical DRL model is difficult to achieve rapid …		 Kui Fu; Yidong Yu; Bing Li; IEEE Access 2023-01-01
284 CBITS: Crypto BERT Incorporated Trading System
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Abstract: Most textual analysis-based trading approaches in cryptocurrency (crypto) involve lexical, rule-based methods for extracting news sentiments. Furthermore, language models (LMs) …		 Gyeongmin Kim; Minsuk Kim; B. Kim; Heu-Jeoung Lim; IEEE Access 2023-01-01
285 Algorithm Trading and Its Application in Stock Broking Services
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Abstract: Purpose: Algorithmic trading provides a more systematic approach to active trading than methods based on trader intuition or instinct. The aim of the study is to examine the level …		 R. VEDAPRADHA et. al. E3S Web of Conferences 2023-01-01
286 Trade Ease With Machine Learning and AWS
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Abstract: Global trading is undergoing significant changes, necessitating modifications to the trading strategies. This study presents a newly developed cloud-based trading strategy that …		 Kamurthi Ravi Teja; Chuan-Ming Liu; IEEE Access 2023-01-01
287 Does High-frequency Trading Actually Improve Market Liquidity? A Comparative Study for Selected Models and Measures
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 Renata Karkowska; A. Palczewski; Research in International Business and Finance 2023-01-01
288 Bitcoin Optimized Signal Allocation Strategies Using Decomposition
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Abstract: —Bitcoin is the first and most famous cryptocurrency. It is a virtual currency that is operated in a decentralized form using cryptographic strategies called blockchains. Although …		 Sherin M. Omran; Wessam H. El-Behaidy; A. Youssif; International Journal of Advanced Computer Science and … 2023-01-01
289 A Mean-VaR Based Deep Reinforcement Learning Framework for Practical Algorithmic Trading
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Abstract: It is difficult to automatically produce trading signals based on previous transaction data and the financial status of assets because of the significant noise and …		 Boyi Jin; IEEE Access 2023-01-01
290 A Study of BOS Investment Strategy Based on BP Neural Network Prediction
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Abstract: : As a new type of trading method, quantitative trading has been developing rapidly in recent years in developed countries such as the United States. By building BP neural network …		 Jialei Liu; Shuhan Yang; Qianjie Wang; Academic Journal of Business & Management 2023-01-01
291 Optimizing Automated Trading Systems with Deep Reinforcement Learning
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Abstract: In this paper, we propose a novel approach to optimize parameters for strategies in automated trading systems. Based on the framework of Reinforcement learning, our work includes …		 Minh Tran; Duc Pham-Hi; M. Bui; Algorithms 2023-01-01
292 Learning from DeFi: Would Automated Market Makers Improve Equity Trading?
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Abstract: We investigate the potential for automated market makers (AMMs) to be economically viable in and improve traditional financial markets. AMMs are a new type of trading institution …		 Katya Malinova; A. Park; SSRN Electronic Journal 2023-01-01
293 Portfolio Research Based on SVM-GARCH and Dynamic Weighted Multi-Objective Planning Models—An Example of Gold and Bitcoin
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Abstract: : The question of how to benefit from an organic combination of gold and bitcoin has become a prominent topic in the contemporary society. Hence, we’ve built the time series …		 Yue Wu; Financial Engineering and Risk Management 2023-01-01
294 A Retail Investor in A Cobweb of Social Networks
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Abstract: In this study, using AI, we empirically examine the irrational behaviour, specifically attention-driven trading and emotion-driven trading such as consensus trading, of retail …		 Tamara Teplova; Aleksandr Tomtosov; Tatiana Sokolova; PloS one 2022-12-30
295 Prediction of Stock Price Direction with Trading Indicators Using Machine Learning Techniques
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Abstract: Stock market provides a platform where people can engage in trading. Such tradings contribute to the growth of economy. It is a very intriguing research topic to predict the …		 Md. Siam Ansary; Amina Brinto; 2022 IEEE International Women in Engineering (WIE) … 2022-12-30
296 DEVELOPMENT OF EXCHANGE TRADING: CURRENT STATE AND PROSPECTS
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Abstract: The article analyzes the main trends in the development of global and domestic stock exchange trade. The development trends of the international stock market are considered and …		 O. Nikolaichuk; Herald of Khmelnytskyi National University. Economic … 2022-12-29
297 Dampak Peristiwa Stock Split Terhadap Performa Saham Di Bursa Efek Indonesia
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Abstract: This study aims to determine and calculate differences in the level of stock liquidity proxied by the company’s trading volume activity (TVA) before and after the stock split, the …		 Muhammad Taufiq Abadi; Sains Manajemen 2022-12-21
298 Deep Reinforcement Learning Methods for Automation Forex Trading
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Abstract: In Forex market, designing effective strategies are a critical role in investment. However, it is a challenging task due to its inherent characteristics, which include high …		 Tan Chau; Minh-Tri Nguyen; Duc-Vu Ngo; Anh-Duc T. Nguyen; Trong-Hop Do; 2022 RIVF International Conference on Computing and … 2022-12-20
299 Supervised Actor-critic Reinforcement Learning with Action Feedback for Algorithmic Trading
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 Qizhou Sun; Yain-Whar Si; Applied Intelligence 2022-12-17
300 To Study The Reaction of The Investors in Trading Behaviour in Bursa Malaysia Based on KLSE Market Index Performance
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Abstract: The investor’s behaviour had always raised eyebrows on the behaviour towards the trading activities within the stock market exchange. As the major secondary market of the trading …		 Wee Win Yeoh; Journal of Social Sciences and Management Studies 2022-12-13
301 A Prediction Model of Stock Market Trading Actions Using Generative Adversarial Network and Piecewise Linear Representation Approaches
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Abstract: Supervised learning applied stock prediction tasks and obtained satisfactory performance. The trading strategies are very complex and diverse but supervised learning is only …		 Jheng-Long Wu; Xian-Rong Tang; Chin-Hsiung Hsu; Soft computing 2022-12-09
302 The Effects of Index Futures Trading Volume on Spot Market Volatility in A Frontier Market: Evidence from Ho Chi Minh Stock Exchange
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Abstract: This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for the Ho Chi Minh Stock Exchange (HOSE). The data utilized in …		 L. Truong; H. Friday; Anh T. H. Nguyen; Risks 2022-12-08
303 Kelly-based Stock Trading Via Feedback Control
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Abstract: In stock trading, Kelly betting has recently gained much popularity as a methodologically sound approach to the computation of optimal investment fractions. In this work, by …		 Federico Dettù; F. Abbracciavento; S. Formentin; 2022 IEEE 61st Conference on Decision and Control (CDC) 2022-12-06
304 A Novel Deep Reinforcement Learning Based Automated Stock Trading System Using Cascaded LSTM Networks
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Highlight: In this paper, to capture the hidden information, we propose a DRL based stock trading system using cascaded LSTM, which first uses LSTM to extract the time-series features from stock daily data, and then the features extracted are fed to the agent for training, while the strategy functions in reinforcement learning also use another LSTM for training.		 Jie Zou; Jiashu Lou; Baohua Wang; Sixue Liu; arxiv-q-fin.CP 2022-12-05
305 LSTM Based Algorithmic Trading Model for Bitcoin
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Abstract: Cryptocurrencies have emerged as an alternative financial asset in the last decade, with their market growing exponentially in recent years. The price of cryptocurrencies is …		 Japjeet Singh; R. Thulasiram; A. Thavaneswaran; 2022 IEEE Symposium Series on Computational Intelligence … 2022-12-04
306 Low-carbon Economic Optimal Dispatch Strategy of Integrated Energy System Considering Electric-heat Flexible Load and Carbon Trading
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Abstract: In order to improve the consumption of renewable energy, stabilize load fluctuations and control total carbon emissions, this paper proposes a low-carbon economic optimal dispatch …		 Xinfeng Jiang; Q. Ai; Yun Chen; Jiayu Wang; 2022 IEEE Sustainable Power and Energy Conference (iSPEC) 2022-12-04
307 A Pathway Towards The Development and Evolution of Consumer Behavior: Policy Directions for Sustainable Development and Improvement of Nutrition
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Abstract: The virtuality, concealment, uncertainty and complexity of online trading make the online food trading market have security risks, while the lack of information, information …		 Fang Su; Jiangbo Chang; Xing Zhang; Shah Fahad; Shimza Bint Aslam; Frontiers in nutrition 2022-12-02
308 Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal
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Abstract: A key issue for decentralised markets like FX is how the market responds to extreme situations. Using data on FX transactions with a precise identi fi cation of Algorithmic trading …		 Francis Breedon; Louisa Chen; A. Ranaldo; Nicholas Vause; SSRN Electronic Journal 2022-12-01
309 From Decision Optimization to Satisficing: Regulation of Automated Trading in The US Financial Markets
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 W. Currie; J. Seddon; Ben Van Vliet; Inf. Manag. 2022-12-01
310 Trading Companies and Distribution of Speculative Bubbles Within European Commodity and Stock Markets, 17-18 Century
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Abstract: The paper examines the first financial crises based on speculative exchange transactions with overseas goods and securities of trading companies. Based on the study of Tulip …		 A. Sapuntsov; Genesis: исторические исследования 2022-12-01
311 How Machine Learning Can Drive High Frequency Algorithmic Trading for Technology Stocks
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Abstract: The objective of this paper is to present an innovative method, based on deep machine learning (DRL), to resolve the algorithmic trading issue of figuring out the perfect trading …		 M. Sazu; International Journal of Data Science and Advanced Analytics 2022-11-30
312 Using Crypto-Asset Pricing Methods to Build Technical Oscillators for Short-Term Bitcoin Trading
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Abstract: This paper examines the trading performances of several technical oscillators created using crypto-asset pricing methods for short-term bitcoin trading. Seven pricing models …		 Zixiu Yang; Dean Fantazzini; Inf. 2022-11-29
313 Time Series Artificial Neural Network Based Classification Model for Asset Trading Strategy
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Abstract: Best daily trading strategy is meaningful to investors to obtain the maximum return. Financial market plays a key role in the social development. Sufficient funds are of great …		 Mingyuan Zhang; Highlights in Business, Economics and Management 2022-11-28
314 Optimizing Stock Option Forecasting with The Assembly of Machine Learning Models and Improved Trading Strategies
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Highlight: This paper introduced key aspects of applying Machine Learning (ML) models, improved trading strategies, and the Quasi-Reversibility Method (QRM) to optimize stock option forecasting and trading results.		 Zheng Cao; Raymond Guo; Wenyu Du; Jiayi Gao; Kirill V. Golubnichiy; arxiv-q-fin.CP 2022-11-28
315 Financial Technical Indicator and Algorithmic Trading Strategy Based on Machine Learning and Alternative Data
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Abstract: The aim of this paper is to introduce a two-step trading algorithm, named TI-SiSS. In the first step, using some technical analysis indicators and the two NLP-based metrics …		 Andrea Frattini; Ilaria Bianchini; Alessio Garzonio; L. Mercuri; Risks 2022-11-25
316 An Algorithm for Organizing Long Volatility Trading Based on A Delta-neutral Strategy
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Abstract: The article is devoted to the problem of automation of long volatility trading in the financial market using delta-neutral trading strategies. Most operations on them, as a rule, …		 A. Plotnikov; R. A. Shishlov; Vladimir V. Arsenov; Vestnik of Samara University. Economics and Management 2022-11-22
317 Can Investors Profit from Utilizing Technical Trading Rules During The COVID-19 Pandemic?
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Abstract: In the past, it was believed that investors may generate abnormal returns (AR) for trading stocks by employing technical trading rules. However, since the COVID-19 pandemic broke …		 Min-Yuh Day; Paoyu Huang; Yirung Cheng; Yensen Ni; Int. J. Inf. Technol. Decis. Mak. 2022-11-22
318 Analysis of Trading Volume Activity Before And After The Announcement Of Covid-19 at PT Indosat
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Abstract: This study aims to determine the effect of stock trading volume due to the impact before and after the Covid-19 event through an official announcement by the president. The …		 Adityo Leonardo Rahayaan; Ngurah Pandji Mertha Agung Durya; International Journal of Economics, Social Science, … 2022-11-18
319 Changes to The Trading Calendar and The Day of The Week Affect in Returns and Volatility of The Saudi Stock Exchange
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Abstract: Until June 29, 2013, the trading days of the Saudi Stock Exchange (TADAWUL) were from Sunday to Wednesday. From June 29, 2013, TADAWUL changed trading days and started trading …		 Abdulelah Alsayari; G. Wickremasinghe; Investment Management and Financial Innovations 2022-11-15
320 Designing Efficient Pair-Trading Strategies Using Cointegration for The Indian Stock Market
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Highlight: This paper presents a cointegration-based approach that identifies stocks listed in the five sectors of the National Stock Exchange (NSE) of India for designing efficient pair-trading portfolios.		 Jaydip Sen; arxiv-q-fin.PM 2022-11-13
321 Are Large Traders Harmed By Front-running HFTs?
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Highlight: This paper studies the influences of a high-frequency trader (HFT) on a large trader whose future trading is predicted by the former.		 Ziyi Xu; Xue Cheng; arxiv-q-fin.TR 2022-11-11
322 Researches Advanced in Financial Trading Systems Based on Reinforcement Learning
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Abstract: The financial trading system has always been a hot application field in the reinforcement learning community, which aims to predict market trends and maximize profits. However, …		 Hengyue Zhu; Other Conferences 2022-11-10
323 Algorithmic Trading and Short-term Forecast for Financial Time Series with Machine Learning Models; State of The Art and Perspectives
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Abstract: Stock price prediction with machine learning is an oft-studied area where numerous unsolved problems still abound owing to the high complexity and volatility that …		 Dakota Joiner; Amy Vezeau; Albert Wong; Gaétan Hains; Y. Khmelevsky; 2022 IEEE International Conference on Recent Advances in … 2022-11-07
324 Algorithmic Trading with Directional Changes
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 Adesola Adegboye; Michael Kampouridis; F. E. B. Otero; Artificial Intelligence Review 2022-11-07
325 The Optimal Blockchain Asset Trading Settlement Based on PoS Protocol
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 Chao Li; Li Wang; Haijun Yang; Decision Support Systems 2022-11-01
326 Visceral Emotions and Bitcoin Trading
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 Yongkil Ahn; Dongyeon Kim; Finance Research Letters 2022-11-01
327 Algorithmic Trading and Block Ownership Initiation: An Information Perspective
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 Jiayi Zheng; Yushu Zhu; The British Accounting Review 2022-11-01
328 Peer-to-Peer Local Energy Trading With Voltage Management Under Asynchronous Communication
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Abstract: This paper presents a peer-to-peer (P2P) local energy trading strategy in distribution networks with a novel decentralized voltage management scheme based on voltage sensitivity …		 Md Habib Ullah; Jae-Do Park; IEEE Transactions on Smart Grid 2022-11-01
329 Pengaruh Profitabilitas Dan Nilai Perusahaan Terhadap Volume Perdagangan Saham Pada LQ45
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Abstract: Companies tend to have the main focus on seeking maximum profits to attract potential investors. Companies that have the ability to earn profits and have good corporate value can …		 Ell Bryan Timothy; Francis M. Hutabarat; Jurnal Ilmiah Universitas Batanghari Jambi 2022-10-31
330 Examining The Relationship Between Borsa Istanbul Trading Volumes and Bitcoin Trading Volumes with The Toda Yamamoto Approach 2017:01 – 2021:12
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 Gazi Journal of Economics and Business 2022-10-30
331 DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunities
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Highlight: However, a vast majority of existing RL methods focus on the relatively low frequency trading scenarios (e.g., day-level) and fail to capture the fleeting intraday investment opportunities due to two major challenges: 1) how to effectively train profitable RL agents for intraday investment decision-making, which involves high-dimensional fine-grained action space; 2) how to learn meaningful multi-modality market representation to understand the intraday behaviors of the financial market at tick-level. Motivated by the efficient workflow of professional human intraday traders, we propose DeepScalper, a deep reinforcement learning framework for intraday trading to tackle the above challenges.		 SHUO SUN et. al. cikm 2022-10-29
332 Optimal Action Space Search: An Effective Deep Reinforcement Learning Method for Algorithmic Trading
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Highlight: In this paper, we propose an end-to-end DRL method that explores solutions on the whole graph via a probabilistic dynamic programming algorithm.		 Zhongjie Duan; Cen Chen; Dawei Cheng; Yuqi Liang; Weining Qian; cikm 2022-10-29
333 Smart Portfolio Trading Strategy Based on Random Forest Model with Limited Information
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Abstract: Quantitative trading refers to using advanced mathematical models instead of people’s subjective judgment and the use of computer technology and big data to formulate trading …		 Wenhao Qiao; 2022 IEEE 2nd International Conference on Data Science and … 2022-10-28
334 DNN-ForwardTesting: A New Trading Strategy Validation Using Statistical Timeseries Analysis and Deep Neural Networks
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Highlight: In this paper, we propose a new trading strategy, called DNN-forwardtesting, that determines the strategy to apply by testing it on the possible future predicted by a deep neural network that has been designed to perform stock price forecasts and trained with the market historical data.		 Ivan Letteri; Giuseppe Della Penna; Giovanni De Gasperis; Abeer Dyoub; arxiv-q-fin.TR 2022-10-20
335 Robust Emission Reduction Strategies Under Cap-and-Trade and Demand Uncertainty
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Abstract: In this study, we consider robust emission reduction strategies for a monopolistic manufacturer facing demand uncertainty under governments’ cap-and-trade regulations. We model …		 Chao Li; Tianyi Guo; Yan Chen; Sustainability 2022-10-18
336 Algorithmic Trading and Quantitative Analysis of Stocks Using Data Science: A Study
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Abstract: Algorithmic Trading and Quantitative Analysis of Stock is a system that uses complex algorithms created with the use of mathematical models and technical indicators to completely …		 KUSH VISHWAMBHARI et. al. 2022 IEEE 2nd Mysore Sub Section International Conference … 2022-10-16
337 Distributed Supervision Model for Enterprise Data Asset Trading Based on Blockchain Multi-Channel in Industry Alliance
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Abstract: Compared with traditional physical commodities, data are intangible and easy to leak, and the related trading process has problems, such as complex participating roles, lengthy …		 Jianxiong Zhang; Bing Guo; Xuefeng Ding; Dasha Hu; Yuming Jiang; Sensors (Basel, Switzerland) 2022-10-15
338 A Dilemma of Self-interest Vs. Ethical Responsibilities in Political Insider Trading
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Abstract: Political insider trading has brought substantial attention to ethical considerations in the academic literature. While the Stop Trading on Congressional Knowledge (STOCK) Act …		 Jan Hanousek; Hoje Jo; Christos Pantzalis; Jung Chul Park; Journal of business ethics : JBE 2022-10-14
339 Stock Trading Strategy of Reinforcement Learning Driven By Turning Point Classification
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 Jujie Wang; Feng Jing; Maolin He; Neural Processing Letters 2022-10-12
340 Algorithmic Trading Using Continuous Action Space Deep Reinforcement Learning
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Highlight: This paper aims to offer an approach using Twin-Delayed DDPG (TD3) and the daily close price in order to achieve a trading strategy in the stock and cryptocurrency markets.		 Naseh Majidi; Mahdi Shamsi; Farokh Marvasti; arxiv-cs.LG 2022-10-07
341 Fast and Slow Optimal Trading with Exogenous Information
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Highlight: We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic control problems, in which the high-frequency trader exploits the available information on a price predicting signal more frequently, but is also subject to periodic end of day inventory constraints.		 Rama Cont; Alessandro Micheli; Eyal Neuman; arxiv-q-fin.TR 2022-10-04
342 Predicting Price Movement of The BTCUSDT Pair Using LightGBM Classification Modeling for Cryptocurrency Trading
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Abstract: This research proposes a machine learning-based system that aims to form an investment strategy that is capable of buying and selling cryptocurrencies. Predicting the price …		 D. Mahayana; Shafa Amarsya Madyaratri; Muhammad Fadhl’Abbas; 2022 12th International Conference on System Engineering … 2022-10-03
343 The Relationship Between Institutional Investors, Securities Margin Trading, and Stock Price Collapse
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Abstract: Under the strategic guidance of unconventional development of institutional investors, institutional investors in China gradually show the characteristics of various and large …		 Yanping Liu; Sisi Wang; Tianqi Yang; Xiu Cheng; 2022 6th Annual International Conference on Data Science … 2022-10-01
344 Financial Playthings: Interrogating Gamification in Retail Trading Interfaces
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Abstract: This paper critically interrogates the claims of game-like elements in online brokerages through an interface analysis of three platforms, eToro, Plus500 and DeGiro. The 2021 …		 Agustin Ferrari Braun; A. Gekker; Journal of Gaming & Virtual Worlds 2022-10-01
345 The Impact of Bitcoin Halving Day on Stock Market in Indonesia
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Abstract: This study aims to determine the impact of the bitcoin halving day phenomenon that occurred on May 11, 2020, on abnormal return and trading volume activity on listed firms of …		 Muhammad Harits Zidni Khatib Ramadhani; Journal of International Conference Proceedings 2022-09-29
346 The Effect of Technological Developments on The Stock Market: Evidence from Emerging Market
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Abstract: This study investigates the effect of High-Frequency Trading on stock liquidity and volatility in Borsa Istanbul, Turkey which is one of the largest emerging markets where …		 Mehmet Sinan Celik; M. Ozturk; Ozkan Haykir; Applied Economics Letters 2022-09-27
347 A Near-Optimal Truthful Online Auction for Efficient Crowdsourced Data Trading with Dynamic Data Owners and Dynamic Data Requests
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Abstract: Data is an extremely important asset in a modern scientific and commercial society. The life force behind powerful artificial intelligence (AI) or machine learning (ML) algorithms …		 Zhenni Feng; Chen Zhang; Junchang Chen; Tong Liu; Wireless Communications and Mobile Computing 2022-09-27
348 On Robustness of Double Linear Trading with Transaction Costs
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Highlight: In this paper, we propose a new class of trading policies called the {double linear policy} in an asset trading scenario when the transaction costs are involved.		 Chung-Han Hsieh; arxiv-math.OC 2022-09-25
349 Research on The Performance of The Trend Following Trading Strategy in The Chinese Commodity Market
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Abstract: Trend following strategy is a popular strategy that investors often use in trading around the world. Stocks are bought during an upswing and sold during a decline, the two main …		 Anran Xie; Yichong Huang; Yian Bian; Shucen Zhao; Jiaxin Lin; Wireless Communications and Mobile Computing 2022-09-24
350 Algorithmic Trading Strategies for Informed Traders
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Abstract: Informed traders usually choose to trade a large number of stocks in a short period of time in order to take advantage of the time that they can profit from private information, …		 Jingxia Xu; Yun Xiong; Proceedings of the 5th International Conference on Big Data … 2022-09-23
351 The Impact of High-Frequency Trading on Modern Securities Markets
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 B. Clapham; Martin Haferkorn; K. Zimmermann; Business & Information Systems Engineering 2022-09-23
352 Machine Learning-Based Decision-Making for Stock Trading: Case Study for Automated Trading in Saudi Stock Exchange
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Abstract: Stock markets are becoming the center of attention for many investors and hedge funds, providing them with a wide range of tools and investment opportunities to grow their wealth …		 Mohammad Alsulmi; Nourah Al-Shahrani; Scientific Programming 2022-09-22
353 Automated Cryptocurrency Trading Bot Implementing DRL
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Abstract: A year ago, one thousand USD invested in Bitcoin (BTC) alone would have appreciated to three thousand five hundred USD. Deep reinforcement learning (DRL) recent outstanding …		 Aisha Peng; Sau Loong Ang; C. Lim; Pertanika Journal of Science and Technology 2022-09-21
354 Research on A Quantitative Trading Strategy Based on High-frequency Trading
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Abstract: This article aims to develop a quantitative trading strategy that maximizes profits while finding the best balance of risk and return. We built a high-frequency trading strategy …		 Chang Liu; Huilin Shan; Zhihao Tian; Hangyu Cheng; BCP Business & Management 2022-09-19
355 Blockchain Smart Contract-Enabled Secure Energy Trading for Electric Vehicles
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Abstract: In this paper, a blockchain-enabled energy trading method is proposed to deal with the inefficiency and security issues in energy trading for electric vehicles in smart grids. It …		 FENG XUE et. al. Energies 2022-09-14
356 What Drives Trend-following Profits in Stocks? The Role of The Trading Signals’ Volatility
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Abstract: We document the influence of stock volatility on trend-following profits for a global sample of 1618 blue-chip stocks, across 43911 evaluation subperiods (2004–2018). We use the …		 Adrian Zoicas-Ienciu; M. Pochea; Applied Economics 2022-09-14
357 Cooperative Trading Strategy of Carbon Emitting Power Generation Units Participating in Carbon and Electricity Markets
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Abstract: Energy-saving and emission reduction will become the focus of the energy industry in the future. The coordination of the carbon and electricity markets can help achieve the goals …		 YUYAN YANG et. al. Frontiers in Energy Research 2022-09-13
358 The Impact of China’s Carbon Emission Trading Policy on Green Total Factor Productivity – Influence Analysis Based on Super-EBM and Multiple Mediators
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Abstract: Can China’s carbon trading policy promote regional green total factor productivity? What are the specific influencing processes and mechanisms between the two? In this paper, we …		 Jinqiu Li; Dechun Huang; Xiaoqing Wu; Polish Journal of Environmental Studies 2022-09-12
359 Backtesting Trading Strategies with GAN To Avoid Overfitting
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Highlight: We propose an approach to avoid overfitting: A good (meaning non-overfitting) trading strategy should still work well on paths generated in accordance with the distribution of the historical data.		 Ao Sun; Yuh-Dauh Lyuu; arxiv-cs.CE 2022-09-11
360 Algorithm Design for Asset Trading Under Multiple Factors
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Abstract: For the strategy of investing in gold and Bitcoin, first collect the historical prices of two types of investment products in the market, and use the wavelet neural network model …		 Li-Jun Xu; Shou-Yu Wei; Xiao-Qing Lu; Ze-Hua He; Jia-Ming Zhu; Int. J. Found. Comput. Sci. 2022-09-10
361 Portfolio Trading of Financial Products Based on Machine Learning
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Abstract: In order to study how to construct a suitable portfolio trading strategy of traditional financial products and new kinds of financial products to help investors avoid risks and …		 Yifan Zhang; Qian Shen; Jian Guo; Yiwen Jia; 2022 International Conference on Machine Learning and … 2022-09-09
362 Ensemble Investment Strategies Based on Reinforcement Learning
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Abstract: Due to the rapid development of hardware devices, the analytical processing and algorithmic capabilities of computers are also being enhanced, which makes machine learning play an …		 Fang-Tao Li; Zhixing Wang; Pengcheng Zhou; Scientific Programming 2022-09-08
363 Pengaruh Pandemi COVID-19 Dan Trading Activities Terhadap Return Saham
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Abstract: This study aims to determine the effect of COVID-19 pandemic and trading activities on stock market return in healthcare companies and transportation & logistic companies that was …		 Widyasari Kezia Dayu Prasasti; Jurnal Ekonomi 2022-09-08
364 The Influence Of Price Limit And Stock Return On Investment Contingency In Ipo Corporate For The 2020 Period On Indonesia Stock Exchange
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Abstract: The objective of this study is to investigate the influence of Price Limit and Stock Return toward Trading Volume, Stock Return Volatility upon Corporate Initial Public Offerings …		 Hartanto Dewantoro; Nendi Juhandi; Yadi Nurhayadi; Agregat: Jurnal Ekonomi dan Bisnis 2022-09-05
365 Candlestick Patterns Recognition Using CNN-LSTM Model to Predict Financial Trading Position in Stock Market
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Abstract: Investors need analytical tools to predict the price and to determine trading positions. Candlestick pattern is one of the analytical tools that predict price trends. However, the …		 Aditya Ramadhan; Irma Palupi; Bambang Ari Wahyudi; Journal of Computer System and Informatics (JoSYC) 2022-09-03
366 Machines That Make and Keep Promises – Lessons for Contract Automation from Algorithmic Trading on Financial Markets
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 M. J. Schmidt-Kessen; Helen Eenmaa; Maya Mitre; Comput. Law Secur. Rev. 2022-09-01
367 Algorithmic Trading: The Intelligent Trading Systems and Its Impact on Trade Size
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 R. Dubey; Expert Syst. Appl. 2022-09-01
368 Characteristics and Forecast of High-frequency Trading
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 Shigeki Kohda; Kenichi Yoshida; Transactions of the Japanese Society for Artificial … 2022-09-01
369 A Dynamic Internal Trading Price Strategy for Networked Microgrids: A Deep Reinforcement Learning-Based Game-Theoretic Approach
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Abstract: In this study, a novel two-step optimization model is developed for maximizing the amount of internal power trading in a distribution network comprising several networked …		 Van-Hai Bui; A. Hussain; Wencong Su; IEEE Transactions on Smart Grid 2022-09-01
370 Ultra-short Term Trading Using A Neural-network Based Ensemble of Financial Technical Indicators in A Closed World Market
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Abstract: The proposed paper presents the analysis, design, implementation and evaluation of an ultra-short-term frequency trading system for the foreign exchange market (FOREX), which …		 Theodoros Zafeiriou; Dimitris Kalles; Intell. Decis. Technol. 2022-08-31
371 Algorithmic Trading and Challenges on Retail Investors in Emerging Markets
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Abstract: Mixed views on automated trading in the extant literature lead to ongoing debates on algorithmic trading (AT) and high-frequency trading (HFT). This study elaborates on the rising …		 SIYUAN YAN et. al. Journal of Economics, Finance and Accounting Studies 2022-08-30
372 Electronic Transactions Against Virtual Money (Cryptocurrency) Stock Trading Special Criminal Law Perspective
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Abstract: Virtual currency was designed as an alternative legal tender, originally for use in virtual communities, and certain online gaming sites. The number of such virtual currencies is …		 Arien Kartika; Windi Sri Wahyuni; International Journal of Research and Review 2022-08-29
373 Linnet: Limit Order Books Within Switches
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Abstract: Financial trading often relies nowadays on machine learning. However, many trading applications require very short response times, which cannot always be supported by traditional …		 Xinpeng Hong; Changgang Zheng; S. Zohren; Noa Zilberman; Proceedings of the SIGCOMM ’22 Poster and Demo Sessions 2022-08-22
374 Quantitative Trading Model and Price Forecasting System Based on BiGRU Neural Network
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Abstract: By establishing quantitative models and using different algorithms to get corresponding early warning methods, this paper predicts future price changes, and gives appropriate …		 Haoran Zhu; Ankang Yang; Xinyu Zhang; 2022 IEEE International Conference on Advances in … 2022-08-20
375 Analisis Anomali Perdagangan Saham Terhadap Return Saham IDX30 Di Bursa Efek Indonesia
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Abstract: The aim of this research is to discover (1) regardless of whether there is a distinction in daily stock return during stock trading, (2) whether there is a Monday Effect in stock …		 Ahmad Pauzi; Tri Siswantini; AKUNTABEL 2022-08-12
376 Mechanism Design and Consumption Certification of Differentiated Green Electricity Trading: A Zhejiang Experience
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Abstract: The carbon neutrality strategy marks that green electricity will replace fossil energy as the main power source in the future power system. The trading varieties in the …		 QIFENG XU et. al. Frontiers in Energy Research 2022-08-09
377 The Impact of Financial Transaction Taxes on Stock Markets: Short-Run Effects, Long-Run Effects, and Reallocation of Trading Activity
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Abstract: We investigate the French 2012 financial transaction tax (FTT) and find robust evidence for anticipation effects before the implementation date. Controlling for short-run effects, …		 Sebastian Eichfelder; Mona Noack; Felix Noth; National Tax Journal 2022-08-08
378 Bitcoin or Gold?
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Abstract:  In the topic selection, we need to estimate the prices of bitcoin and gold according to the data given from 2001 to 2012. According to the estimated price, the initial amount is …		 Dongxue Han; Mingliang He; Longyu Wang; Frontiers in Business, Economics and Management 2022-08-08
379 Nonstationary Continuum-Armed Bandit Strategies for Automated Trading in A Simulated Financial Market
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Highlight: To solve the NCAB problem, we propose PRBO, a novel trading algorithm that uses Bayesian optimization and a “bandit-over-bandit” framework to dynamically adjust strategy parameters in response to market conditions.		 Bingde Liu; John Cartlidge; arxiv-cs.MA 2022-08-04
380 Pairs Trading with Fractional Ornstein–Uhlenbeck Spread Model
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Abstract: This paper proposes to model the spreads associated with financial asset prices by fractional Ornstein – Uhlenbeck (fOU) processes and constructs a pairs trading strategy based on …		 Yun Xiang; Yonghong Zhao; Shijie Deng; Applied Economics 2022-08-03
381 Research on Quantitative Trading Strategy Based on LSTM and Dynamic Programming
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Abstract: To get the most bang for the buck, market traders always trade a combination of volatile assets frequently in a short period, such as the combination of gold and bitcoin. This …		 Rui Ma; Shuhan Ye; Zihao Feng; Jiyang Jin; 2022 International Conference on Computers, Information … 2022-08-01
382 Forecasting Financial Signal for Automated Trading: An Interpretable Approach
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 Mohammad Reza Roostaee; A. A. Abin; Expert Syst. Appl. 2022-08-01
383 A Solution for Bilayer Energy-Trading Management in Microgrids Using Multiblockchain
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Abstract: In recent years, microgrids have attracted much attention as one of the typical applications of the Internet of Things (IoT). With the development of renewable energy, a bilayer …		 Xiaohong Huang; Yong Zhang; Dandan Li; Lu Han; IEEE Internet of Things Journal 2022-08-01
384 MIFID II and EMIR Impact on Romanian Banking System Performance
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Abstract: MIFID II/MiFIR represents comprehensive financial market reforms in trading and settlement of financial instruments. The greatest impact of the new regulatory framework in the …		 Miruna M. Vasilca; G. Anton; Alexandra Cheptiş; Alin I. Vid; Proceedings of the International Conference on Business … 2022-08-01
385 Analyzing The Relationship Between Return and Trading Volume in Relation to Cross-Sectional Absolute Deviation (CSAD) In Order to Detect Herding Behavior in Indonesia Emerging Stock Market
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Abstract: Investor herding behavior is a primary source of speculative bubbles since it implies that investors make identical trading decisions, which can lead to stock prices deviating …		 Helma Malini; Annisa Dipa Sakliana; The Indonesian Capital Market Review 2022-07-31
386 Improving Stock Trend Prediction Using LSTM Neural Network Trained on A Complex Trading Strategy
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Abstract: Abstract: Technical analysis in stock trading addresses the crucial matter of making optimal trading decisions promptly. Predicting directional movement in the target market using …		 S. Mahfooz; Iftikhar Ali; M. N. Khan; International Journal for Research in Applied Science and … 2022-07-31
387 How Covid Mobility Restrictions Modified The Population of Investors in Italian Stock Markets (L’evoluzione Della Composizione Del Retail Trading Sul Mercato Azionario Italiano A Seguito Delle Restrizioni Imposte Dalla Pandemia Da Covid) CONSOB – Scuola Normale Superiore Di Pisa
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Abstract: This paper investigates how Covid mobility restrictions impacted the population of investors of the Italian stock market. The analysis tracks the trading activity of individual …		 PAOLA DERIU et. al. SSRN Electronic Journal 2022-07-30
388 Modelling Financial Markets During Times of Extreme Volatility: Evidence from The GameStop Short Squeeze
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Abstract: Ever since the start of the coronavirus pandemic, lockdowns to curb the spread of the virus have resulted in an increased interest of retail investors in the stock market, due to …		 Boris Andreev; G. Sermpinis; C. Stasinakis; Forecasting 2022-07-19
389 Trading Strategies Optimization By Genetic Algorithm Under The Directional Changes Paradigm
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Abstract: The subject of financial forecasting has been re-searched for decades, and the driver behind its measured data has been fuelled by the selection of physical time series, which …		 Ozgur Salman; Michael Kampouridis; D. Jarchi; 2022 IEEE Congress on Evolutionary Computation (CEC) 2022-07-18
390 A Multi-Agent Deep Reinforcement Learning Framework for VWAP Strategy Optimization
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Abstract: As a classical optimal trade execution algorithm, Volume Weighted Average Price (VWAP) strategy is favored by brokers. Since it is schedule-based and cannot perform well in a …		 Jiaqi Ye; Xiaodong Li; Yingying Wang; 2022 International Joint Conference on Neural Networks … 2022-07-18
391 Research on Price Forecasting and Trading Strategy Based on Data Insight
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Abstract: The goal of establishing the model in this paper is to find the historical price patterns of gold and bitcoin according to the data provided. The purpose is to maximize returns …		 K. Hong; Xiaoqi Wang; Liming Xu; BCP Business & Management 2022-07-15
392 Trading Volume, Earnings Per Share and Stock Returns and Their Impact on Bid-ask Spreads on Manufacturing Industry Sector Stocks Listed on The Indonesia Stock Exchange 2015-2018
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Abstract: This research was to provide empirical evidence regarding The Effect of Trading Volume, Earning Per Share on Stock Returns, and their impact on Bid-Ask Spread in manufacturing …		 Dede Djuniardi; Entin Jumantini; Ari Jamhari; JPPI (Jurnal Penelitian Pendidikan Indonesia) 2022-07-15
393 An Efficient Isomorphic CNN-based Prediction and Decision Framework for Financial Time Series
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Abstract: Financial time series prediction and trading decision-making are priorities of computational intelligence for researchers in academia and the finance industry due to their broad …		 ZHONGMING LIU et. al. Intell. Data Anal. 2022-07-11
394 Algorithmic Trading and Market Quality: Evidence from The Taiwan Index Futures Market
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 Ya‐Kai Chang; Robin K. Chou; Journal of Futures Markets 2022-07-06
395 Cryptocurrency Trading Based on Heuristic Guided Approach with Feature Engineering
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Abstract: In recent years, machine learning and deep learning techniques have been frequently used in Algorithmic Trading. Algorithmic Trading means trading Forex, stock market, …		 Cagri Karahan; Ş. Öğüdücü; 2022 International Conference on Data Science and Its … 2022-07-06
396 The Impact of Algorithmic Trading on Market Quality: Evidence from The Johannesburg Stock Exchange
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Abstract: High-frequency trading (HFT) is a trading method that relies on sophisticated algorithms to analyse markets and execute large numbers of orders within milliseconds. In the last …		 Aurélie Courdent; D. McClelland; Investment Analysts Journal 2022-07-03
397 Cryptocurrency Trading Strategies and Profitability Based on Deep Learning Algorithms
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Abstract: Quantitative trading replaces the traditional subjective judgment mode based on modern digital model, so as to avoid irrational investment decisions under extreme conditions. This …		 Yinghe Qing; Ying Kong; Jifeng Sun; Jianwu Lin; 2022 4th International Conference on Applied Machine … 2022-07-01
398 A Multi-agent Deep Reinforcement Learning Framework for Algorithmic Trading in Financial Markets
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 Ali Shavandi; Majid Khedmati; Expert Syst. Appl. 2022-07-01
399 A Smart Trader for Portfolio Management Based on Normalizing Flows
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Highlight: In this paper, we study a new kind of portfolio problem, named trading point aware portfolio optimization (TPPO), which aims to obtain excess intraday profit by deciding the portfolio weights and their trading points simultaneously based on microscopic information.		 Mengyuan Yang; Xiaolin Zheng; Qianqiao Liang; Bing Han; Mengying Zhu; ijcai 2022-07-01
400 Energy Trading Strategy for Heat and Electricity-Coupled Microgrid Based on Cooperative Game
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Abstract: This paper proposes an energy trading framework for a combined heat and power (CHP) microgrid (MG) integrated with a Photovoltaic (PV) generation system. The parties involved in …		 Cheng Zhou; Chang Bao Zheng; Applied Sciences 2022-06-29
401 A Data Science Pipeline for Algorithmic Trading: A Comparative Study of Applications for Finance and Cryptoeconomics
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Highlight: We propose a generally applicable pipeline for designing, programming, and evaluating the algorithmic trading of stock and crypto assets.		 Luyao Zhang; Tianyu Wu; Saad Lahrichi; Carlos-Gustavo Salas-Flores; Jiayi Li; arxiv-cs.HC 2022-06-29
402 Research on Gold and Bitcoin Trading Strategy Based on XGBoost and Zero-one Programming
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Abstract: In the actual trading process, investors can only give the best daily trading strategy based on the past price data of gold and bitcoin, then they need to predict and evaluate the …		 Hao Lin; Yifu He; Mengjie Shi; Other Conferences 2022-06-27
403 Analysis Of Sharia Economic On Forex Trading Of Financial Broker Succes Traders
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Abstract: There are two issues studied in this thesis: (1) How to Trade Forex on a Financial Broker Succes Trader, (2) How to Analyze Sharia Economic Law on Forex Trading at a Financial …		 Wery Gusmansyah; Ajeng Ibrah ‘Alamm; Wahyu Abdul Jafar; International Journal of Educational Research & Social … 2022-06-25
404 Stock Returns, Trading Volumes and Market Volatility: A Study on The Indian Stock Market
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Abstract: This paper aims at investigating the effect of stock returns on trading volume and the trading volume on volatility. To accomplish the study objective, daily data from 1 April …		 P. K. Naik; Tapas Kumar Sethy; The Indian Economic Journal 2022-06-16
405 Deep Reinforcement Learning Trading Strategy Based on Lstm-a2c Model
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Abstract: Stocks are gaining more and more attention as a form of investment. A good stock trading strategy can help investors gain considerable returns in the rapidly changing stock …		 Nan Zhang; Jingyuan Wang; M. Xiao; Other Conferences 2022-06-15
406 Pengaruh Frekuensi Perdagangan, Volume Perdagangan Dan Kapitalisasi Pasar Terhadap Return Saham Sektor Pertambangan Batu Bara Yang Terdaftar Di BEI
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Abstract: This study aims to analyze the effect of trading frequency, trading volume and market capitalization on stock returns in the Coal Mining sector listed on the Indonesia Stock …		 Yuana Yuana; Juliahir Barata; REVITALISASI 2022-06-13
407 The Complexity of Cryptocurrencies Algorithmic Trading
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Abstract: In this research, we provided an answer to a very important trading question, what is the optimal number of technical tools in order to achieve the best trading results for both …		 Gil Cohen; Mahmoud Qadan; Mathematics 2022-06-12
408 Quantitative Trading Through Random Perturbation Q-Network with Nonlinear Transaction Costs
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Abstract: In recent years, reinforcement learning (RL) has seen increasing applications in the financial industry, especially in quantitative trading and portfolio optimization when the …		 T. Zhu; Wei Zhu; Stats 2022-06-10
409 A Theory of Very Short-time Price Change: Security Price Drivers in Times of High-frequency Trading
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 G. Virgilio; Financial Innovation 2022-06-09
410 High-Frequency Direction Forecasting of The Futures Market Using A Machine-Learning-Based Method
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Abstract: Futures price-movement-direction forecasting has always been a significant and challenging subject in the financial market. In this paper, we propose a combination approach that …		 Shangkun Deng; Yingke Zhu; Xiaoru Huang; Shuangyang Duan; Zhe Fu; Future Internet 2022-06-09
411 Quantitative Stock Investment By Routing Uncertainty-Aware Trading Experts: A Multi-Task Learning Approach
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Abstract: Quantitative investment is a fundamental financial task that highly relies on accurate stock prediction and profitable investment decision making. Despite recent advances in deep …		 Shuo Sun; R. Wang; Bo An; ArXiv 2022-06-07
412 Seeking Sigma: Time-of-the-Day Effects on The Bitcoin Network
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Abstract: This research investigates and tests for the presence of time-of-the-day effects on the Bitcoin network. Results indicate that NYSE trading sessions lead Bitcoin trading activity, …		 Hossein Jahanshahloo; S. Corbet; L. Oxley; SSRN Electronic Journal 2022-06-01
413 A Novel Optimal Profit Resilient Filter Pairs Trading Strategy for Cryptocurrencies
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Abstract: Pairs trading strategies are constructed based on exploiting mean reversion in security prices, which have been demonstrated to perform well for stocks. However, their performance …		 YOU LIANG et. al. 2022 IEEE 46th Annual Computers, Software, and Applications … 2022-06-01
414 Remanufacturing Strategy Choice of A Closed-Loop Supply Chain Network Considering Carbon Emission Trading, Green Innovation, and Green Consumers
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Abstract: Due to increasingly serious environmental pollution problems and governments’ strengthening of environmental impact supervision, manufacturing companies are seeking green …		 Yan Zhou; Xin-Tong Lin; Zhi-Ping Fan; Kar-Hung Wong; International journal of environmental research and public … 2022-06-01
415 Graph-based Algorithm For Self-trading Accounts Detection in Bulk Commodity Trade
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Abstract: Bulk commodity trade is vital for daily life and financial security because it influences prices for commodities that vary from raw materials to daily necessities. In order to …		 Dongliang Guan; Sheng Liu; Yihao Li; Ping Yi; 2022 IEEE 9th International Conference on Cyber Security … 2022-06-01
416 The Effect of Trading Volume, Frequency and Market Capitalization on Stock Return of Chemical Sub Sector
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Abstract: The purpose of this study was to analyze the impact of trading volume, trading frequency, and market capitalization on stock returns of the chemical sub-sector. This study uses …		 Immas Nurhayati; Jurnal Manajemen 2022-06-01
417 Application of Deep Reinforcement Learning in Financial Quantitative Trading
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Abstract: Quantitative trading refers to the use of computer technology and mathematical algorithms to carry out financial transactions. Investors formulate trading strategies based on …		 Lingbo Hao; Ben Wang; Zhouxin Lu; Ke-yong Hu; 2022 4th International Conference on Communications, … 2022-05-27
418 What (If Anything) Is Wrong with High-Frequency Trading?
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Abstract: This essay examines three potential arguments against high-frequency trading and offers a qualified critique of the practice. In concrete terms, it examines a variant of …		 Carl David Mildenberger; Journal of business ethics : JBE 2022-05-26
419 The Countercyclical Long-term Operating Accrual-based Trading Strategy in The Stoxx Europe 600 Index: The Importance of Asset and Liability Components
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Abstract: This work uses long-term operating accruals, rather than current, as an accounting measure to identify major anomalies. Past and abundant accounting and financial literature …		 Alberto Sandoval; Javier Márquez; Ignacio Cervera; PloS one 2022-05-26
420 Predatory Trading: Ethics Judgments, Legality Judgments And investment Intentions
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Abstract: PurposePredatory trading is a stock market trading technique in which certain market participants exploit information about other market participants’ need to trade. Predatory …		 Daphne Sobolev; J. Clunie; Review of Behavioral Finance 2022-05-13
421 Split Feature Space Ensemble Method Using Deep Reinforcement Learning for Algorithmic Trading
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Abstract: In the financial sector, machine learning is a promising tool, which can be utilized in stock trading as well. The aim of the research was to develop and refine deep reinforcement …		 Marcell Németh; G. Szücs; Proceedings of the 2022 8th International Conference on … 2022-05-12
422 Risk Adapting Stock Trading System Associated Technical with Macroeconomic Indicators
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Abstract: Machine learning has emerged as a powerful tool in studying the behavior of stock movement. However, it has yet to be highly accurate due to market randomness. This article aims …		 Qinan Wang; Mobile Information Systems 2022-05-09
423 Double Auction Mechanisms for Peer-to-peer Energy Trading: A Comparative Analysis
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Abstract: Peer-to-Peer (P2P) energy trading, one of the new paradigms driven by decentralization, decarbonization, and digitalization of the smart grid, has become a widespread technique in …		 Sweta Malik; S. Thakur; Maeve Duffy; J. Breslin; 2022 IEEE 7th International Energy Conference (ENERGYCON) 2022-05-09
424 Pairs Trading Under Delayed Cointegration
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Abstract: Continuous-time pairs trading rules are often developed based on the diffusion limit of the first-order vector autoregressive (VAR(1)) cointegration models. Empirical …		 Tingjin Yan; Mei Choi Chiu; H. Y. Wong; Quantitative Finance 2022-05-05
425 Machine Learning and Social Action in Markets: From First- to Second-generation Automated Trading
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Abstract: Machine learning (ML) models are gaining traction in securities trading because of their ability to recognize and predict patterns. This study examines how ML is transforming …		 C. Borch; Bo Hee Min; Economy and Society 2022-05-04
426 Multi-type Data Fusion Framework Based on Deep Reinforcement Learning for Algorithmic Trading
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 Peipei Liu; Yunfeng Zhang; Fangxun Bao; Xunxiang Yao; Caiming Zhang; Appl. Intell. 2022-04-30
427 PASAR MODAL SYARIAH SEBAGAI DAYA TARIK INVESTOR UNTUK MENINGKATKAN KINERJA PASAR MODAL INDONESIA
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Abstract: The number of Islamic stock investors is growing. This demonstrates that public interest in halal investment has increased, despite the fact that the number is still tiny when …		 Vina Anggilia Puspita; Gunardi Gunardi; Image : Jurnal Riset Manajemen 2022-04-30
428 A New Moving Average Approach to Predict The Direction of Stock Movements in Algorithmic Trading
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 Üzeyir Aycel; Yunus Santur; Journal of New Results in Science 2022-04-30
429 The Upper Bound of Cumulative Return of A Trading Series
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Abstract: We present an upper bound of cumulative return in financial trading time series to formulate the most possible profit of many trades. The bound can be used to formally analyze the …		 Can Yang; Junjie Zhai; Helong Li; PloS one 2022-04-28
430 Review of Statistical Approaches for Modeling High-Frequency Trading Data
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 Chiranjit Dutta; Kara Karpman; Sumanta Basu; N. Ravishanker; Sankhya B 2022-04-28
431 Research on Investment Strategies of Stock Market Based on Sentiment Indicators and Deep Reinforcement Learning
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Abstract: With the application of artificial intelligence in the financial field, quantitative trading is considered to be profitable. Based on this, this paper proposes an improved deep …		 Pengcheng Zhou; Jing Tang; Yizhuo Li; Other Conferences 2022-04-22
432 The Profitability of Technical Analysis During The COVID-19 Market Meltdown
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Abstract: This article explores the profitability of technical trading rules around the COVID-19 pandemic market meltdown for the S&P 500 index, Bitcoin, Comex gold spot, crude oil WTI, and …		 Camillo Lento; N. Gradojevic; Journal of Risk and Financial Management 2022-04-20
433 An FPGA-Based High-Frequency Trading System for 10 Gigabit Ethernet with A Latency of 433 Ns
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Abstract: High-frequency trading (HFT) systems require extremely low latency in response to market feeds to make profits. In order to reduce latency, the system is implemented with a 10 …		 Yi-Chieh Kao; Hung-An Chen; Hsi-Pin Ma; 2022 International Symposium on VLSI Design, Automation and … 2022-04-18
434 Legal Protection of Investors from The Corporate Malfeasance of Insider Dealings: A South African-Canadian Comparative Review
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Abstract: Ensuring market discipline, integrity, and transparency with the overall aim of protecting the investing public is critical to the wellness of a capital market and a financial …		 M. Oluyeju; O. Oluyeju; BRICS Law Journal 2022-04-18
435 Trading Strategy Model Based on LSTM Neural Network and Extreme Value-Dynamic Programming
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Abstract: The advantage of a trading strategy is that it can help us identify potential trading opportunities. Traders need to use the best investment strategy to take into account factors …		 Yuming Wan; BCP Business & Management 2022-04-13
436 Mechanism and Algorithm for Stable Trading Matching Between Coal Mining and Power Generation Companies in China
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Abstract: This paper is concerned with stable trading between the coal mining and power generation companies in China. Under the current marketized coal and planned electricity price …		 Ruyi Shi; Zheng Li; Zhenpeng Tang; Di Wang; Applied Sciences 2022-04-13
437 Do Economic Crises Cause Trading in Bitcoin?
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Abstract: PurposeThe paper provides new evidence for Bitcoin’s safe-haven property by examining the relationship between currency price, return and Bitcoin trading …		 Jinsha Zhao; Review of Behavioral Finance 2022-04-05
438 Outperforming Algorithmic Trading Reinforcement Learning Systems: A Supervised Approach to The Cryptocurrency Market
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 L. FELIZARDO et. al. Expert Syst. Appl. 2022-04-01
439 Regulation of Algorithmic Trading: Frameworks or Human Supervision and Direct Market Interventions
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Abstract: This paper identifies the regulatory gaps that currently exist in algorithmic trading and provides a framework for machine learning regulation in finance. It compares the …		 Joseph Lee; Lukas Schu; European Business Law Review 2022-04-01
440 Dampak Pandemi Covid-19 Terhadap Pergerakan Pasar Modal Di Indonesia
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Abstract: This study aims to find empirical evidence regarding differences in trading volume, trading frequency, and market capitalization in the movement of the Indonesian capital market …		 Lutfiati Rachmania Zaeni; Doni Putra Utama; Journal of Applied Accounting and Taxation 2022-03-31
441 The Profitability of Bollinger Bands Trading Bitcoin Futures
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Abstract: We explore whether investors would receive excess profits by round-turn trading (hereafter referred to as trading) Bitcoin futures based on Bollinger Bands trading strategy …		 Min-Yuh Day; Yirung Cheng; Paoyu Huang; Yensen Ni; Applied Economics Letters 2022-03-31
442 How Online Discussion Board Activity Affects Stock Trading: The Case of GameStop
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Abstract: In January 2021, the stock price of NASDAQ-listed GameStop Corporation surged more than twenty-fold for no discernible economic reason. Many observers attributed this broadly …		 André Betzer; Jan Philipp Harries; Financial markets and portfolio management 2022-03-30
443 Volatility Forecasting Using Intraday Information with The CARR Models for The China Stock Markets
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Abstract: This study mainly focuses on utilizing the range-based CARR and CARRX models to explore the non-trading effects during the lunch break and overnight periods in volatility changes …		 Chunchou Wu; Wen Xu; Asia-Pacific Journal of Accounting & Economics 2022-03-30
444 An Ensembling Architecture Incorporating Machine Learning Models and Genetic Algorithm Optimization for Forex Trading
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Abstract: Algorithmic trading has become the standard in the financial market. Traditionally, most algorithms have relied on rule-based expert systems which are a set of complex if/then …		 LEONARD KIN YUNG LOH et. al. FinTech 2022-03-27
445 Intelligent Systematic Investment Agent: An Ensemble of Deep Learning and Evolutionary Strategies
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Highlight: Our paper proposes a new approach for developing long-term investment strategies using an ensemble of evolutionary algorithms and a deep learning model by taking a series of short-term purchase decisions.		 Prasang Gupta; Shaz Hoda; Anand Rao; arxiv-cs.AI 2022-03-24
446 RETRACTED ARTICLE: Parameter Estimation Method of Option Pricing Model Based on Convolutional Neural Network in High Frequency Financial Trading
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 Wanli He; Ming Guan; Annals of Operations Research 2022-03-22
447 Trading Costs and Trading Quantity at The Berlin Stock Exchange, 1892–1913
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Abstract: We estimate two components of stock market liquidity, namely trading costs and trading volume, for the Berlin Stock Exchange, 1892–1913. Our three trading cost indicators are …		 C. Burhop; S. Gelman; Zeitschrift für Unternehmensgeschichte 2022-03-19
448 Multi-Time Scale Trading Simulation of Source Grid Load Storage Based on Continuous Trading Mechanism for China
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Abstract: The proportion of new energy in power systems is increasing yearly. How to deal with the adverse impact of new energy output uncertainty on its participation in trading from the …		 XUN DOU et. al. Sensors (Basel, Switzerland) 2022-03-18
449 Carbon Emission Trading and Equity Markets in China: How Liquidity Is Impacting Carbon Returns?
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Abstract: This paper aims to investigate the impact of liquidity on the return dynamics between the carbon emission trading market and the stock market in China from 2013 to 2021. In the …		 Junchao Zhang; Wei Han; Economic Research-Ekonomska Istraživanja 2022-03-18
450 Multi-Objective Reward Generalization: Improving Performance of Deep Reinforcement Learning for Applications in Single-asset Trading
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Highlight: We investigate the potential of Multi-Objective, Deep Reinforcement Learning for stock and cryptocurrency single-asset trading: in particular, we consider a Multi-Objective algorithm which generalizes the reward functions and discount factor (i.e., these components are not specified a priori, but incorporated in the learning process).		 Federico Cornalba; Constantin Disselkamp; Davide Scassola; Christopher Helf; arxiv-cs.LG 2022-03-09
451 Detecting Data-driven Robust Statistical Arbitrage Strategies with Deep Neural Networks
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Highlight: We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets.		 Ariel Neufeld; Julian Sester; Daiying Yin; arxiv-q-fin.CP 2022-03-07
452 Gambling and Online Trading: Emerging Risks of Real-time Stock and Cryptocurrency Trading Platforms
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 A Oksanen; E Mantere; I Vuorinen; I Savolainen; Public health 2022-03-02
453 Development of A Stock Trading System Based on A Neural Network Using Highly Volatile Stock Price Patterns
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Abstract: This paper proposes a pattern-based stock trading system using ANN-based deep learning and utilizing the results to analyze and forecast highly volatile stock price patterns. …		 Jangmin Oh; PeerJ. Computer science 2022-03-02
454 High-frequency Trading, Stock Volatility, and Intraday Crashes
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 Imen Ben Ammar; Slaheddine Hellara; The Quarterly Review of Economics and Finance 2022-03-01
455 A Secure and Efficient Framework for Multi-Round Data Trading Over The Internet of Artificially Intelligent Things
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Abstract: IoT data trading has greatly benefited the popularization of both the Internet of Things (IoT) and Artificial Intelligence of Things (AIoT). Current solutions mainly treat the …		 Xu Zheng; Lizong Zhang; Bei Hui; Ling Tian; Zhipeng Cai; IEEE Internet of Things Magazine 2022-03-01
456 Stock Trading Strategies Based on Deep Reinforcement Learning
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Abstract: The purpose of stock market investment is to obtain more profits. In recent years, an increasing number of researchers have tried to implement stock trading based on machine …		 Ya-wei Li; Peipei Liu; Ze Wang; Scientific Programming 2022-03-01
457 Gauging The Effect of Investor Overconfidence on Trading Volume from The Perspective of The Relationship Between Lagged Stock Returns and Current Trading Volume
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 Jiayu Huang; Y. Wang; Y. Fan; Hexuan Li; International Finance 2022-03-01
458 Is There Any Witching in The Cryptocurrency Market?
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Abstract: This paper explores price effects caused by the expiration of derivatives in the cryptocurrency market. Applying different statistical tests (ANOVA, Mann–Whitney, and t-tests) and …		 A. Plastun; Ludmila Khomutenko; Serhii Bashlai; Journal of Risk and Financial Management 2022-02-21
459 Single Stock Trading with Deep Reinforcement Learning: A Comparative Study
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Abstract: In this paper, we apply Deep Reinforcement Learning (DRL) methods to automate the trading of single stock. The A2C, PPO, DDPG, TD3 and SAC deep reinforcement learning models are …		 Jun Ge; Yuanqi Qin; Yaling Li; yanjia Huang; Hao Hu; 2022 14th International Conference on Machine Learning and … 2022-02-18
460 Feedback Trading: A Review of Theory and Empirical Evidence
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Abstract: PurposeThe purpose of this paper is to comprehensively review a large and heterogeneous body of academic literature on investors’ feedback trading, one of the most popular trading …		 F. Economou; K. Gavriilidis; Bartosz Gebka; Vasileios Kallinterakis; Review of Behavioral Finance 2022-02-18
461 Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals
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Highlight: As an application, we solve two algorithmic trading problems in which the agent adopts a constant absolute risk-aversion (CARA) utility function, and where the optimal strategies use signals and past observations of prices to improve their performance.		 Fayçal Drissi; arxiv-q-fin.TR 2022-02-15
462 Research on Emission Reduction Strategies of Building Materials Manufacturers and Real Estate Developers in The Context of Carbon Trading
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Abstract: External carbon trading, free transfer between enterprises and, internal carbon trading are the primary forms of carbon trading between real estate enterprises and building …		 Qingzhen Yao; L. Shao; Frontiers in Environmental Science 2022-02-14
463 Intelligent Optimization Based Multi-Factor Deep Learning Stock Selection Model and Quantitative Trading Strategy
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Abstract: With the rapid development of financial research theory and artificial intelligence technology, quantitative investment has gradually entered people’s attention. Compared with …		 Jujie Wang; Zhenzhen Zhuang; Liu Feng; Mathematics 2022-02-12
464 Financial Vision Based Reinforcement Learning Trading Strategy
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Abstract: Recent advances in artificial intelligence (AI) for quantitative trading have led to its general superhuman performance among notable trading performance results. However, if we …		 Yun-Cheng Tsai; Fu-Min Szu; Jun-Hao Chen; Samuel Yen-Chi Chen; ArXiv 2022-02-03
465 Financial Derivative Price Forecasting and Trading for Multiple Time Horizons with Deep Long Short-Term Memory Networks
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Abstract: Price forecasting and trading in the international crude oil market are important issues for investors in energy finance. In this study, we propose an alternative forecasting …		 Bingru Liu; Qing Zhao; Scientific Programming 2022-02-01
466 A Study on Operation Strategy and Economical Evaluation of Energy Prosumer Considering Power Trading Methods
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Abstract: Recently, the market of energy prosumer has increased as the Korean government is promoting renewable energy policy and 2030 spreading strategy of the new energy industry. The …		 Kyunghwa Kim; Byeong-Gill Han; Jian Shen; Ji-Myung Kim; D. Rho; Journal of the Korea Academia-Industrial cooperation Society 2022-01-31
467 The Influence of Dividend Yield on Sales Volume of Sharia Constituent Shares Jakarta Islamic Index 70
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Abstract: Stock trading is something that is observed and occupied by stock investors, especially retail investors. The large trading volume indicates that the stock is in great demand by …		 Yulianto Chandra; M. Sholihin; Assets : Jurnal Ilmiah Ilmu Akuntansi, Keuangan dan Pajak 2022-01-29
468 Applying Attention-based BiLSTM and Technical Indicators in The Design and Performance Analysis of Stock Trading Strategies
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Abstract: With the development of the Internet, information on the stock market has gradually become transparent, and stock information is easy to obtain. For investors, investment …		 MING-CHE LEE et. al. Neural computing & applications 2022-01-28
469 Performance Analysis of Bollinger Bands and Long Short-Term Memory(LSTM) Models Based Strategies on NIFTY50 Companies
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Abstract: Hedge funds and financial institutions strive to build consistently profitable automated trading strategies which can provide higher returns than stock market index baselines. …		 VARUN SESHU et. al. 2022 12th International Conference on Cloud Computing, Data … 2022-01-27
470 A Blockchain-Based Distributed Computational Resource Trading Strategy for Internet of Things Considering Multiple Preferences
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Highlight: However, there still lack incentive mechanisms to encourage participants to take over tasks from others. To counter this situation, this paper proposes a distributed computational resource trading strategy addressing multiple preferences of IoT users.		 Tonghe Wang; Songpu Ai; Junwei Cao; arxiv-cs.DC 2022-01-24
471 An Advanced Optimization Approach for Long-Short Pairs Trading Strategy Based on Correlation Coefficients and Bollinger Bands
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Abstract: In the financial market, commodity prices change over time, yielding profit opportunities. Various trading strategies have been proposed to yield good earnings. Pairs trading is …		 Chun-Hao Chen; Wei-Hsun Lai; S. Hung; T. Hong; Applied Sciences 2022-01-20
472 Research on The Feasibility of Applying GRU and Attention Mechanism Combined with Technical Indicators in Stock Trading Strategies
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Abstract: The vigorous development of Time Series Neural Network in recent years has brought many potential possibilities to the application of financial technology. This research proposes …		 M. Lee; Applied Sciences 2022-01-19
473 Machine Learning – Algorithmic Trading Strategies for Superior Growth, Outperformance and Competitive Advantage
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 N. Burgess; International Journal of Artificial Intelligence and … 2022-01-18
474 Research on Quantitative Timing Trading Strategy Based on Deep Reinforcement Learning
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Abstract: Quantitative trading is an important research direction in the financial field. With the perfect development of the financial market, the trading strategies that want to obtain …		 Zihan Zhu; 2022 2nd International Conference on Consumer Electronics … 2022-01-14
475 Crypto Asset-Trade Resilience During The Covid-19 Pandemic In Indonesia
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Abstract: Purpose of the study: This research aims to examine the resilience, existence, and security of crypto assets in Indonesia. In fact, bitcoin’s presence results in pros and cons in …		 Vicko Taniady; Salsabiila Puteri Permatasari; Reyka Widia Nugraha; Jurnal Jurisprudence 2022-01-14
476 Effect of Cryptocurrency Trading and Monetary Corrupt Practices on Nigerian Economic Performance
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Abstract: Digital financial trading has brought a new dimension of financial technology transactions to the globe. Cryptocurrency trading is one of the new dimensions. However, …		 S. K. Fakunmoju; O. Banmore; A. Gbadamosi; Olajide Idowu Okunbanjo; Binus Business Review 2022-01-07
477 Blockchain-Based Fully Peer-to-Peer Energy Trading Strategies for Residential Energy Systems
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Abstract: This paper proposes two novel strategies for determining the bilateral trading preferences of households participating in a fully Peer-to-Peer (P2P) local energy market. The first …		 Tarek AlSkaif; Jose L. Crespo-Vazquez; Milos Sekuloski; Gijs van Leeuwen; João P. S. Catalão; IEEE Transactions on Industrial Informatics 2022-01-01
478 Adversarial Trading
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Abstract: Adversarial samples have drawn a lot of attention from the Machine Learning community in the past few years. An adverse sample is an artificial data point coming from an …		 Alexandre Miot; ArXiv 2022-01-01
479 Ethical Use of Algorithms in Times of Uncertainty and Crisis: The Case of High-Frequency Trading
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 Yaara Welcman; SSRN Electronic Journal 2022-01-01
480 The Performativity of Algorithmic Trading: The Epistemology of Flash Crashes
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 Knowledge Cultures 2022-01-01
481 Bi-level Frequency Regulation Resource Trading for Electricity Consumers: A Data-driven Contract Approach
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 Liya Ma; Nian Liu; Haonan Sun; Chenxi Li; Wenxia Liu; International Journal of Electrical Power & Energy Systems 2022-01-01
482 The Formulation of Stock Trading Strategy Summary
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 Academic Journal of Computing & Information Science 2022-01-01
483 Deep Reinforcement Learning for Automated Stock Trading: Inclusion of Short Selling
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 Eeshaan Asodekar; Arpan Nookala; Sayali Ayre; Anant V. Nimkar; International Syposium on Methodologies for Intelligent … 2022-01-01
484 Transmission Loss-Aware Peer-to-Peer Energy Trading in Networked Microgrids
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Abstract: Networked microgrids (MGs) have a great potential to improve the efficiency, reliability, resilience, security, and sustainability of power supply services. Peer-to-peer (P2P) …		 Hailing Zhu; K. Ouahada; A. Abu-Mahfouz; IEEE Access 2022-01-01
485 A Deep Reinforcement Learning-Based Decision Support System for Automated Stock Market Trading
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Abstract: Presently, the volatile and dynamic aspects of stock prices are significant research challenges for stock markets or any other financial sector to design accurate and profitable …		 YASMEEN ANSARI et. al. IEEE Access 2022-01-01
486 The Rise of Machines: Algorithmic Trading and Stock Price Crash Risk
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 Anwer S. Ahmed; Yiwen Li; Andrew S. McMartin; Nina Xu; SSRN Electronic Journal 2022-01-01
487 New Trading Strategy in Investment: A Study of The Hedge Funds From Emerging and Developed Markets
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 Zhihui Lv; Tsun Se Cheong; D. Chui; W. Wong; SSRN Electronic Journal 2022-01-01
488 Research on Financial Product Price Prediction Based on Grey Prediction and WOA-BP Neural Network
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Abstract: : Quantitative trading is an emerging financial investment strategy. In this paper, based on the historical data prediction-guided trading strategy problem, small-sample …		 Man Jeoi Lau; Shiyi Bai; Kevin Chan; Fang Lin; Academic Journal of Computing & Information Science 2022-01-01
489 A Hybrid Artificial Intelligence Approach to Portfolio Management
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Abstract: The tremendous advances in artificial intelligence over the past decade have led to their increasing use in financial markets. In recent years a large number of investment …		 H. Haddadian; Morteza Baky Haskuee; G. Zomorodian; Iranian Journal of Finance 2022-01-01
490 A Stock Trading Strategy Based on Deep Reinforcement Learning
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 Firdaous Khemlichi; Hiba Chougrad; Youness Idrissi Khamlichi; Abdessamad El Boushaki; Safae El Haj Ben Ali; Advanced Intelligent Systems for Sustainable Development … 2022-01-01
491 Algorithmic Trading and Directors’ Learning from Stock Prices: Evidence from CEO Turnover Decisions
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 Jaewoo Kim; Jun Oh; Hojun Seo; Luo Zuo; SSRN Electronic Journal 2022-01-01
492 Flexible Decision Support System for Algorithmic Trading: Empirical Application on Crude Oi L Markets
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Abstract: Generating reliable trading signals continues to be a challenging task for financial market professionals. This research designs a novel decision-support system (DSS) for …		 C. Tudor; Robert Sova; IEEE Access 2022-01-01
493 Research on Asset Trading Strategy Based on Forecasting Model and Decision-making Trading Model
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Abstract: : Quantitative investment is becoming more and more popular among traders. Market traders who seek to maximize returns by buying and selling volatile assets focus more on …		 Yingchao Hai; Academic Journal of Computing & Information Science 2022-01-01
494 Prediction on The Value Trends of Bitcoin and Gold-on Account of ARMA Time Series Forecasting Model
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Abstract: : In this paper, we aimed to build a quantitative investment trading model based on a combination of a multivariate cycle ARMA model and Apriori. We first note that in order to …		 Ronghuan Li; Weijie Chen; Wenhao Xu; Chen Li; Academic Journal of Computing & Information Science 2022-01-01
495 Project Based Learning: An Integrated Approach to Enhance Student’s Competencies in Stock Trading Simulation
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Abstract: This study aims to describe how project-based learning can enhance students’ competencies to learn about stock trading. As students’ competencies in finance, especially in …		 Rayna Kartika; Annisaa Rahman; Proceedings of the 4th International Conference on … 2022-01-01
496 Exchange Trade Current State and Development Trends
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Abstract: The article is devoted to the investigation of the state and development trends of exchange trading at the current stage. The main aspects characterizing the stock and commodity …		 Halina Mashliy; O. Sorokivska; M. Ziailyk; Socio-Economic Problems and the State 2022-01-01
497 Optimal Liquidation Problem in Illiquid Markets
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 Amirhossein Sadoghi; Jan Vecer; Eur. J. Oper. Res. 2022-01-01
498 Application of A Switched PIDD Type Control Strategy to The Model-Free Algorithmic Trading
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 V. Azhmyakov; I. Shirokov; L. A. G. Trujillo; IFAC-PapersOnLine 2022-01-01
499 Peer-to-Peer Energy Trading in Smart Energy Communities: A Lyapunov-Based Energy Control and Trading System
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Abstract: This paper studies the real-time energy trading problem in a smart community consisting of a group of grid-connected prosumers with controllable loads, renewable generations and …		 Hailing Zhu; K. Ouahada; A. Abu-Mahfouz; IEEE Access 2022-01-01
500 Graph-based Stock Correlation and Prediction for High-frequency Trading Systems
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 TAO YIN et. al. Pattern Recognition 2022-01-01
501 Network Analysis on Bitcoin Arbitrage Opportunities
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 Rasa Bruzgė; Alfreda Šapkauskienė; The North American Journal of Economics and Finance 2022-01-01
502 Frequent Batch Auctions and Informed Trading
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Abstract: We study liquidity provision by competitive high-frequency trading firms (HFTs) in a dynamic trading model with private information. Liquidity providers face adverse selection …		 Steffen Eibelshäuser; Fabian Smetak; SSRN Electronic Journal 2022-01-01
503 Co-evolutionary Dynamics in A Simulation of Interacting Financial-Market Adaptive Automated Trading System
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 Proceedings of the European Modeling & Simulation … 2022-01-01
504 Deep Reinforcement Learning for Bitcoin Trading
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 Bouchra El Akraoui; C. Daoui; Conference on Business Informatics 2022-01-01
505 Auto Uning of Price Prediction Models for High-frequency Trading Via Reinforcement Learning
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 Weipeng Zhang; Ning Zhang; Junchi Yan; Guofu Li; Xiaokang Yang; Pattern Recognit. 2022-01-01
506 V2GNet: Robust Blockchain-Based Energy Trading Method and Implementation in Vehicle-to-Grid Network
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Abstract: Nowadays, energy trading policies are revolutionizing the efforts and policies geared toward addressing global carbon emissions and protecting the environment. Smart grids and …		 Yuxiao Liang; Zhishang Wang; Abderazek Ben Abdallah; IEEE Access 2022-01-01
507 Optimal Investment-reinsurance Strategy with Derivatives Trading Under The Joint Interests of An Insurer and A Reinsurer
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Abstract: Considering the common interests of an insurer and a reinsurer, the optimal investment-reinsurance problem with derivatives trading is studied. Suppose that both parties would …		 Xia Zhao; Mengjie Li; Qinrui Si; Electronic Research Archive 2022-01-01
508 Risk And Return Model of Digital Cryptocurrency Asset Investment In Indonesia
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Abstract: Cryptocurrency is an investment commodity that can generate returns and already has a license to be traded in exchange trading through the Indonesian Commodity Futures Trading …		 Rico Nur Ilham; Isfenti Sadalia; Nisrul Irawati; Irada Sinta; Al Qalam: Jurnal Ilmiah Keagamaan dan Kemasyarakatan 2022-01-01
509 Robotics and Algorithmic Trading: A New Era in Stock Market Trend Analysis
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Abstract: This paper uses machine learning to examine how robots and algorithmic trading have transformed stock market trend analysis. The main goals are to assess how these sophisticated …		 Jaya Chandra Srikanth Gummadi; Christopher Ryan Thompson; Narasimha Rao Boinapalli; Rajasekhar Reddy Talla; Deekshith Narsina; Global Disclosure of Economics and Business 2021-12-31
510 Relationship Between Stock Return, Trading Volume, and Trading Price of Agriculture Development Bank
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Abstract: The main objective of the study is to measure the causal relationship between stock return, trading volume, and the trading price of Agriculture Development bank. Descriptive …		 Bashu Neupane; Dipendra Neupane; Pravaha 2021-12-31
511 Influence of Internet Financial Reporting, Website Information Disclosure Rate, Number of Shares Outstanding, and Sales Growth on The Frequency of Stock Trading on Manufacturing Companies on The Indonesia Stock Exchange (2015-2019)
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Abstract: The purpose of this study was to determine the effect of Internet Financial Reporting, Website Information Disclosure Rate, Number of Outstanding Shares, and Sales Growth on the …		 Rivaldi Akbar; D. Syah; Esensi: Jurnal Bisnis dan Manajemen 2021-12-30
512 PENGARUH INTERNET FINANCIAL REPORTING, TINGKAT PENGUNGKAPAN INFORMASI BERBASIS WEBSITE, DAN JUMLAH SAHAM BEREDAR TERHADAP FREKUENSI PERDAGANGAN SAHAM
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Abstract: The objectives of this study are: (1) to prove, test, empirically and analyze the impact of Internet Financial Reporting on Stock Trading Frequency, (2) to prove, test, …		 Meidy Tiara Nur Sausan; Erna Sulistyowati; Behavioral Accounting Journal 2021-12-29
513 HFTViz: Visualization for The Exploration of High Frequency Trading Data
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Abstract: High Frequency Trading (HFT), mainly based on high speed infrastructure, is a significant element of the trading industry. However, trading machines generate enormous quantities …		 Javad Yaali; Vincent Grégoire; Thomas Hurtut; Information Visualization 2021-12-29
514 Study of Machine Learning Algorithms for Potential Stock Trading Strategy Frameworks
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Abstract: Abstract: Purpose: This paper discusses major stock market trends and provides information on stock market forecasting. Stock market forecasting is essentially an attempt to …		 Aakash Agarwal; International Journal of Financial, Accounting, and … 2021-12-25
515 Stationarity Analysis of The Stock Market Data and Its Application to Mechanical Trading
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Highlight: This study proposes a scheme for stationarity analysis of stock price fluctuations based on KM$_2$O-Langevin theory.		 Kazuki Kanehira; Norikazu Todoroki; arxiv-q-fin.ST 2021-12-23
516 Analysis of Pre-existing Investment Behavior and Influence of Trading Apps
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Abstract: The last few years have seen a rise in trading apps, and Robinhood is one trading app that has attracted millennials. This paper explores trading apps such as Robinhood and their …		 Anish Guddati; Dhruva Bhat; Journal of Student Research 2021-12-22
517 EvoTrader: Automated Bitcoin Trading Using Neuroevolutionary Algorithms on Technical Analysis and Social Sentiment Data
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Abstract: Due to the rise in popularity of Bitcoin as both a store of wealth and speculative investment, there is an ever-growing demand for automated trading tools to gain an advantage …		 Martin Pellon Consunji; Proceedings of the 2021 4th International Conference on … 2021-12-22
518 Algorithmic Trading and The Limits of Securities Regulation
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Abstract: Since the infamous flash crash of 2010, instances of unexplained high volatility in financial markets, often driven by algorithmic and high-frequency trading, have received …		 C. Gerner-Beuerle; Digital Finance in Europe: Law, Regulation, and Governance 2021-12-20
519 Trading Agent for The Indian Stock Market Scenario Using Actor-Critic Based Reinforcement Learning
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Abstract: Financial trading is about buying, holding, and selling securities in the hope of making a profit. Automation is a trending area in the engineering domain that can help maximize …		 M. Vishal; Yatin Satija; B. Babu; 2021 IEEE International Conference on Computation System … 2021-12-16
520 Do Candlestick Patterns Work in Cryptocurrency Trading?
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Abstract: This paper investigates the effectiveness of candlestick patterns in cryptocurrency trading. Our data set includes historical daily opening, high, low, and closing prices of the …		 Kin-Hon Ho; Tse-Tin Chan; Haoyuan Pan; Chin Li; 2021 IEEE International Conference on Big Data (Big Data) 2021-12-15
521 Peer-to-Peer Energy Trading in A Micro-grid Using Internet of Things and Blockchain
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Abstract: With advancements in renewable energy techno­logies, consumers are becoming prosumers, and renewable energy resources are being used in distributed networks. In an isolated …		 Mirza Jabbar Aziz Baig; M. Iqbal; M. Jamil; Jahangir Khan; Electronics ETF 2021-12-15
522 An Experimental Economic Study of Loss Aversion in Stock Trading Decisions
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Abstract: The disposition effect is a form of behavioral bias that tends to result in investors holding on to their losing stocks for too long and selling winning stocks too soon. It can be …		 Thanchanok Aramrueng; Peera Tangtammaruk; Humanities and Social Sciences Letters 2021-12-14
523 Do Emotions Benefit Investment Decisions? Anticipatory Emotion and Investment Decisions in Non-professional Investors
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Abstract: Increasing financial trading performance is big business. A lingering question within academia and industry concerns whether emotions improve or degrade trading performance. In …		 Neal S Hinvest; Muhamed Alsharman; Margot Roell; Richard Fairchild; Frontiers in psychology 2021-12-09
524 Is It Possible to Earn Abnormal Return in An Inefficient Market? An Approach Based on Machine Learning in Stock Trading
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Abstract: Risk management and stock investment decision-making is an essential topic for investors and fund managers, especially in the context of the COVID-19 pandemic. The problem becomes …		 Bui Thanh Khoa; Tran Trong Huynh; Computational intelligence and neuroscience 2021-12-08
525 QuantNet: Transferring Learning Across Trading Strategies
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Abstract: Systematic financial trading strategies account for over 80% of trade volume in equities and a large chunk of the foreign exchange market. In spite of the availability of data …		 A. Koshiyama; Stefano B. Blumberg; Nikan B. Firoozye; P. Treleaven; Sebastian Flennerhag; Quantitative Finance 2021-12-03
526 Stock Trading System Based on Machine Learning and Kelly Criterion in Internet of Things
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Abstract: The evolution of the Internet of Things (IoT) has promoted the prevalence of the financial industry as a variety of stock prediction models have been able to accurately predict …		 Lili Chen; Lingyun Sun; Chien‐Ming Chen; Mu-En Wu; J. Wu; Wireless Communications and Mobile Computing 2021-12-03
527 A Ratiocinative Concept of Algorithmic Trading Using MACD Indicator
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Abstract: Algorithmic trading, otherwise known as black-box trading or plain machine-driven trading, can be referred as computing machine for making different trading-orders, using specific …		 Parthkumar Kanani; Jenish Karasariya; Narendra Zadafiya; Amit Nayak; 2021 5th International Conference on Electronics, … 2021-12-02
528 TradeBot: Bandit Learning for Hyper-parameters Optimization of High Frequency Trading Strategy
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 Weipeng Zhang; Lu Wang; Liang Xie; Ke Feng; Xiang Liu; Pattern Recognit. 2021-12-01
529 The Commodity Futures’ Historical Basis in Trading Strategy and Portfolio Investment
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 Y. Pu; Baochen Yang; Energy Economics 2021-12-01
530 High-frequency Trading and Market Quality: The Case of A “slightly Exposed” Market
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 Cumhur Ekinci; Oguz Ersan; International Review of Financial Analysis 2021-12-01
531 Economic Uncertainty and National Bitcoin Trading Activity
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 J. Wüstenfeld; Teo Geldner; The North American Journal of Economics and Finance 2021-12-01
532 Research on Short Term Stock Selection Strategy Based on Machine Learning
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Abstract: Based on theoretical analysis, this paper constructs a short-term stock selection strategy based on machine learning. The sample set is constructed based on the closing price …		 Yanzheng Ren; 2021 3rd International Conference on Machine Learning, Big … 2021-12-01
533 The Effect of The Supply Chain Finance on Trading Enterprises and The Promotion of Financial Information System
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Abstract: COVID-19 has a significant impact on the global supply chain, and enterprises involved in international trade may face more uncertainties. Financing constraints restrict the …		 Shuqi Yao; Jun Chen; Xiao Luo; 2021 2nd International Conference on Electronics, … 2021-12-01
534 A Novel Trading Strategy Framework Based on Reinforcement Deep Learning for Financial Market Predictions
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Abstract: The prediction of stocks is complicated by the dynamic, complex, and chaotic environment of the stock market. Investors put their money into the financial market, hoping to …		 Li-Chen Cheng; Yu-Hsiang Huang; Ming-Hua Hsieh; Mu-En Wu; Mathematics 2021-11-30
535 Evolutionary Deep Reinforcement Learning Environment: Transfer Learning-Based Genetic Algorithm
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Abstract: Stock markets trading has risen as a critical challenge for artificial intelligence research. Such environments require artificial agents to coordinate and transfer their best …		 Badr Hirchoua; Imadeddine Mountasser; B. Ouhbi; B. Frikh; The 23rd International Conference on Information … 2021-11-29
536 A Reinforcement Learning Approach for The Continuous Electricity Market of Germany: Trading from The Perspective of A Wind Park Operator
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Highlight: In this work, we propose a novel autonomous trading approach based on Deep Reinforcement Learning (DRL) algorithms as a possible solution.		 Malte Lehna; Björn Hoppmann; René Heinrich; Christoph Scholz; arxiv-cs.LG 2021-11-26
537 Modification of Long-term Volatility Trading Methods Based on A Delta-neutral Strategy
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Abstract: Delta-neutral trading strategies for trading volatility allow you to make a profit regardless of the direction of change in the price of the underlying asset. Despite their …		 A. Plotnikov; Victor P. Glazkov; R. A. Shishlov; Vestnik of Samara University. Economics and Management 2021-11-25
538 Reinforcement Learning for Options Trading
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Abstract: Reinforcement learning has been applied to various types of financial assets trading, such as stocks, futures, and cryptocurrencies. Options, as a novel kind of derivative, have …		 Wen Wen; Yuyu Yuan; Jincui Yang; Applied Sciences 2021-11-25
539 ANALISIS LIKUIDITAS SAHAM PADA PERUSAHAAN YANG MELAKUKAN STOCK SPLIT: PENGUJIAN TERHADAP TRADING RANGE THEORY PADA BURSA EFEK INDONESIA (Studi Pada Perusahaan Yang Melakukan Stock Split Tahun 2017-2019)
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Abstract: This study aims to determine whether there is empirical evidence of stock split events in accordance with trading range theory or not. The empirical study was conducted on 28 …		 Abdul Hafiz Tanjung; Sihabudin Ali; Jurnal Ilmu Manajemen dan Akuntansi Terapan (JIMAT) 2021-11-23
540 COVID-19 and Market Structure Dynamics
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 Justin Cox; Donovan Woods; Journal of banking & finance 2021-11-19
541 Decentralized P2P Electricity Trading Model for Thailand
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Abstract: Thailand’s power system has been facing an energy transition due to the increasing amount of Renewable Energy (RE) integration, prosumers with self-consumption, and …		 Anchisa Pinyo; Athikom Bangviwat; Christoph Menke; Antonello Monti; Sensors (Basel, Switzerland) 2021-11-08
542 USE OF TRADING TO INCREASE PROFITABILITY OF SECURITIES PORTFOLIO IN INVESTMENT FUNDS
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Abstract: Abstract. It is determined that in investment processes, each percentage of returns is important. The hypothesis was considered that active management of the stock portfolio …		 І. Morhachov; L. Kostyrko; Е. Chernodubova; А. Martynov; М. Plietnov; Financial and credit activity: problems of theory and … 2021-11-08
543 Optimal Pairs Trading with Time-Varying Volatility
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Highlight: We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type.		 T. N. Li; A. Tourin; arxiv-math.OC 2021-11-04
544 Learning FX Trading Strategies with FQI and Persistent Actions
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Abstract: Automated Trading Systems are constantly increasing their impact on financial markets, but learning from historical data, detecting interesting patterns and producing profitable …		 ANTONIO RIVA et. al. Proceedings of the Second ACM International Conference on … 2021-11-03
545 Exploration of Algorithmic Trading Strategies for The Bitcoin Market
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Highlight: Building on previous work, in this paper, we utilise both features internal to the Bitcoin network and external features to inform the prediction of various machine learning models.		 Nathan Crone; Eoin Brophy; Tomas Ward; arxiv-cs.LG 2021-10-28
546 Trading Via Selective Classification
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Highlight: For ternary classification, in addition to classes for the price going up or down, we include a third class that corresponds to relatively small price moves in either direction, and gives the classifier another way to avoid making a directional prediction.		 Nestoras Chalkidis; Rahul Savani; arxiv-q-fin.TR 2021-10-28
547 Trading Strategy on Market Stock By Analyzing Candlestick Pattern Using Artificial Neural Network (ANN) Method
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Abstract: Technical analysis plays an important role in a stock market. Traders using technical analysis to find the trading strategy on the market stock. There are some technical …		 Ni Putu Winda Ardiyanti; Irma Palupi; Indwiarti Indwiarti; JURNAL MEDIA INFORMATIKA BUDIDARMA 2021-10-26
548 Trading Strategy in A Local Energy Market, A Deep Reinforcement Learning Approach
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Abstract: In response to energy transition fueled by the increasing energy generation mix and dynamic environment, this paper presents an energy trading strategy utilising real microgrid …		 Olamide Jogunola; Yakubu Tsado; B. Adebisi; R. Nawaz; 2021 IEEE Electrical Power and Energy Conference (EPEC) 2021-10-22
549 Optimal Trading: A Model Predictive Control Approach
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Highlight: We develop a dynamic trading strategy in the Linear Quadratic Regulator (LQR) framework.		 Simon Clinet; Jean-François Perreton; Serge Reydellet; arxiv-math.ST 2021-10-21
550 Learning to Arbitrage Congestion in Electricity Market with Virtual Bids
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Abstract: In this paper, we introduce a machine learning-based risk-constrained portfolio optimization framework to arbitrage congestion with virtual bids in wholesale electricity markets. …		 Yinglun Li; N. Yu; 2021 IEEE PES Innovative Smart Grid Technologies Europe … 2021-10-18
551 Cryptocurrency Market: Choice of Technical Indicators in Trading Strategies of Individual Investors
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Abstract: Technical analysis is a popular tool for assessing financial assets. It has fairly well-established tools, namely indicators. In addition, modern financial market has expanded due …		 Igor Lyukevich; I. Gorbatenko; E. Bessonova; Proceedings of the 3rd International Scientific Conference … 2021-10-14
552 An Automated Portfolio Trading System with Feature Preprocessing and Recurrent Reinforcement Learning
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Highlight: We propose a novel portfolio trading system, which contains a feature preprocessing module and a trading module.		 Lin Li; arxiv-q-fin.TR 2021-10-11
553 Blockchain-based Carbon Trading Mechanism to Elevate Governance and Smartness
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Abstract: Climate change has negative effects on life on earth as well as the environment and economy. Harmful greenhouse gases, especially CO2, emitted from industrial processes executed …		 Alia Al Sadawi; M. Ndiaye; Proceedings of the 14th International Conference on Theory … 2021-10-06
554 Systemic Failures and Organizational Risk Management in Algorithmic Trading: Normal Accidents and High Reliability in Financial Markets
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Abstract: This article examines algorithmic trading and some key failures and risks associated with it, including so-called algorithmic ‘flash crashes’. Drawing on documentary sources, 189 …		 Bo Hee Min; Christian Borch; Social studies of science 2021-10-06
555 The Stock Market As A Casino: Associations Between Stock Market Trading Frequency and Problem Gambling
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Abstract: Personal investors decrease their stock market investment returns by trading frequently, which the behavioral finance literature has primarily explained via investors’ …		 Moritz Mosenhauer; Philip W S Newall; Lukasz Walasek; Journal of behavioral addictions 2021-09-28
556 Towards Private On-Chain Algorithmic Trading
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Highlight: In this paper we present ChainBot, an approach for creating algorithmic trading bots with the help of blockchain technology.		 Ceren Kocaoğullar; Arthur Gervais; Benjamin Livshits; arxiv-cs.CR 2021-09-23
557 A Simple Reinforcement Learning Algorithm for Stock Trading
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Abstract: In recent years, the use of machine learning techniques in financial markets, particularly in stock trading, has garnered considerable attention from both academia and …		 P. Fiorini; Pierce-Gabriel Fiorini; 2021 11th IEEE International Conference on Intelligent Data … 2021-09-22
558 Exploring Coevolutionary Dynamics of Competitive Arms-Races Between Infinitely Diverse Heterogenous Adaptive Automated Trader-Agents
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Highlight: Here we present first results from two independent sets of experiments, where we use minimal-intelligence trading-agents but in which the space of possible strategies is continuous and hence infinite.		 Nik Alexandrov; Dave Cliff; Charlie Figuero; arxiv-cs.CE 2021-09-21
559 Financial Trading with Feature Preprocessing and Recurrent Reinforcement Learning
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Highlight: This paper proposes to trade financial assets automatically using feature preprocessing skills and Recurrent Reinforcement Learning (RRL) algorithm.		 Lin Li; arxiv-q-fin.TR 2021-09-11
560 Big Data Analysis with Momentum Strategy on Data-driven Trading
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Abstract: Data-driven trading approaches have become more widespread in quantitative hedge funds due to the availability of large amount of financial data and the popularization of …		 Xiangyu Gao; Meikang Qiu; Zhen He; 2021 IEEE Intl Conf on Parallel & Distributed Processing … 2021-09-01
561 INVESTORS’ LEGAL PROTECTION AGAINST INSIDER TRADING IN CAPITAL MARKET IN INDONESIA
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Abstract: This study aimed to assess insider trading on a trading buying and selling shares in the capital market. Besides, it also evaluated investors’ legal protection against insider …		 Dewi Asttuty Mochtar; Dewi Rahayu; Journal of Southwest Jiaotong University 2021-08-30
562 Structural Break-aware Pairs Trading Strategy Using Deep Reinforcement Learning
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Abstract: is an effective statistical arbitrage strategy considering the spread of paired stocks in a stable cointegration relationship. Nevertheless, rapid market changes may break the …		 JING-YOU LU et. al. The Journal of supercomputing 2021-08-17
563 Multi-Agent Reinforcement Learning for Automated Peer-to-Peer Energy Trading in Double-Side Auction Market
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Highlight: For this reason, in this paper we model this task as a multi-agent reinforcement learning (MARL) problem and propose an algorithm called DA-MADDPG that is modified based on MADDPG by abstracting the other agents’ observations and actions through the DA market public information for each agent’s critic.		 Dawei Qiu; Jianhong Wang; Junkai Wang; Goran Strbac; ijcai 2021-08-13
564 Τ-Access Policy: Attribute-based Encryption Scheme for Social Network Based Data Trading
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Abstract: The rapid development of social technology has replaced physical interaction in the trading market. The implication of this technology is to provide access to the right …		 Shamsher Ullah; Lan Zhang; Muhammad Wasif Sardar; M. T. Hussain; China Communications 2021-08-01
565 How Can Carbon Trading Price Distortion Be Corrected? An Empirical Study from China’s Carbon Trading Pilot Markets
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Abstract: The essence of carbon trading is to optimize the allocation of factor resources by using price leverage. However, the effect of the carbon trading market might be seriously …		 Liangpeng Wu; Environmental science and pollution research international 2021-07-31
566 Gambling-Like Day Trading During The COVID-19 Pandemic – Need for Research on A Pandemic-Related Risk of Indebtedness and Mental Health Impact
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Abstract: Stock exchange trading increasingly has been highlighted as a possible cause of gambling disorder, typically in rapid and excessive day trading which may cause over-indebtedness …		 Anders Håkansson; Fernando Fernández-Aranda; Susana Jiménez-Murcia; Frontiers in psychiatry 2021-07-26
567 Gambling-Like Day Trading During The COVID-19 Pandemic – Need for Research on A Pandemic-Related Risk of Indebtedness and Mental Health Impact
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Abstract: Stock exchange trading increasingly has been highlighted as a possible cause of gambling disorder, typically in rapid and excessive “day trading” which may cause over-indebtedness …		 A. Håkansson; F. Fernández-Aranda; S. Jiménez-Murcia; Frontiers in Psychiatry 2021-07-26
568 Pengaruh Frekuensi Perdagangan, Volume Perdagangan, & Kapitalisasi Pasar Terhadap Return Saham Pada Sektor Pariwisata Yang Terdaftar Di BEI
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Abstract: Purpose, – This study aims to determine how much influence the trading frequency, trading volume, and market capitalization either partially or simultaneously on stock returns in …		 Kristina Maysie; Jurnal Manajemen Sains dan Organisasi 2021-07-14
569 Impact of The Implementation of Carbon Emission Trading on Corporate Financial Performance: Evidence from Listed Companies in China
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Abstract: With the development of ecological paradigm coupled with the relentless implementation of myriad environmental policies in China, the rapid development of carbon emission trading …		 Meijuan Liu; Chang Zhou; Feifei Lu; Xiaohan Hu; PloS one 2021-07-01
570 High‐frequency Trading: Definition, Implications, and Controversies
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 Khairul Zharif Zaharudin; M. Young; Wei‐Huei Hsu; Journal of Economic Surveys 2021-06-21
571 Cryptocurrency Trading, Gambling and Problem Gambling
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 Paul Delfabbro; Daniel King; Jennifer Williams; Neophytos Georgiou; Addictive behaviors 2021-06-16
572 Deep Reinforcement Learning on A Multi-asset Environment for Trading
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Highlight: Our results in this study are preliminary and need further improvement.		 Ali Hirsa; Joerg Osterrieder; Branka Hadji-Misheva; Jan-Alexander Posth; arxiv-q-fin.TR 2021-06-15
573 RCURRENCY: Live Digital Asset Trading Using A Recurrent Neural Network-based Forecasting System
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Highlight: In this paper, we present RCURRENCY, an RNN-based trading engine to predict data in the highly volatile digital asset market which is able to successfully manage an asset portfolio in a live environment.		 Yapeng Jasper Hu; Ralph van Gurp; Ashay Somai; Hugo Kooijman; Jan S. Rellermeyer; arxiv-cs.AI 2021-06-13
574 Factors Affecting China’s Carbon Trading Price—A Case Study Based on Tianjin Carbon Emissions Trading Market
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Abstract: Building a carbon emission trading market is an effective way to control carbon emissions. The carbon emission trading price is the key to the carbon trading market, and it will …		 Yuwei Du; Songsheng Chen; 2021-06-03
575 Deep Reinforcement Learning in Quantitative Algorithmic Trading: A Review
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Highlight: We can look at the stock market historical price series and movements as a complex imperfect information environment in which we try to maximize return – profit and minimize risk.		 Tidor-Vlad Pricope; arxiv-cs.LG 2021-05-31
576 Learning About Latent Dynamic Trading Demand
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Highlight: This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact.		 Xiao Chen; Jin Hyuk Choi; Kasper Larsen; Duane J. Seppi; arxiv-q-fin.TR 2021-05-27
577 The Impact of Margin Trading on Stock Volatility: Based from 2014 to 2016 Shanghai and Shenzhen 300 Index
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Abstract: The paper study the impact of margin trading on the volatility of the stock market, We selected 469 observation values among the daily Shanghai and Shenzhen 300 index from May …		 Chuanyang Gong; The International Journal of Business and Management 2021-05-27
578 Quantitative Day Trading from Natural Language Using Reinforcement Learning
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Highlight: Building on these shortcomings, we propose a deep reinforcement learning approach that makes time-aware decisions to trade stocks while optimizing profit using textual data.		 Ramit Sawhney; Arnav Wadhwa; Shivam Agarwal; Rajiv Ratn Shah; naacl 2021-05-23
579 A Parallel-network Continuous Quantitative Trading Model with GARCH and PPO
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Highlight: Thus, we propose a parallel-network continuous quantitative trading model with GARCH and PPO to enrich the basical deep reinforcement learning model, where the deep learning parallel network layers deal with 3 different frequencies data (including GARCH information) and proximal policy optimization (PPO) algorithm interacts actions and rewards with stock trading environment.		 Zhishun Wang; Wei Lu; Kaixin Zhang; Tianhao Li; Zixi Zhao; arxiv-q-fin.TR 2021-05-08
580 High‐Frequency Trading and Financial Time‐Series Prediction with Spiking Neural Networks
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Abstract: his article presents a powerful and innovative approach to using spiking neural networks for financial time-series prediction. The novelty of our approach, which we call …		 Kang Gao; Wayne Luk; Stephen Weston; Wilmott 2021-05-01
581 Deep Reinforcement Trading with Predictable Returns
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Highlight: Modern deep reinforcement learning (DRL) offers a framework for optimizing sequential trader decisions but lacks theoretical guarantees of convergence.		 Alessio Brini; Daniele Tantari; arxiv-q-fin.PM 2021-04-29
582 Quantum Quantitative Trading: High-Frequency Statistical Arbitrage Algorithm
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Highlight: We propose quantum algorithms for high-frequency statistical arbitrage trading in this work by utilizing variable time condition number estimation and quantum linear regression.The algorithm complexity has been reduced from the classical benchmark O(N^2d) to O(sqrt(d)(kappa)^2(log(1/epsilon))^2 )).		 Xi-Ning Zhuang; Zhao-Yun Chen; Yu-Chun Wu; Guo-Ping Guo; arxiv-quant-ph 2021-04-29
583 Quantum Computational Quantitative Trading: High-frequency Statistical Arbitrage Algorithm
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Abstract: Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet. We …		 Xi-Ning Zhuang; Zhao-Yun Chen; Yuchun Wu; G. Guo; New Journal of Physics 2021-04-29
584 Information Transmission Between China’s IH and SGX FTSE A50 Stock Index Futures Markets: The Role of Trading Restrictions
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Abstract: After China’s stock market crash in 2015, the Chinese government imposed a series of trading restrictions on the stock index futures market. This paper examines how the relative …		 T. Wen; Ping Li; Yunbi An; Emerging Markets Finance and Trade 2021-04-28
585 High-frequency Trading – Regulatory and Supervisory Challenges in The Pursuit of Orderly Markets 1
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 T. Myklebust; 2021-04-02
586 A Distributed Integrated Energy Trading Solution
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Abstract: Blockchain technology can bring profound changes to the energy industry and is now becoming a new driving force for the rapid development of this sector. In order to build a …		 Jingya Dong; Chunhe Song; Zeyu Zheng; Tao Zhang; 2021 International Conference on Computer, Blockchain and … 2021-04-01
587 Machine Earning – Algorithmic Trading Strategies for Superior Growth, Outperformance and Competitive Advantage
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Abstract: In this paper we use the tools and frameworks from Oxford University’s postgraduate diploma in financial strategy to study the performance and benefits of algorithmic trading …		 N. Burgess; Chicago Booth: Becker Center on Chicago Price Theory 2021-03-29
588 A Comparative Evaluation of Predominant Deep Learning Quantified Stock Trading Strategies
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Abstract: This study first reconstructs three deep learning powered stock trading models and their associated strategies that are representative of distinct approaches to the problem and …		 Haohan Zhang; arxiv-q-fin.TR 2021-03-28
589 Intraday Trading Strategy Based on Time Series and Machine Learning for Chinese Stock Market
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Highlight: This article comes up with an intraday trading strategy under T+1 using Markowitz optimization and Multilayer Perceptron (MLP) with published stock data obtained from the Shenzhen Stock Exchange and Shanghai Stock Exchange.		 Q. Wang; Y. Zhou; J. Shen; arxiv-q-fin.TR 2021-03-24
590 The Impact of Securities Margin Trading on The Stock Market Volatility and Liquidity —— Based on The Empirical Results of Shanghai and Shenzhen Markets
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Abstract: Securities margin trading is a momentous financial innovation in China’s capital market, since formally carried out in March 2010. The intention of this policy is to enhance the …		 Li-ru Bai; Yiming Li; Proceedings of the 6th International Conference on … 2021-03-22
591 Diversity-driven Knowledge Distillation for Financial Trading Using Deep Reinforcement Learning
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 Avraam Tsantekidis; Nikolaos Passalis; Anastasios Tefas; Neural networks : the official journal of the International … 2021-03-17
592 Trading Signals In VIX Futures
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Highlight: We propose a new approach for trading VIX futures.		 M. Avellaneda; T. N. Li; A. Papanicolaou; G. Wang; arxiv-q-fin.CP 2021-03-02
593 Do Put Warrants Unwind Short‐sale Restrictions? Further Evidence from The Taiwan Stock Exchange
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Abstract: This study investigates the relationship between stock short‐selling restrictions and bearish equity warrants on the Taiwan Stock Exchange to clarify the substitutive role of put …		 Yi‐Wei Chuang; Wei‐Che Tsai; P. Weng; Chi Yin; Journal of Futures Markets 2021-03-01
594 Time Matters: Exploring The Effects of Urgency and Reaction Speed in Automated Traders
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Highlight: We consider issues of time in automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching.		 Henry Hanifan; Ben Watson; John Cartlidge; Dave Cliff; arxiv-cs.MA 2021-02-28
595 Two Robust Long Short-term Memory Frameworks for Trading Stocks
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Abstract: This paper aims to find a superior strategy for the daily trading on a portfolio of stocks for which traditional trading strategies perform poorly due to the low frequency of new …		 Dušan Fister; Matjaž Perc; Timotej Jagrič; Applied intelligence (Dordrecht, Netherlands) 2021-02-27
596 Enhancing Efficacy of Water Quality Trading with Automation: A Case Study in Virginia’s Nutrient Trading Program
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Abstract: The complexity of water quality trading (WQT) policy can lead to the promulgation of regulations that are challenging to comply with and to enforce. As a result, transaction costs …		 Linnea Saby; J. Goodall; L. Band; Benjamin D. Bowes; M. Fults; JAWRA Journal of the American Water Resources Association 2021-02-10
597 Commission Fee Is Not Enough: A Hierarchical Reinforced Framework for Portfolio Management
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Highlight: To address these issues, we propose a hierarchical reinforced stock trading system for portfolio management (HRPM).		 Rundong Wang; Hongxin Wei; Bo An; Zhouyan Feng; Jun Yao; aaai 2021-02-09
598 Universal Trading for Order Execution with Oracle Policy Distillation
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Highlight: In this paper, we propose a novel universal trading policy optimization framework to bridge the gap between the noisy yet imperfect market states and the optimal action sequences for order execution.		 YUCHEN FANG et. al. aaai 2021-02-09
599 Bertram’s Pairs Trading Strategy with Bounded Risk
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 Vladim’ir Hol’y; M. Černý; Central European Journal of Operations Research 2021-02-08
600 Bertram’s Pairs Trading Strategy with Bounded Risk
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Highlight: This model is generalized to the form where the riskiness of profit, measured by its per-time-unit volatility, is controlled (e.g. in case of existence of limits on riskiness of trading strategies imposed by regulatory bodies).		 Vladimír Holý; Michal Černý; arxiv-q-fin.MF 2021-02-08
601 Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin
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Abstract: Cryptocurrencies such as Bitcoin (BTC) have seen a surge in value in the recent past and appeared as a useful investment opportunity for traders. However, their short term …		 Iftikhar Ahmad; Muhammad Ovais Ahmad; Mohammed A Alqarni; Abdulwahab Ali Almazroi; Muhammad Imran Khan Khalil; PeerJ. Computer science 2021-02-03
602 Does Trading Activity of China’s A-Share Improve After The Inclusion of China’s A-Share in The MSCI Index?
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Abstract: This paper mainly studies whether the inclusion of China’s A-shares in the MSCI (Morgan Stanley Capital International) index improved the trading activity. Taking all China’s …		 H. Deng; Journal of Service Science and Management 2021-01-21
603 Nine Challenges in Modern Algorithmic Trading and Controls
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Highlight: In this inaugural article, we discuss nine major challenges that contemporary Algo trading faces.		 Jackie Shen; arxiv-q-fin.TR 2021-01-21
604 Deep Reinforcement Learning for Active High Frequency Trading
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Highlight: We introduce the first end-to-end Deep Reinforcement Learning (DRL) based framework for active high frequency trading in the stock market.		 Antonio Briola; Jeremy Turiel; Riccardo Marcaccioli; Alvaro Cauderan; Tomaso Aste; arxiv-cs.LG 2021-01-18
605 Is It A Great Autonomous FX Trading Strategy or You Are Just Fooling Yourself
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Highlight: In this paper, we propose a method for evaluating autonomous trading strategies that provides realistic expectations, regarding the strategy’s long-term performance.		 Murilo Sibrao Bernardini; Paulo Andre Lima de Castro; arxiv-cs.SE 2021-01-15
606 Optimal Statistical Arbitrage Trading of Berkshire Hathaway Stock and Its Replicating Portfolio
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Abstract: In this paper, we make use of the replicating asset for statistical arbitrage trading, where the replicating asset is constructed by a portfolio that mimics the returns from a …		 An-Sing Chen; Che-Ming Yang; PloS one 2021-01-15
607 Herding and Feedback Trading in Cryptocurrency Markets
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Abstract: This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, …		 Timothy King; Dimitrios Koutmos; Annals of operations research 2021-01-13
608 MODEL PENERAPAN APLIKASI “VIRTUAL TRADING” DALAM MENINGKATKAN MINAT INVESTASI MAHASISWA SEBAGAI INVESTOR PEMULA
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Abstract: The purpose of this research is to find out and analyze the ease of shares investing in the capital market through implementation of virtual trading application (simulation …		 A. Makkulau; Rusdiaman Rauf; 2021-01-09
609 Forecasting and Trading Cryptocurrencies with Machine Learning Under Changing Market Conditions
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Abstract: This study examines the predictability of three major cryptocurrencies-bitcoin, ethereum, and litecoin-and the profitability of trading strategies devised upon machine learning …		 Helder Sebastião; Pedro Godinho; Financial innovation 2021-01-06
610 Characteristics of High-Frequency Trading and Its Forecasts
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Abstract: High-frequency trading (HFT), which is a type of algorithmic trading, accounts for a significant percentage of trading volume in equity markets. Co-location, a low-latency …		 Shigeki Kohda; Kenichi Yoshida; 2021 IEEE 45th Annual Computers, Software, and Applications … 2021-01-01
611 The Determinants of Online Stock Investment in Malaysia: A Case in Early Phase of COVID-19 Pandemic
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Abstract: The purpose of this research is to determine the factors that affect the behavioral intention of Malaysians individuals to adopt online stock trading. The primary data is …		 Tan Yong-Da; Melissa Teoh Teng-Tenk; Lee Teck-Heang; South Asian Journal of Social Studies and Economics 2021-01-01
612 On The Intraday Return Curves of Bitcoin: Predictability and Trading Opportunities
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 Elie Bouri; Chi Keung Marco Lau; Tareq Saeed; Shixuan Wang; Yuqian Zhao; International Review of Financial Analysis 2021-01-01
613 A Finite Difference Scheme for Pairs Trading with Transaction Costs
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Abstract: We consider a pairs trading stochastic control problem with transaction costs and constraints on the gross market exposure, and propose a new monotone Finite Difference scheme …		 Zequn Li; Agnès Tourin; Computational Economics 2021-01-01
614 Algorithmic Trading Using Technical Indicators
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Abstract: Financial markets are volatile and dynamic. The uncertainties involved in the market and various economic factors affect the asset price. Predicting trends in asset prices and …		 Tanishq Salkar; Aditya Shinde; Neelaya Tamhankar; Narendra Bhagat; 2021 International Conference on Communication information … 2021-01-01
615 Quantified Investment Strategies and Excess Returns: Stock Price Forecasting Based on Machine Learning
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Abstract: Under frequent trading strategy, this paper assumes that rational investors will adopt a long-term conservative frequent trading strategy. By studying historical data by machine …		 Zihe Tang; Yanqi Cheng; Ziyao Wang; 2021-01-01
616 Pairs Trading with General State Space Models
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Abstract: This study examines pairs trading using a general state space model framework. It models the spread between the prices of two assets as an unobservable state variable assuming …		 Guang Zhang; Quantitative Finance 2021-01-01
617 Survey on The Application of Deep Learning in Algorithmic Trading
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Abstract: Algorithmic trading is one of the most concerned directions in financial applications. Compared with traditional trading strategies, algorithmic trading applications perform …		 Yongfeng Wang; Guofeng Yan; Data Science in Finance and Economics 2021-01-01
618 Some Results of Stock Trading Strategy Based on Fuzzy System
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 Shiyan Xu; Open Journal of Applied Sciences 2021-01-01
619 A Novel Algorithmic Trading Strategy Using Hidden Markov Model for Kalman Filtering Innovations
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Abstract: The development of algorithmic trading has been one of the most prominent trends in finance and its applications. Hidden Markov Models (HMMs) help enhance the predictive power of …		 Ethan Johnson-Skinner; You Liang; Na Yu; Alin Morariu; 2021 IEEE 45th Annual Computers, Software, and Applications … 2021-01-01
620 Predictive Ability of Similarity-based Futures Trading Strategies
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 Mi-Hsiu Chiang; Hsin-Yu Chiu; Wei-Yu Kuo; Pacific-basin Finance Journal 2021-01-01
621 An Algorithmic Multiple Trading Strategy Using Data-Driven Random Weights Innovation Volatility
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Abstract: Algorithmic trading uses a computer program that follows a defined set of instructions (an algorithm) to place a trade and can generate profits at a speed and frequency that is …		 Md. Erfanul Hoque; A. Thavaneswaran; Alex Paseka; Ruppa K. Thulasiram; 2021 IEEE 45th Annual Computers, Software, and Applications … 2021-01-01
622 Insider Trading and The Algorithmic Trading Environment
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 Millicent Chang; John Gould; Yuyun Huang; Sirimon Treepongkaruna; Joey Wenling Yang; International Review of Finance 2021-01-01
623 Algorithmic Trading Using Machine Learning and Neural Network
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 Devansh Agarwal; Richa Sheth; Narendra Shekokar; Computer Networks, Big Data and IoT 2021-01-01
624 COOPERATIVE GAME THEORY BASED PEER TO PEER ENERGY TRADING ALGORITHM
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Abstract: The energy sector is undergoing a paradigm shift to integrate the increasing volume of embedded renewable energy generation and creating local energy communities or LECs that have …		 Sweta Malik; Maeve Duffy; Subhasis Thakur; Barry Hayes; John G. Breslin; 2021-01-01
625 A Novel Hybrid Method for Direction Forecasting and Trading of Apple Futures
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 Shangkun Deng; Xiaoru Huang; Zhaohui Qin; Zhe Fu; Tianxiang Yang; Appl. Soft Comput. 2021-01-01
626 Trading Cryptocurrencies As A Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume
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Abstract: This paper examines the impact of COVID-19 lockdowns on Bitcoin trading volume. Using data from Apple mobility trends and several time-series econometric models, we find that …		 Cristian A. Pinto-Gutierrez; PSN: Exchange Rates & Currency (International) (Topic) 2021-01-01
627 Uncovering Retail Trading in Bitcoin
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Abstract: In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these …		 Anantha Divakaruni; Peter Zimmerman; Working paper (Federal Reserve Bank of Cleveland) 2021-01-01
628 Algorithmic Trading, High-frequency Trading: Implications for MiFID II and Market Abuse Regulation (MAR) in The EU
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 RABEEA SADAF et. al. SSRN Electronic Journal 2021-01-01
629 Intraday Time-series Momentum and Investor Trading Behavior
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 Olena Onishchenko; Jing Zhao; Duminda Kuruppuarachchi; Helen Roberts; Journal of Behavioral and Experimental Finance 2021-01-01
630 Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in The Natural Gas and Crude Oil Markets?
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Abstract: For fixed maturity, under the no-arbitrage assumption, futures prices should follow a martingale with respect to the trading time, at least under the pricing measure. Therefore, a …		 Christian-Oliver Ewald; Erik Haugom; Gudbrand Lien; Ståle Størdal; Yuexiang Wu; OPER: Single Decision Maker (Topic) 2021-01-01
631 EFFECT OF MACROECONOMIC FACTORS ON TRADING VOLUMES OF MANUFACTURING AND ALLIED COMPANIES LISTED IN NAIROBI SECURITIES EXCHANGE
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Abstract: Purpose: The purpose of the study was to establish the effect of macroeconomic factors on stocks trading volumes of manufacturing and allied companies listed in Nairobi Securities …		 Gabriel Chege; Stanley Kirika; International Journal of Finance and Accounting 2021-01-01
632 Research on Trading Strategy of Regulation Market of Generation Company Based on Trading Interval Decision-making Model
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Abstract: With the continuous acceleration of Yunnan electricity market reform, the trading variety of power market is increasingly abundant, and Frequency Regulation Market will be …		 Chunfeng Mu; Shuangquan Liu; Qinggui Chen; Xiangrui Liu; 2021 China International Conference on Electricity … 2021-01-01
633 High Frequency Trading and Stock Index Returns: A Nonlinear Dynamic Analysis
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 Aydin A. Cecen; Pawan Jain; Linlan Xiao; ERN: Other Econometric Modeling: International Financial … 2021-01-01
634 The Profitability of Trading Strategies Based on Historical Prices and Risk: Evidence from Thailand
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Abstract: Historical trends in share prices can be used in trading strategies to generate profits. Two such strategies are the momentum and contrarian trading strategies. The contrarian …		 Parichat SinlapatesParichat; Surachai Chancharat; International Journal of Monetary Economics and Finance 2021-01-01
635 Risk Capital Allocation Under Market Liquidity Constraints
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Abstract: We develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market risk and for predicting liquidity-adjusted VaR (L-VaR) under …		 Mazin A. M. Al Janabi; Social Science Research Network 2021-01-01
636 Market Risk Prediction Under Illiquid Market Environments: A Comparison of Alternative Modeling Techniques
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Abstract: This paper bridges the gap in trading risk management literatures, and particularly from the perspective of emerging and illiquid markets. We find that under certain trading …		 Mazin A. M. Al Janabi; Risk Management & Analysis in Financial Institutions … 2021-01-01
637 A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance
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Abstract: In the present paper, we test the benefit of using Markov-Switching models and volatility futures diversification in a Euro-based stock portfolio. With weekly data of the …		 Oscar V. De la Torre-Torres; Evaristo Galeana-Figueroa; José Álvarez-García; 2021-01-01
638 Intelligent Algorithmic Trading Strategy Using Reinforcement Learning and Directional Change
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Abstract: Designing a profitable trading strategy plays a critical role in algorithmic trading, where the algorithm can manage and execute automated trading decisions. Determining a …		 Monira Essa Aloud; Nora Alkhamees; IEEE Access 2021-01-01
639 Learning Sentiment-Aware Trading Strategies for Bitcoin Leveraging Deep Learning-Based Financial News Analysis
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 Nikolaos Passalis; S. Seficha; Avraam Tsantekidis; Anastasios Tefas; 2021-01-01
640 How Effective Is China’s Cryptocurrency Trading Ban?
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 Conghui Chen; Lanlan Liu; Finance Research Letters 2021-01-01
641 Algorithmic Trading Efficiency and Its Impact on Market-Quality
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 Ritesh Kumar Dubey; A. Sarath Babu; Rajneesh Ranjan Jha; Urvashi Varma; Asia-Pacific Financial Markets 2021-01-01
642 Bitcoin Trading in Australia: Sneaking in Under The A$10,000 Reporting Threshold
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Abstract: Bitcoin trading on an Australian Cryptocurrency Exchange using an Australian bank means that transactions of A$10,000 or more are automatically reported to AUSTRAC. This analysis, …		 Jackie Johnson; Social Science Research Network 2021-01-01
643 Analysis of The Performance of Volatility-based Trading Strategies on Scheduled News Announcement Days: An International Equity Market Perspective
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 Raquel López; Carlos Esparcia; International Review of Economics & Finance 2021-01-01
644 A Multi-layer and Multi-ensemble Stock Trader Using Deep Learning and Deep Reinforcement Learning
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Abstract: The adoption of computer-aided stock trading methods is gaining popularity in recent years, mainly because of their ability to process efficiently past information through machine …		 Salvatore Carta; Andrea Corriga; Anselmo Ferreira; Alessandro Sebastian Podda; Diego Reforgiato Recupero; Applied Intelligence 2021-01-01
645 What Happened to The Rest? A Principled Approach to Clean-Up Costs in Algorithmic Trading
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Abstract: This article proposes a practical and computationally efficient methodology to assign a value for clean-up cost, the opportunity cost associated with the cancelled portion of an …		 Petter N. Kolm; Nicholas Westray; Capital Markets: Asset Pricing & Valuation eJournal 2021-01-01
646 Uncovering Retail Trading in Bitcoin: The Impact of COVID-19 Stimulus Checks
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Abstract: In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these …		 Anantha Divakaruni; Peter Zimmerman; 2021-01-01
647 Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, and Regulatory Challenges
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 Robert Zupko; The Social Science Journal 2021-01-01
648 A Novel Synergetic LSTM-GA Stock Trading Suggestion System in Internet of Things
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Abstract: The Internet of Things (IoT) play an important role in the financial sector in recent decades since several stock prediction models can be performed accurately according to …		 Jimmy Ming-Tai Wu; Lingyun Sun; Gautam Srivastava; Chun-Wei Lin; Mob. Inf. Syst. 2021-01-01
649 The Effect Of Stock Price, Share Return, Share Trading Volume, And Return Variant On Bid-Ask Spread On Textile And Garment Companies Listed On The Indonesia Stock Exchange, 2019-2020
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Abstract: This study aims to obtain empirical evidence of the effect of Stock Price, Stock Return, Stock Trading Volume, and Return Variant on the Bid-Ask Spread of Stocks in Textile and …		 Heny Sidanti; Annisa Istikhomah; International Journal of Science, Technology & Management 2021-01-01
650 Discontinued Positive Feedback Trading and The Decline of Momentum Profitability
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Abstract: We present evidence that equity momentum strategies are partially driven by positive-feedback trading intermediated via the mutual fund sector. We identify a U.S.-specific …		 Itzhak Ben-David; Jiacui Li; Andrea Rossi; Yang Song; S&P Global Market Intelligence Research Paper Series 2021-01-01
651 Improving Pairs Trading Strategies Via Reinforcement Learning
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Abstract: There has been a growing interest in applying reinforcement learning (RL) to financial trading problems. One particular interesting problem is pairs trading, which is a …		 Cheng Wang; Patrik Sandås; Peter Beling; 2021 International Conference on Applied Artificial … 2021-01-01
652 I Feel The Need for Speed: Exploiting Latest Generation FPGAs in Providing New Capabilities for High Frequency Trading
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Abstract: ACM Reference Format: Mark Klaisoongnoen, Nick Brown, and Oliver Brown. 2021. I feel the need for speed: Exploiting latest generation FPGAs in providing new capabilities for high …		 Mark Klaisoongnoen; Nick Brown; Oliver Brown; Proceedings of the 11th International Symposium on Highly … 2021-01-01
653 A Multi-Strategic Approach to Automated Trading
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Abstract: Modern Computing methods have resulted in a shift of interest in the trading world; from the traditional ways to a more quantitative outlook. With these methods readily available, …		 Pranit Mahajan; Yagnesh Salian; Vinayak Jadhav; Sujata Kulkarni; 2021 International Conference on Communication information … 2021-01-01
654 Strategic Trading with Information Acquisition and Long-Memory Stochastic Liquidity
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 Jinhui Han; Guiyuan Ma; Adrian Kennedy; Journal of Economic Dynamics & Control 2021-01-01
655 Practical Algorithmic Trading Using State Representation Learning and Imitative Reinforcement Learning
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Abstract: Algorithmic trading allows investors to avoid emotional and irrational trading decisions and helps them make profits using modern computer technology. In recent years, …		 Deog-Yeong Park; Ki-Hoon Lee; IEEE Access 2021-01-01
656 Developing A Simulated Microcosm of A Contemporary Betting Exchange for The Discovery of Transferable and Profitable Algorithmic Betting Strategies
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Abstract: Since the dotcom boom of the early 2000s the betting industry has been transformed by the rise of betting exchanges, from a market dominated solely by traditional bookmakers, to …		 James Keen; SSRN Electronic Journal 2021-01-01
657 Quantifying The High-Frequency Trading Arms Race
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 Matteo Aquilina; Eric B. Budish; Peter O’Neill; SSRN Electronic Journal 2021-01-01
658 The Features of Building A Portfolio of Trading Strategies Using The SAS OPTMODEL Procedure
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Abstract: The article describes the original information technology of the algorithmic trading, designed to solve the problem of forming the optimal portfolio of trade strategies. The …		 Oleksandr Terentiev; Tetyana Prosiankina-Zharova; Volodymyr Savastiyanov; Valerii Lakhno; Vira Kolmakova; Comput. 2021-01-01
659 Intelligent Portfolio Theory and Application in Stock Investment with Multi-Factor Models and Trend Following Trading Strategies
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 Heping Pan; Manxiao Long; Procedia Computer Science 2021-01-01
660 Dynamic Portfolio Choice and Information Trading with Recursive Utility
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 Xingjiang Chen; Xinfeng Ruan; Wenjun Zhang; Economic Modelling 2021-01-01
661 Adversarial Attacks Against Reinforcement Learning-Based Portfolio Management Strategy
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Abstract: Many researchers have incorporated deep neural networks (DNNs) with reinforcement learning (RL) in automatic trading systems. However, such methods result in complicated …		 Yu-Ying Chen; Chiao-Ting Chen; Chuan-Yun Sang; Yao-Chun Yang; Szu-Hao Huang; IEEE Access 2021-01-01
662 The Joint Impact of Fragmentation Into The Dark and Algorithmic Trading on Implicit Trading Costs and Market Manipulation
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 Michael Aitken; Drew Harris; Frederick Harris; The Journal of Investing 2021-01-01
663 Generating and Optimizing Human-Readable Quantitative Program Trading Strategies Through A Genetic Programming Framework
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 Bin Teng; Yufeng Shi; Xin Wang; Yunchuan Sun; Procedia Computer Science 2021-01-01
664 US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks
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Abstract: We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US …		 Olga Dodd; Bart Frijns; Ivan Indriawan; Roberto Pascual; Capital Markets: Market Microstructure eJournal 2021-01-01
665 A Parallel Multi-module Deep Reinforcement Learning Algorithm for Stock Trading
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 Cong Ma; Jiangshe Zhang; Junmin Liu; Lizhen Ji; Fei Gao; Neurocomputing 2021-01-01
666 Uang Virtual (Cryptocurrency) Sebagai Sarana Tindak Pidana Pencucian Uang Dalam Perdagangan Saham
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Abstract: The continuation of the electronic media that is widely discussed today is virtual money, commonly known as cryptocurrency. Cryptocurrency can also be referred to as an unformed …		 Dewanti Arya Maha Rani; I Nyoman Gede Sugiartha; Ni Made Sukaryati Karma; 2021-01-01
667 Concept for Automated Energy Trading in MV and LV Electrical Distribution Grids Based on Approximated Supply Function Equilibrium
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Abstract: The introduction of new technologies and local energy trading concepts in distribution grids are on a rise. However, even though significant progress is being made, there is no …		 Perica Ilak; Lin Herenčić; Helena Benković; Ivan Rajšl; IEEE EUROCON 2021 – 19th International Conference on Smart … 2021-01-01
668 Ensembling and Dynamic Asset Selection for Risk-Controlled Statistical Arbitrage
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Abstract: In recent years, machine learning algorithms have been successfully employed to leverage the potential of identifying hidden patterns of financial market behavior and, …		 Salvatore M. Carta; Sergio Consoli; Alessandro Sebastian Podda; Diego Reforgiato Recupero; Maria Madalina Stanciu; IEEE Access 2021-01-01
669 An Intelligent Trading Mechanism Based on The Group Trading Strategy Portfolio to Reduce Massive Loss By The Grouping Genetic Algorithm
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Abstract: It is always difficult and challenge to obtain suitable trading signals for the desired securities in financial markets. The popular way to deal with it is through the use of …		 Chun-Hao Chen; Yu-Hsuan Chen; Vicente Garcia Diaz; Jerry Chun-Wei Lin; Electronic Commerce Research 2021-01-01
670 Stock-Trading Simulations As A Resource for Management Instructors
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Abstract: This article reviews stock-trading simulations as a resource for use in management courses. Stock-trading simulations have three highly desirable qualities for educators: (1) they …		 Jason R. Pierce; Management Teaching Review 2021-01-01
671 The Determinants of Positive Feedback Trading Behaviors in Bitcoin Markets
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 Jying-Nan Wang; Yen-Hsien Lee; Hung-Chun Liu; Ming-Chih Lee; Finance Research Letters 2021-01-01
672 Algorithms Put to Test: Control of Algorithms in Securities Trading Through Mandatory Market Simulations?
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Abstract: In the European Union, the algorithmic trading regime introduced by MiFID II requires firms to test and simulate their algorithms before deploying them on the market. While there …		 Patrick Raschner; Social Science Research Network 2021-01-01
673 Machine Learning Predictions of Credit and Equity Risk Premia
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Abstract: The emergence of algorithmic high-frequency trading in the market for credit risk affords accurate inference of new risk measures. When combined with machine learning predictive …		 Arben Kita; Econometric Modeling: Capital Markets – Risk eJournal 2021-01-01
674 Multi-asset Scenario Building for Trend-following Trading Strategies
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Abstract: This paper presents a new method for improving the performance of trend-following trading strategies. This new approach improves the inherent problem of trend-following …		 Andreas Thomann; Ann. Oper. Res. 2021-01-01
675 Algorithmic Trading Methods
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 2021-01-01
676 Crash-based Quantitative Trading Strategies: Perspective of Behavioral Finance
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 Yan Fang; Jie Yuan; J. Jimmy Yang; Shangjun Ying; Finance Research Letters 2021-01-01
677 Pengaruh Volume Perdagangan Saham, Frekuensi Perdagangan Saham Dan Kapitalisasi Pasar Terhadap Harga Saham
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Abstract: Abstract. This study was conducted to analyze volume of stockt trading,ferecueny of  stock trading and market capitalization and their effect on stock prices. In this study, the …		 Siska Dwiyanti Wahyudin; Handri Handri; Lasmanah Lasmanah; 2021-01-01
678 TradeZilla Using Algorithmic Trading
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Abstract: As everything in the future is getting automated and the stock market which is a very important part of the economic engine, which keeps a big part of globalization moving, needs …		 Dheeraj Othalasseril; Sana Shaikh; 2021 IEEE India Council International Subsections … 2021-01-01
679 Machine Learning and Speed in High-Frequency Trading
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 Jasmina Arifovic; Xuezhong He; Lijian Wei; Journal of Economic Dynamics & Control 2021-01-01
680 Impact of Real-World Market Conditions on Returns of Deep Learning Based Trading Strategies
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Abstract: Based on recent advancements in natural language processing, computer vision and robotics, a growing number of researchers and traders attempt to predict future asset prices using …		 Mirko Corletto; Matthias Kissel; Klaus Diepold; 2021 International Conference on Electrical, Computer, … 2021-01-01
681 Efek Pemilu Presiden Terhadap Volume Perdagangan Saham Di Pasar Modal Indonesia
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Abstract: The “reason for this research is to see the average difference of stock trading volume activity after and before the implementation of the Presidential Election. This research …		 Citra Puspa Permata; Muhammad Abdul Ghoni; Disclosure: Journal of Accounting and Finance 2021-01-01
682 The Impact of Algorithmic Trading on Liquidity in Futures Markets: New Insights Into The Resiliency of Spreads and Depth
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 Alex Frino; Dionigi Gerace; Masud Behnia; Journal of Futures Markets 2021-01-01
683 Rational Quantitative Trading in Efficient Markets
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 Stefano Rossi; Katrin Tinn; J. Econ. Theory 2021-01-01
684 Price-Bands: A Technical Tool for Stock Trading
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Abstract: Given a stochastic process with known finite dimensional distributions, we construct lower and upper bounds within which future values of the stochastic process run, at a fixed …		 Jinwook Lee; Joonhee Lee; András Prékopa; 2021-01-01
685 IS BITCOIN IMMUNE TO THE COVID-19 PANDEMIC?
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Abstract: This study examines how Bitcoin’s trading characteristics react to the COVID-19 pandemic, using detailed futures trading data from the Chicago Mercantile Exchange. The results …		 S. Thomas Kim; Svetlana Orlova; Applied Finance Letters 2021-01-01
686 An Intelligent Quantitative Trading System Based on Intuitionistic-GRU Fuzzy Neural Networks
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 Yuan Wang; Chao Luo; Appl. Soft Comput. 2021-01-01
687 Applying Technical Trading Rules to Beat Long-Term Investing: Evidence from Asian Markets
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Abstract: We provide evidence that the use of technical trading rules provides traders the opportunity to generate profits from actively buying and selling individual stocks across Asian …		 Thomas S. Coe; Kittipong Laosethakul; Asia-pacific Financial Markets 2021-01-01
688 Implied Volatility Forecast and Option Trading Strategy
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 Dehong Liu; Yucong Liang; Lili Zhang; Peter Lung; Rizwan Ullah; International Review of Economics & Finance 2021-01-01
689 A Stock Index Prediction Method and Trading Strategy Based on The Combination of Lasso-Grid Search-Random Forest
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 Shaozhen Chen; Hui Zhu; Wenxuan Liang; Liang Yuan; Xianhua Wei; 2021-01-01
690 Ensemble Classifier for Stock Trading Recommendation
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 Chukiat Worasucheep; Applied Artificial Intelligence 2021-01-01
691 Algorithmic Trading Using Trend Following Strategy: Evidence from Indian Information Technology Stocks
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 Molla Ramizur Rahman; Data Science and Data Analytics 2021-01-01
692 Peer Review #2 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.2)
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 2021-01-01
693 The Profitability of Trading Strategies from Sharia-compliant and Conventional Banks in The GCC: A Comparative Study
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Abstract: Purpose The purpose of this research was to examine the effectiveness of filter rules and investigate the weak form of the efficient market hypothesis (EMH) on sample shares of …		 Hesham I. Almujamed; Journal of Investment Compliance 2021-01-01
694 Peer Review #1 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.2)
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 2021-01-01
695 Overview of The Software Complex for High-Frequency Exchange Trading on The Stock Market
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Abstract: A computational complex for processing large volumes of data generated on exchanges in high-frequency mode is described. Procedures for conducting exchange trades, strategies for …		 Igor Gasanov; Anton Ereshko; 2021 14th International Conference Management of … 2021-01-01
696 Does High-Frequency Trading Impede Order Execution in The Stock Market?
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 Kun Li; Procedia Computer Science 2021-01-01
697 A Cooperative Dynamic Approach to Pairs Trading
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Abstract: Based on recent works on stocks comovement, Pairs Trading’s strategy is enhanced by reducing the stock universe to the stocks with the lower volatility on a given date. From this …		 J. P. Ramos-Requena; M. N. López-García; M. A. Sánchez-Granero; J. E. Trinidad-Segovia; Complexity 2021-01-01
698 High Frequency and Dynamic Pairs Trading with Ant Colony Optimization
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Abstract: In recent years, there has been an explosion of research in metaheuristics, which provides efficient solutions that are close to optimal with lower computing times. Applying …		 José Cerda; Nicolás Rojas-Morales; Marcel C. Minutolo; Werner Kristjanpoller; Computational Economics 2021-01-01
699 AN ALGORITHMIC TRADING APPLICATION IN CRYPTO EXCHANGE
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 Ayser AYDIN; JOURNAL OF ACADEMIC SOCIAL RESOURCES 2021-01-01
700 Dark Pool Trading and Information Acquisition
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Abstract: Theory suggests that dark pools may facilitate or discourage information acquisition. We find that more dark pool trading leads to greater information acquisition. We measure …		 Jonathan Brogaard; Jing Pan; The Review of Financial Studies 2021-01-01
701 Design of Simulated Stock Forecasting Trading System Based on Time Series
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Abstract: The stock market is a highly complex nonlinear dynamic system. The stock price involves many uncertain factors. The influencing factors of the stock market are very complex and …		 Mingchen Zhang; 2021 IEEE 4th International Conference on Information … 2021-01-01
702 Pairs Trading: Is It Applicable to Exchange-traded Funds?
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 Ekin Tokat; Ahmet Cevdet Hayrullahoğlu; Borsa Istanbul Review 2021-01-01
703 Policy Gradient Learners in Trading Agricultural ETFs
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Abstract: This paper analyzes the use of Reinforcement Learning in trading Agricultural ETFs. The first section of the paper examines the performance of using a naive trading strategy to be …		 Alexander Fleiss; Vishal Dhileepan; Rohan Mehta; Zoe Wang; Corina Perez-Cobb; Social Science Research Network 2021-01-01
704 Modifying ORB Trading Strategies Using Particle Swarm Optimization and Multi-objective Optimization
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Abstract: Opening range breakout (ORB) is a well-known trading strategy in which predetermined price thresholds are used to characterize price movements. However, some researchers have …		 Jia-Hao Syu; Mu-En Wu; Journal of Ambient Intelligence and Humanized Computing 2021-01-01
705 Predict High-frequency Trading Marker Via Manifold Learning
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 HENRY HAN et. al. Knowl. Based Syst. 2021-01-01
706 Algorithmic Trading Regulation: The Frameworks for Human Supervision and Direct Market Interventions
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Abstract: This paper examines the regulation of algorithmic trading in the capital markets and focuses on the human supervision and director market interventions. We compare the regulation …		 Joseph Lee; Lukas Schu; Legal Perspectives in Information Systems eJournal 2021-01-01
707 THE EFFECT OF CAPITAL GAIN AND DIVISION OF DIVIDENDS ON SHARE TRADING VOLUME IN PT. UNILEVER INDONESIA Tbk
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Abstract: This study aims to determine, understand, and analyze the effect of capital gains and dividends on the volume of stock trading at PT. Unilever Indonesia tbk. the population in …		 Anggi Aladini; Nafisah Nurulrahmatia; 2021-01-01
708 Optimal VWAP Strategies Under Regime Switching
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Abstract: In this paper, we analyze the problem of trading a large position in the market place when the stock price dynamic follows a regime switching process. In this work, we are …		 Moustapha Pemy; 2021 55th Annual Conference on Information Sciences and … 2021-01-01
709 Algorithmic Finance: Algorithmic Trading Across Speculative Time-Spaces
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 Thomas Skou Grindsted; Annals of the American Association of Geographers 2021-01-01
710 Design of Optimized Trading Strategies with Web Assembly
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Abstract: Web Assembly is growing and also the most widely studied area which interests many developers when it comes to performance and speed to make web development fast as ever. When it …		 Shubham R Rahate; International Journal for Research in Applied Science and … 2021-01-01
711 Novel Deep Reinforcement Algorithm With Adaptive Sampling Strategy for Continuous Portfolio Optimization
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Abstract: Quantitative trading targets favorable returns by determining patterns in historical data through statistical or mathematical approaches. With advances in artificial intelligence, …		 Szu-Hao Huang; Yu-Hsiang Miao; Yi-Ting Hsiao; IEEE Access 2021-01-01
712 Does Gender and Family Income Impact Stock Trading of B-School Students? Findings from A Stock Simulation Exercise
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Abstract: Educators across the globe utilize online stock market simulation games to introduce students to trading in the stock market. The primary objective of the simulation exercise is …		 Nisha Prakash; Subburaj Alagarsamy; Vision: The Journal of Business Perspective 2021-01-01
713 Principles of Multitrading
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Abstract: Modern software and hardware tools provide unprecedented freedom for a variety of activities in the forex markets, from trading to analyzing the feasibility of models of nonlinear …		 Феликс Освальдович Каспаринский; Russian Digital Libraries Journal 2021-01-01
714 Research on Stock Market Analysis Based on Deep Learning
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Abstract: Quantitative trading can analyze financial data with its mathematical models and artificial intelligence models, and conduct transactions through computer programs to maximize …		 Allam Maalla; Chong Yao Zhuang; Qin Hui Feng; Lu Shen; 2021 IEEE 4th Advanced Information Management, … 2021-01-01
715 Designing Strategies for Autonomous Stock Trading Agents Using A Random Forest Approach
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Abstract: Machine learning-based autonomous agents are valuable for back-testing stock trading strategies, including algorithmic trading. Several studies in the financial literature have …		 Monira Aloud; 2021-01-01
716 LASSO-based High-frequency Return Predictors for Profitable Bitcoin Investment
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Abstract: This article explores the Bitcoin return predictability of variables constructed from one-minute high-frequency Bitcoin trading data. During the training period of 2012–2018, …		 Weige Huang; Xiang Gao; Applied Economics Letters 2021-01-01
717 A SPEA-Based Group Trading Strategy Portfolio Optimization Algorithm
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 Chun-Hao Chen; Chong-You Ye; Yeong-Chyi Lee; Tzung-Pei Hong; 2021-01-01
718 A New Hybrid VMD-ICSS-BiGRU Approach for Gold Futures Price Forecasting and Algorithmic Trading
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 Yuze Li; Shouyang Wang; Yunjie Wei; Qing Zhu; IEEE Transactions on Computational Social Systems 2021-01-01
719 A Study on High-frequency Trading, Technology and Regulations in India
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 Rajan Lakshmi; Vedala Naga Sailaja; International Journal of Financial Services Management 2021-01-01
720 DERIVATIVE MARKETS-USING OPTIONS TRADING STRATEGY IN MONGOLIAN STOCK MARKET
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Abstract: This study identifies some opportunities to introduce derivative instruments based on the practical experience of other countries, and provides some estimates of the …		 Davaadalai Darkhabaatar; 2021-01-01
721 Dynamic Time Warping: S&P 500 Sector ETF Pattern Matching Trading Strategy
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Abstract: The authors examine an optimized Markowitz efficient portfolio by applying a quantitative trading strategy to the S&P 500 sector exchanged-traded funds (ETFs). First, they …		 Alexander Fleiss; Che Liu; Gihyen Eom; Serena Yu; Wo Zhang; 2021-01-01
722 Two Shades of Opacity: Hidden Orders and Dark Trading
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 Hans Degryse; Nikolaos Karagiannis; Geoffrey Tombeur; Gunther Wuyts; Journal of Financial Intermediation 2021-01-01
723 Sustainable Development of The Business Debt Trading Market in Vietnam: A View of Vietnam Debt and Asset Trading Corporation
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Abstract: Along with production and business activities, debt is also a major concern of Vietnamese businesses. Debt can help businesses do business better, but it can also make businesses …		 Hong Nhung Do; Thi Dieu Huong Tran; 2021-01-01
724 Oil Price Volatility Forecasts: What Do Investors Need to Know?
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 Stavros Degiannakis; George Filis; Journal of International Money and Finance 2021-01-01
725 Uncovering Retail Trading in Bitcoin: The Impact of COVID-19 Stimulus Checks
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Abstract: In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these …		 Peter Zimmerman; Anantha Divakaruni; Law & Economics eJournal 2021-01-01
726 THE IMPACT OF INDONESIAN PRESIDENTIAL ELECTION THE 2019 ON ABNORMAL RETURN AND STOCK TRADING VOLUME ACTIVITY ON IDX (EMPIRIST EVENT STUDY ON STOCK LISTED IN THE LQ 45 INDEX IN 2019)
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Abstract: Political events can affect stock prices in economic or non-economic terms. The political events of the general election are quite interesting topics for testing the information …		 Ahmad Amrulah Arif; Sudjono Sudjono; 2021-01-01
727 FinRL-Podracer: High Performance and Scalable Deep Reinforcement Learning for Quantitative Finance
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Abstract: Machine learning techniques are playing more and more important roles in finance market investment. However, finance quantitative modeling with conventional supervised learning …		 ZECHU LI et. al. ArXiv 2021-01-01
728 Algorithmic Trading and Firm Value
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 Brian C. Hatch; Shane A. Johnson; Qin Emma Wang; Jun Zhang; Journal of Banking and Finance 2021-01-01
729 Stock Trading Via Feedback Control Methods
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 B. Ross Barmish; James A. Primbs; Encyclopedia of Systems and Control 2021-01-01
730 Spot Trading Strategy Considering Multiple Constraints for Electricity Retailers
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Abstract: In order to solve the inert trading and irrational trading of electricity retailers in the spot market trading environment, increase the income of electricity retailers and reduce …		 Guang Zhou; Yulong Jin; Kang Chen; ZhiCheng Zhou; IOP Conference Series: Earth and Environmental Science 2021-01-01
731 Breaking VIX at Open: Evidence of Uncertainty Creation and Resolution
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 Jingjing Chen; George J. Jiang; Chaowen Yuan; Dongming Zhu; ERN: Other Econometric Modeling: Derivatives (Topic) 2021-01-01
732 High-frequency Electricity Trading: Empirics, Fundamentals, and Stochastics
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Abstract: In the wake of the continuous digital transformation and the rapid increase in the amount of available data, trading on financial markets takes place at ever higher frequencies. …		 Marcel Kremer; 2021-01-01
733 Who Profits From Trading Options?
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Abstract: We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. We find that retail investors in particular favor a consistent …		 Jianfeng Hu; Antonia Kirilova; Seongkyu Park; Doojin Ryu; SSRN Electronic Journal 2021-01-01
734 Building Intelligent Moving Average-Based Stock Trading System Using Metaheuristic Algorithms
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Abstract: Many studies have been proposed to prove that technical analysis can help investors make trading decisions. The moving average (MA) is a widely used technical indicator that plays …		 Shu-Yu Kuo; Yao-Hsin Chou; IEEE Access 2021-01-01
735 Trading Decision Making Based on Hybrid Neural Network
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Abstract: Now, with the dominance of electronic stock trading, it is possible to find and make profit from the price difference in real time. Machine learning has been applied in stock …		 Wu Haotian; 2021 6th International Conference on Intelligent Computing … 2021-01-01
736 Online Financial Trading Among Young Adults: Integrating The Theory of Planned Behavior, Technology Acceptance Model, and Theory of Flow
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Abstract: This paper aims to examine the mechanism that explains young consumers’ intention to perform online financial trading by integrating technology acceptance model, flow model, and …		 Saeed Pahlevan Sharif; Navaz Naghavi; International Journal of Human–Computer Interaction 2021-01-01
737 The Relation Between Trading Volume Concentration and Stock Returns
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Abstract: The Taiwan Stock Exchange discloses data on daily trading volume across brokerage firms for each listed stock. Market practitioners suggest that the concentration of trading …		 Chen-Chang Lo; Yaling Lin; Jiann-Lin Kuo; Yi Ting Wen; International Journal of Economics and Financial Research 2021-01-01
738 A Q-learning Agent for Automated Trading in Equity Stock Markets
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 Jagdish Chakole; Mugdha S. Kolhe; Grishma D. Mahapurush; Anushka Yadav; Manish P. Kurhekar; Expert Syst. Appl. 2021-01-01
739 Bargaining Strategies in Bilateral Electricity Trading Based on Fuzzy Bayesian Learning
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 Zuo Yi; Zhao Xin-gang; Zhang Yu-zhuo; International Journal of Electrical Power & Energy Systems 2021-01-01
740 A Study on High Frequency Trading: Technology and Regulations in India
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 Vedala Naga Sailaja; Rajan Lakshmi Amirapu; International Journal of Financial Services Management 2021-01-01
741 Market Impact Decay and Capacity
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Abstract: Recent studies have documented that market impact decays slowly through time. We study the impact of such slow decay on trading strategies’ capacity. To do so, we propose a …		 Hector Chan; PSN: Other International Political Economy: Investment & … 2021-01-01
742 Applying Deep Reinforcement Learning in Automated Stock Trading
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 Hieu Trung Nguyen; Ngoc Hoang Luong; 2021-01-01
743 Transferring Trading Strategy Knowledge to Deep Learning Models
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Abstract: Trading strategies are constantly being employed in the financial markets in order to increase consistency, reduce human errors of judgment and boost the probability of taking …		 Avraam Tsantekidis; Anastasios Tefas; Knowledge and Information Systems 2021-01-01
744 Time Weighted Price Contribution
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 Hossein Jahanshahloo; Laima Spokeviciute; Finance Research Letters 2021-01-01
745 Research on Financial Data Analysis Based on Applied Deep Learning in Quantitative Trading
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Abstract: This research aiming at the situation of traditional quantitative trading that cannot be effectively identified in the case of major stock fluctuations, a shock index is designed …		 Allam Maalla; ChongYao Zhuang; QinHui Feng; 2021 IEEE 4th Advanced Information Management, … 2021-01-01
746 When and How Are Rule 10b5-1 Plans Used for Insider Stock Sales?
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Abstract: We study Securities and Exchange Commission (SEC) Rule 10b5-1 stock trading plans. The empirical evidence shows that firm, transaction, and CEO compensation characteristics are …		 Eliezer M. Fich; Robert Parrino; Anh L. Tran; Corporate Governance & Finance eJournal 2021-01-01
747 The Analysis of Some Trading Strategy on The Stock Market with The Liquidity Shortage
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 EUROPEAN RESEARCH STUDIES JOURNAL 2021-01-01
748 Introduction to Financial Markets and Algorithmic Trading
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Abstract: This is the initial chapter of a book that presents algorithmic trading. This chapter carefully covers the foreign exchange (FX) market and the stock market. It explores how we …		 Tshepo Chris Nokeri; 2021-01-01
749 Common Dynamic Factors for Cryptocurrencies and Multiple Pair-trading Statistical Arbitrages
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Abstract: In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset …		 Gianna Figá-Talamanca; Sergio Focardi; Marco Patacca; Decisions in Economics and Finance 2021-01-01
750 FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance
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Abstract: Deep reinforcement learning (DRL) has been envisioned to have a competitive edge in quantitative finance. However, there is a steep development curve for quantitative traders to …		 Xiao-Yang Liu; Hongyang Yang; Jiechao Gao; Christina Wang; ArXiv 2021-01-01
751 Transactions of The National Pension Service of Korea in The KOSPI200 Futures Market
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Abstract: It is known that the National Pension Service (NPS) of Korea contributes to the market stability because it tends to pursue the negative feedback trading strategy in the Korean …		 Meong Ae Kim; Mincheol Woo; Journal of Derivatives and Quantitative Studies: 선물연구 2021-01-01
752 Trading Frictions and The Post-Earnings-Announcement Drift
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Abstract: We use laboratory experiments to analyze how the existence of trading frictions (a transaction fee and a ban on short selling and margin buying) affects occurrence and strength of …		 Josef Fink; Stefan Palan; Erik Theissen; Behavioral & Experimental Accounting eJournal 2021-01-01
753 News and Intraday Retail Investor Order Flow in Foreign Exchange Markets
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Abstract: This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and …		 Filia Kaourma; Andreas Milidonis; George Nishiotis; Marios A. Panayides; FEN: Behavioral Finance (Topic) 2021-01-01
754 Algorithmic Trading for A Buy-sell Platform: Study and Comparison
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Abstract: With the high-paced change in the world, the market trends are changing fast and so do the technological innovations. The market is constantly moving and being affected by a …		 Aishwarya Sakhare; Nihar Mhaskar; Vicky Mishra; Madhuri Chavan; ITM Web of Conferences 2021-01-01
755 Stochastic Optimization of Trading Strategies in Sequential Electricity Markets
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Abstract: Quantity and price risks determine key uncertainties market participants face in electricity markets with increased volatility, for instance due to high shares of renewables. In …		 Emil Kraft; Marianna Russo; Dogan Keles; Valentin Bertsch; Research Papers in Economics 2021-01-01
756 Algorithmic Trading Bot
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Abstract: Algorithmic trading uses algorithms that follow a trend and defined set of instructions to perform a trade. The trade can generate revenue at an inhuman and enhanced speed and …		 Medha Mathur; Satyam Mhadalekar; Sahil Mhatre; Vanita Mane; ITM Web of Conferences 2021-01-01
757 Intraday Volatility Smile: Effects of Fragmentation and High Frequency Trading on Price Efficiency
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 Stephanie Ligot; Roland Gillet; Iryna Veryzhenko; Journal of International Financial Markets, Institutions … 2021-01-01
758 Robust Energy Trading for Interconnected Microgrids Under Uncertain Electricity Price
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Abstract: This paper studies the energy trading between the interconnected microgrid, considering the uncertain electricity price of the microgrid and main grid for energy trading, we …		 Hengdu Hu; Bing Wang; Shiqin Yang; 2021 40th Chinese Control Conference (CCC) 2021-01-01
759 Peer-to-peer Trading Optimizations on Net-zero Energy Communities with Energy Storage of Hydrogen and Battery Vehicles
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 Jia Liu; Hongxing Yang; Yuekuan Zhou; Applied Energy 2021-01-01
760 A Comparative Study of Deep Learning Techniques for Financial Indices Prediction
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Abstract: Automated trading is an approach to investing whereby market predictions are combined with algorithmic decision-making strategies for the purpose of generating high returns while …		 ARGYRIOS P. KETSETSIS et. al. 2021-01-01
761 Blockchain-Enhanced Fair and Efficient Energy Trading in Industrial Internet of Things
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Abstract: As the technical support of the industrial Internet of Things, blockchain technology has been widely used in energy trading, data transactions, and Internet of Vehicles. However, …		 JIANWEN HU et. al. Mobile Information Systems 2021-01-01
762 Customizable and Committee Data Mining Framework for Stock Trading
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 Hui-Chih Hung; Yu-Jen Chuang; Muh-Cherng Wu; Appl. Soft Comput. 2021-01-01
763 A Brief Review of Responsible AI and Socially Responsible Investment in Financial and Stock Trading
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Abstract: Automated trading is used in most of the major markets of our world. In order to ensure sustainable development, incorporating ethical and socially responsible ideas while …		 A. K. M. AMANAT ULLAH et. al. 2021-01-01
764 Pairs Trading Via Unsupervised Learning
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Abstract: This paper develops a pairs trading strategy via unsupervised learning. Unlike conventional pairs trading strategies that identify pairs based on return time series, we identify …		 Chulwoo Han; Zhaodong He; Alenson Jun Wei Toh; DecisionSciRN: Investment Decision-Making (Topic) 2021-01-01
765 Trading on Online Social Mood: A Machine Learning Strategy Based on Twitter Sentiment
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Abstract: This paper examines the potential of using online social sentiment data in algorithmic trading strategies. Several machine learning models are tested to produce a trading signal …		 Chengying He; Mason Lin; Ning Wang; International Journal of Financial Engineering 2021-01-01
766 Accountability Mechanisms in The Governance of High-frequency Trading Under MiFID II
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 J. Karremans; Regulating Finance in Europe 2021-01-01
767 A Synchronous Deep Reinforcement Learning Model for Automated Multi-stock Trading
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Abstract: Automated trading is one of the research areas that has benefited from the recent success of deep reinforcement learning (DRL) in solving complex decision-making problems. Despite …		 Rasha AbdelKawy; Walid M. Abdelmoez; Amin Shoukry; Progress in Artificial Intelligence 2021-01-01
768 The Profitability of Pair Trading Strategy in Stock Markets: Evidence from Toronto Stock Exchange
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Abstract: Market practitioners and speculators attempt to make benefits from the existence of market price gaps and profit opportunities by arbitrage strategies Although some investors …		 GholamReza Keshavarz Haddad; Hassan Talebi; International Journal of Finance & Economics 2021-01-01
769 Parallelizing High-Frequency Trading Using GPGPU
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Abstract: The world of trading and market has evolved greatly. With the aid of technology, traders and trading establishments use trading platforms to perform various transactions. They are …		 Aditya Anil; Ashwin Sudha Arun; Lalitha Ramchandar; A. Balasundaram; National Academy Science Letters 2021-01-01
770 An Intelligent Hybrid System for Forecasting Stock and Forex Trading Signals Using Optimized Recurrent FLANN and Case-Based Reasoning
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Abstract: An accurate prediction of future stockmarket trends is a bit challenging as it requires a profound understanding of stock technical indicators, including market-dominant factors …		 D. K. Bebarta; T. K. Das; Chiranji Lal Chowdhary; Xiao-Zhi Gao; Int. J. Comput. Intell. Syst. 2021-01-01
771 Intraday Interactions Between High-frequency Trading and Price Efficiency
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 Imen Ben Ammar; Slaheddine Hellara; Finance Research Letters 2021-01-01
772 Volatility Timing, Sentiment, and The Short-term Profitability of VIX-based Cross-sectional Trading Strategies
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 Wenjie Ding; Khelifa Mazouz; Qingwei Wang; Journal of Empirical Finance 2021-01-01
773 Diverse Distributed Renewable Energy Trading Paradigms: A Business Model Review
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Abstract: There are diverse distributed Renewable Energy (RE) trading business models (BM) which enable consumer-prosumer/generator energy trading; however, their efficiency and …		 M. A. C. L. Gunarathna; R. J. Yang; A. Song; Journal of Environmental Planning and Management 2021-01-01
774 Algo-Trading Using Statistical Learning and Optimizing Sharpe Ratio and Drawdown
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Abstract: Modernization in computers and Machine Learning have created new opportunities for improving the methods involved in trading, Changes have been noticed parallelly at the level of …		 Penumatcha Bharath Varma; Dr. Jaypal Medida; Neeraj Kasheety; Hanumanula Sravya; Chinthapalli Amarnath Reddy; International Journal of Recent Technology and Engineering … 2021-01-01
775 When Machines Trade on Corporate Disclosures: Using Text Analytics for Investment Strategies
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Abstract: In this study, we evaluate several trading strategies based on the textual content of corporate disclosures using machine learning. To obtain a conservative estimate of …		 Hans Christian Schmitz; Bernhard Lutz; Dominik Wolff; Dirk Neumann; Accounting Technology & Information Systems eJournal 2021-01-01
776 Bitcoin Transaction Strategy Construction Based on Deep Reinforcement Learning
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 Fengrui Liu; Yang Li; Baitong Li; Jiaxin Li; Huiyang Xie; Applied Soft Computing 2021-01-01
777 Global Market Inefficiencies
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 Söhnke M. Bartram; Mark Grinblatt; Journal of Financial Economics 2021-01-01
778 An Iterative Uniform-price Auction Mechanism for Peer-to-peer Energy Trading in A Community Microgrid
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 Shuang Xu; Yong Zhao; Yuanzheng Li; Yue Zhou; Applied Energy 2021-01-01
779 Does Air Pollution Influence Investor Trading Behavior? Evidence from China
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 Mengmeng Guo; Mengxin Wei; Lin Huang; Emerging Markets Review 2021-01-01
780 Optimal Portfolio Execution with A Markov Chain Approximation Approach
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Abstract: We study the problem of executing a large multi-asset portfolio in a short time period where the objective is to find an optimal trading strategy that minimizes both the trading …		 Jingnan Chen; Liming Feng; Jiming Peng; Yu Zhang; IMA Journal of Management Mathematics 2021-01-01
781 Digitalization of Data Analysis Tools As The Key for Success in The Online Trading Markets
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Abstract: Digitalization is the process, which takes places in the contemporary world, severe competition in all markets, growing demand for new and easy technologies, changing software …		 Andrii Roskladka; Roman BAIEV; Access Journal – Access to Science, Business, Innovation in … 2021-01-01
782 Flocking-based Decentralised Double Auction for P2P Energy Trading Within Neighbourhoods
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 Kosala Yapa Bandara; Subhasis Thakur; John Breslin; International Journal of Electrical Power & Energy Systems 2021-01-01
783 Automated Stock Trading System Using Deep Reinforcement Learning and Price and Sentiment Prediction Modules
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 Roberto Fray da Silva; 2021-01-01
784 DAMPAK CURRENT RATIO DAN RETURN ON EQUITY TERHADAP TRADING VOLUME ACTIVITY DENGAN PRICE TO BOOK VALUE SEBAGAI VARIABEL MODERATING PADA JAKARTA ISLAMIC INDEX PERIODE 2015 – 2019
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Abstract: Investors always believe that if the company performs well it can increase the volume of stock trading. Therefore, many companies are trying to increase company activity and …		 Elly Susanti; 2021-01-01
785 Machine Learning, Market Manipulation and Collusion on Capital Markets: Why The ‘Black Box’ Matters
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Abstract: This paper offers a novel perspective on the implications of increasingly autonomous and “black box” algorithms, within the ramification of algorithmic trading, for the integrity …		 Alessio Azzutti; Wolf-Georg Ringe; H. Siegfried Stiehl; CompSciRN: Other Machine Learning (Topic) 2021-01-01
786 Trading Cryptocurrencies As A Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume
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Abstract: This paper examines the impact of COVID-19 lockdowns on Bitcoin trading volume. Using data from Apple mobility trends and several time-series econometric models, we find that …		 Alexander Guzmán; Christian Pinto-Gutiérrez; María-Andrea Trujillo; Mathematics 2021-01-01
787 Active Trading in ETFs: The Role of High-Frequency Algorithmic Trading
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Abstract: In the study reported here, we explored high-frequency algorithmic trading and its effect on exchange-traded funds (ETFs). Using the cancel rate, the trade-to-order ratio, …		 Archana Jain; Chinmay Jain; Christine X. Jiang; Financial Analysts Journal 2021-01-01
788 Optimal Trading Strategies for Multi-Energy Microgrid Cluster Considering Demand Response Under Different Trading Modes: A Comparison Study
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Abstract: The linkage of neighborhood multi-energy microgrids (MEMGs) may overcome the disadvantage of one single microgrid (MG) since surplus/deficient energy can meet balance internally …		 Qiong Wu; Zhun Xie; Hongbo Ren; Qifen Li; Yongwen Yang; ERN: Energy (Topic) 2021-01-01
789 Ultra-short-term Trading System Using A Neural Network-based Ensemble of Financial Technical Indicators
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Abstract: The proposed paper presents the analysis, design, implementation and evaluation of an ultra-short-term frequency trading system for the foreign exchange (FOREX) market, which …		 Theodoros Zafeiriou; Dimitris Kalles; Neural Computing and Applications 2021-01-01
790 Performance Evaluation of High Frequency Trading Using A Deep Learning
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 Woosik Lee; Journal of Next-generation Convergence Information Services … 2021-01-01
791 Trading Signatures: Investor Trade Allocation in Stock Markets
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Abstract: Investors in stock markets face a huge amount of financial information. For that reason, they must decide how to distribute their trading effort across different securities. We …		 Kęstutis Baltakys; Juho Kanniainen; Jari Saramäki; Mikko Kivelä; ERN EM Feeds 2021-01-01
792 Customer Adaptive Automated Trading System with Capital Risk Analysis Using Machine Learning
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Abstract: Stock market plays a huge role in the economy of our country. Several attempts have been made to analyse and predict the stock market. While the existing systems try to exploit …		 Harsh Agarwal; Aditi Kandoi; Bhavya Ahir; Sudhir Dhage; 2021 3rd International Conference on Signal Processing and … 2021-01-01
793 Optimal Pairs Trading Strategy Under Geometric Brownian Motion and Its Application to The US Stocks
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Abstract: This study is a study on pair trading, a representative market-neutral investment strategy. A general pair trading strategy uses econometric techniques to select a pair of stocks …		 Dong Hoon Shin; International journal for innovation education and research 2021-01-01
794 Acceptability of Mobile Stock Trading Application: A Study of Young Investors in Malaysia
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 Lee-Lee Chong; Hway-Boon Ong; Siow-Hooi Tan; Technology in Society 2021-01-01
795 Portfolio Diversification Benefits of Alternative Currency Investment in Bitcoin and Foreign Exchange Markets
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Abstract: This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets. The following methods are applied for the …		 Muhammad Owais Qarni; Saiqb Gulzar; Financial Innovation 2021-01-01
796 The Relationships Between Abnormal Return, Trading Volume Activity and Trading Frequency Activity During The COVID-19 in Indonesia
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Abstract: This study aims to determine whether there are differences in the average abnormal return, trading volume activity, and trading frequency activity in pharmaceutical stocks before …		 G EnricoFernandaSaputra; Nur Aisyah Febrianti Pulungan; Bambang Subiyanto; Journal of Asian Finance, Economics and Business 2021-01-01
797 Trading Strategy of Structured Mutual Fund Based on Deep Learning Network
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 Jiao Chen; Changqing Luo; Lurun Pan; Yun Jia; Expert Syst. Appl. 2021-01-01
798 European Financial Institution Physical Geolocation and The High-frequency Trading Potential
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 Piotr Staszkiewicz; Ewa Łosiewicz-Dniestrzańska; Anna Grygiel-Tomaszewska; The Digitalization of Financial Markets 2021-01-01
799 Last Hour Momentum in The Chinese Stock Market
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Abstract: PurposeTo capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the T+0 …		 Lu Yang; China Finance Review International 2021-01-01
800 Quantifying The High-Frequency Trading Arms Race
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Abstract: We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as latency arbitrage. The key difference between message data and widely …		 Matteo Aquilina; Eric Budish; Peter O’Neill; Research Papers in Economics 2021-01-01
801 Attention: How High-frequency Trading Improves Price Efficiency Following Earnings Announcements
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 Bidisha Chakrabarty; Pamela C. Moulton; Xu Wang; Journal of Financial Markets 2021-01-01
802 Trader Positions in VIX Futures
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 Yu-Lun Chen; J. Jimmy Yang; Journal of Empirical Finance 2021-01-01
803 Using Genetic Algorithms to Develop Investment Strategies
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Abstract: Genetic algorithms (GAs) are a powerful search technique. The use of genetic algorithms (GAs) will help in the development of better trading systems. The genetic algorithms (GAs) …		 Advances in Computational Intelligence and Robotics 2021-01-01
804 Pairs Trading Strategy for A and H Shares Based on Kalman-HMM Approach
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Abstract: Pairs trading is a statistical arbitrage strategy that takes advantage of unbalanced financial markets. A common difficulty for quantitative trading participants is the detection …		 Ming Zang; Proceedings of Business and Economic Studies 2021-01-01
805 Low-Latency Hardware Accelerator for Improved Engle-Granger Cointegration in Pairs Trading
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Abstract: Pairs trading is a solidly profitable strategy in the algorithmic trading area, and an important step of this strategy is selecting pairs of stocks. Compared with other existing …		 Shuang Liang; Siyuan Lu; Jun Lin; Zhongfeng Wang; IEEE Transactions on Circuits and Systems I: Regular Papers 2021-01-01
806 Implementation of Fibonacci Retracements and Exponential Moving Average (EMA) Trading Strategy in Indonesia Stock Exchange
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Abstract: Based on KSEI statistic data on March 2021, IDX individual stock market investor is increasing 199% compared to 2018 becoming 4,848,954 number of investors. 56.9% population of …		 Lusindah Lusindah; Erman Sumirat; European Journal of Business and Management Research 2021-01-01
807 Peer Review #2 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.1)
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 2021-01-01
808 Insider Trading Regulation and Shorting Constraints. Evaluating The Joint Effects of Two Market Interventions
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Abstract: Modern capital markets are subject to many interventions and regulations, some of which curtail the implementation of specific trading strategies in a market. While we understand …		 Robert Merl; Thomas Stockl; Stefan Palan; SSRN Electronic Journal 2021-01-01
809 Peer Review #1 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.1)
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 2021-01-01
810 Entropy Trading Strategies Reveal Inefficiencies in Japanese Stock Market
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 Levan Efremidze; Darrol J. Stanley; Clemens Kownatzki; International Review of Economics & Finance 2021-01-01
811 Pair Trading with Machine Learning Strategy in China Stock Market
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Abstract: Pair trading is a valuable market-neutral strategy used by many hedge funds. Instead of focusing on prices, pair trading values reliabilities by analyzing relative prices of two …		 Lizi Zhang; 2021 2nd International Conference on Artificial … 2021-01-01
812 Optimal Bitcoin Trading with Inverse Futures
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Abstract: We consider an optimal trading problem for an investor who trades Bitcoin spot and Bitcoin inverse futures, plus a risk-free asset. The investor seeks an optimal strategy to …		 Jun Deng; Huifeng Pan; Shuyu Zhang; Bin Zou; Ann. Oper. Res. 2021-01-01
813 The Effects of Information Content of Cash Flow Statement, Dividend Payout Ratio, Economic Value Added and Corporate Social Responsibility on Stock Trading Volume
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Abstract: Purpose – This study aims to empirically test and analyze the influence of information content of cash flow statements, Dividend Payout Ratio (DPR), Economic Value Added (EVA) …		 Dwi Luvira Oktavianingsih; Otniel Safkaur; Pascalina V. S. Sesa; 2021-01-01
814 Decision Making Process of Stock Trading Implementing DRQN And ARIMA
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Abstract: The approach to collect realistic trading signals throughout the transaction process to broaden advantages is a long-studied issue. The rapid expansion and dynamic character on …		 Monirul Islam Pavel; Dewan Ahmed Muhtasim; Omar Faruk; 2021 IEEE Madras Section Conference (MASCON) 2021-01-01
815 Perlindungan Hukum Pemegang Saham Minoritas Terhadap Implikasi Praktik Insider Trading Dalam Perdagangan Saham Di Pasar Modal
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Abstract: The capital market is a means provided in order to find sources of financing and as a means of investment that involves all potential public funds, both those available …		 Elza Syarief; Junaidi Junaidi; Journal of law and policy 2021-01-01
816 Algorithmic Trading and Efficiency of The Stock Market in Poland
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Abstract: The aim of the article is to investigate the impact of algorithmic trading on the returns obtained in the context of market efficiency theory. The research hypothesis is that …		 Rafał Jóźwicki; Paweł Trippner; Karolina Kłos; 2021-01-01
817 Application of Bi-Directional Grid Constrained Stochastic Processes to Algorithmic Trading
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Abstract: Bi-directional Grid Constrained (BGC) Stochastic Processes (BGCSP) become more constrained the further they drift away from the origin or time axis are examined here. As they …		 Aldo Taranto; Shahjahan Khan; Journal of Mathematics and Statistics 2021-01-01
818 A New Strategy for Short-Term Stock Investment Using Bayesian Approach
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Abstract: In this paper, an application of the Bayesian classifier for short-term stock trend prediction is presented. In order to use Bayesian classifier effectively, we transform the …		 Tai Vo-Van; Ha Che-Ngoc; Nghiep Le-Dai; Thao Nguyen-Trang; Computational Economics 2021-01-01
819 Lockdown and Retail Trading in The Equity Market
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 Mardy Chiah; Jason Tian; Angel Zhong; Journal of Behavioral and Experimental Finance 2021-01-01
820 Tipping in Korea
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Abstract: Prior research documents that analyst revisions are important information events and that some investors trade ahead of them. However, prior studies have been unable to show which …		 William J. Bazley; Emily Kim; Felix Meschke; Kevin Pisciotta; Accounting 2021-01-01
821 A Derivative-free Optimization Approach for The Autotuning of A Forex Trading Strategy
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Abstract: A trading strategy simply consists in a procedure which defines conditions for buying or selling a security on a financial market. These decisions rely on the values of some …		 Alberto De Santis; Umberto Dellepiane; Stefano Lucidi; Stefania Renzi; Optimization Letters 2021-01-01
822 Decentralized Finance: Regulating Cryptocurrency Exchanges
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Abstract: Global financial markets are in the midst of a transformative movement. The creation of Bitcoin and Facebook’s proposed distribution of Diem mark a watershed moment in the …		 Kristin N. Johnson; Social Science Research Network 2021-01-01
823 A Decision Support System for Trading in Apple Futures Market Using Predictions Fusion
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Abstract: In the last decade, High-Frequency Trading (HFT) has become a popular issue in the futures market, which has attracted much attention from numerous researchers. In this study, an …		 SHANGKUN DENG et. al. IEEE Access 2021-01-01
824 Commonality and Contrarian Trading Among Algorithmic Traders
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 Devika Arumugam; P. Krishna Prasanna; Journal of Behavioral and Experimental Finance 2021-01-01
825 Decentralized Local Energy Trading in Microgrids With Voltage Management
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Abstract: Local energy trading in microgrids is one of the emerging concepts in the area of distribution networks. A proper business model is required to manage local energy trading. The …		 Amrit Paudel; Mohsen Khorasany; Hoay Beng Gooi; IEEE Transactions on Industrial Informatics 2021-01-01
826 Culture and The Regulation of Insider Trading Across Countries
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 Brandon N. Cline; Claudia R. Williamson; Haoyang Xiong; Journal of Corporate Finance 2021-01-01
827 The Connectedness Between COVID-19 and Trading Value in Stock Market: Evidence from Thailand
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Abstract: This study examines the connectedness between the number of COVID-19 cases in Thailand and trading value among investors in the Stock Exchange of Thailand. Daily data of COVID-19 …		 Guntpishcha Gongkhonkwa; Journal of Asian Finance, Economics and Business 2021-01-01
828 PENGARUH ABNORMAL RETURN Dan TRADING VOLUME ACTIVITY TERHADAP HARGA SAHAM
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Abstract: The purpose of this study is to determine 1) the effect of abnormal return on stock price, 2) the effect of trading volume activity on stock price, 3) the effect between abnormal …		 Cindy Ananda; 2021-01-01
829 Study on Indian Stock Market Performance Based on Commodities
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Abstract: A stock exchange facilitates trading shares of pubicly listed companies. The trading process is operated through two non-separable and mutually supporting segments called as …		 Deepika N.; Nirupama Bhat Mundukur; Victer Paul; 2021-01-01
830 Learning Representation of Stock Traders and Immediate Price Impacts
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 Wen-Jie Xie; Mu-Yao Li; Wei-Xing Zhou; Emerging Markets Review 2021-01-01
831 Attention Constraint, Public Information, and Strategic Trading
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Abstract: We investigate the effect of institutional investor attention and the public information about asset value on the financial market by studying a strategic trading problem, where …		 Hao Jiang; Yong Ma; Tianyang Wang; 2021-01-01
832 Learning to Trade in Financial Time Series Using High-frequency Through Wavelet Transformation and Deep Reinforcement Learning
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Abstract: Deep learning-based financial approaches have received attention from both investors and researchers. This study demonstrates how to optimize portfolios, asset allocation, and …		 Jimin Lee; Hayeong Koh; Hi Jun Choe; Appl. Intell. 2021-01-01
833 Pairs Trading in Cryptocurrency Market: A Long-short Story
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Abstract: Pairs trading that is built on ’Relative-Value Arbitrage Rule’ is a popular short-term speculation strategy enabling traders to make profits from temporary mispricing of close …		 Saji Thazhungal Govindan Nair; Investment Management and Financial Innovations 2021-01-01
834 Retail Trading and Stock Volatility: The Case of Robinhood
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Abstract: We examine the relation between Robinhood usership and stock market volatility. We show that daily fluctuations in Robinhood usership, which is used to proxy retail trading, …		 Cooper Jones; 2021-01-01
835 The Effect of Company Size, Company Growth, Financial Conditions, Debt Default And Audit Opinion 2016-2019 on Going Concern Audit Opinions (Empire Study of Trading Companies Listed on The Indonesia Stock Exchange)
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Abstract: The purpose of this study is to see the effect of company size, company growth, financial condition and debt default on going concern audit opinions in 2016-2019 on trading …		 Charles Ayu Kartika Kinata; Journal of Economics, Finance And Management Studies 2021-01-01
836 The Profitability of Volatility Trading on Exchange-traded Dollar-rupee Options: Evidence of A Volatility Risk Premium?
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Abstract: This article examines the profitability of short volatility strategies in the exchange-traded USDINR options market. Returns from delta-hedged short positions in straddles, …		 Aparna Bhat; Global Business Review 2021-01-01
837 Video Face Recognition of Virtual Currency Trading System Based on Deep Learning Algorithms
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Abstract: Virtual currency trading develops rapidly, taking up a large proportion in the whole economy, and has become an important part of people’s daily life. Firstly, a reliable virtual …		 Jun Wei; IEEE Access 2021-01-01
838 Stock Markets and Female Participation in The Labor Force
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 Menachem (Meni) Abudy; Yevgeny Mugerman; Zvi Wiener; Journal of International Financial Markets, Institutions … 2021-01-01
839 THE EFFECT OF LIQUIDITY, COMPANY SIZE, AND ASSET STRUCTURE ON STRUCTURE TRADING COMPANY CAPITAL IN THE IDX
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Abstract: This his research is to see how liquidity, company scale, and asset composition affect trading companies’ capital structures on the Indonesia Stock Exchange. In this sample, the …		 Sri Laksmi Pardanawati; 2021-01-01
840 The Impacts of Futures Introduction on Spot Market Volatility: Evidence from The Bitcoin Market
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Abstract: The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic. Conflicting results had been obtained with different sample periods …		 Chuanhai Zhang; Huan Ma; GIDEON BRUCE ARKORFUL; Zhe Peng; ERN: Futures (Topic) 2021-01-01
841 Greed and Individual Trading Behavior in Experimental Asset Markets
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Abstract: Greed has been shown to be an important economic motive. Both the popular press as well as scientific papers have mentioned questionable practices by greedy bankers and investors …		 Karlijn Hoyer; Stefan Zeisberger; Seger M. Breugelmans; Marcel Zeelenberg; 2021-01-01
842 How Do Carbon Trading Platform Participation and Government Subsidy Motivate Blue Carbon Trading of Marine Ranching? A Study Based on Evolutionary Equilibrium Strategy Method
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 Xiaole Wan; Qianqian Li; Lulian Qiu; Yuanwei Du; Marine Policy 2021-01-01
843 Trading Volume Activity Memediasi Hubungan Perubahan Tarif Pajak Penghasilan Badan Terhadap Return Saham
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Abstract: Stock returns can describe the acquisition of returns on the buying and selling activities of shares carried out by investors.  The rate of returns are received by investor can be …		 Ni Nyoman Sri Wardani; I Ketut Budiartha; E-Jurnal Akuntansi 2021-01-01
844 THE INFLUENCE OF INFORMATION ON TRADING BEHAVIOR WITH PERSONALITY TRAITS AS MODERATION VARIABLE FOR STOCK TRADERS
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Abstract: The development of investment in Indonesia has increased rapidly over the past few years. One of the key factors affecting stock traders’ trading behavior is information. …		 Ronaldo Susanto; Mariana Ing Malelak; International Journal of Financial and Investment Studies … 2021-01-01
845 Do Retail Traders Destabilize Financial Markets? An Investigation Surrounding The COVID-19 Pandemic
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Abstract: Economic theory suggests that speculative trading can lead to instability in financial markets. Using a novel dataset on retail trading activity in the US, this study extends the …		 Ahmed S. Baig; Benjamin M. Blau; Hassan A. Butt; Awaid Yasin; International Finance eJournal 2021-01-01
846 Energy Sharing Platform Based on Call Auction Method with The Maximum Transaction Volume
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 Lingling Sun; Jing Qiu; Xiao Han; Zhao Yang Dong; Energy 2021-01-01
847 The Impact of Margin Trading on Stock Volatility: Based on 2014 to 2016 Shanghai and Shenzhen 300 Index
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Abstract: The paper study the impact of margin trading on the volatility of the stock market, We selected 469 observation values among the daily Shanghai and Shenzhen 300 index from May …		 Chuanyang Gong; International Journal of Business and Management 2021-01-01
848 Aggregate Congressional Trading and Stock Market Returns
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Abstract: Purpose What information do members of Congress (politicians) use when they trade stocks? The purpose of this paper is to attempt to answer this question by investigating the …		 Serkan Karadas; Minh Tam Tammy Schlosky; Joshua C. Hall; Journal of Financial Economic Policy 2021-01-01
849 High-frequency Volatility Modeling: A Markov-Switching Autoregressive Conditional Intensity Model
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 Yifan Li; Ingmar Nolte; Sandra Nolte; Journal of Economic Dynamics and Control 2021-01-01
850 The Impact of Margin and Short Selling on Stock Pricing Efficiency – Based on The Growth Enterprise Market and The Science and Technology Innovation Board
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Abstract: This paper takes the margin and short selling targets of the science and technology innovation board and the growth enterprise board of China’s stock market as the research …		 Chengzhu Sun; E3S Web of Conferences 2021-01-01
851 Important Trading Point Prediction Using A Hybrid Convolutional Recurrent Neural Network
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Abstract: Stock performance prediction plays an important role in determining the appropriate timing of buying or selling a stock in the development of a trading system. However, precise …		 Xinpeng Yu; Dagang Li; Applied Sciences 2021-01-01
852 Half-day Trading and Spillovers
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Abstract: This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March 2020. We use the dynamic conditional …		 Yifan Chen; Limin Yu; Jianhua Gang; Frontiers of Business Research in China 2021-01-01
853 How Effective Are Stock Market Reforms in Emerging Market Economies? Evidence from A Panel VAR Model of The Indian Stock Market
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Abstract: The paper uses a panel VAR framework to estimate the impact of a series of reforms aimed at reducing transactions cost and information cost in India’s secondary market for equity, …		 Sumon Kumar Bhaumik; Manisha Chakrabarty; Ali M. Kutan; Ekta Selarka; Journal of Quantitative Economics 2021-01-01
854 A Novel Communication Efficient Peer-to-peer Energy Trading Scheme for Enhanced Privacy in Microgrids
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 Khalid Umer; Qi Huang; Mohsen Khorasany; Muhammad Afzal; Waqas Amin; Applied Energy 2021-01-01
855 FAKTOR-FAKTOR YANG MEMPENGARUHI IHSG PADA PERUSAHAAN PERBANKAN TAHUN 2015-2019
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Abstract: The research aims to determine the effect of the inflation rate, exchange rate,interest rate, and trading volume on the Composite Stock Price Index. Sampling using the Purposive …		 Mondra Neldi; Nurul Syahira; Elfiswandi Elfiswandi; Zefriyenni Zefriyenni; Fitri Yeni; 2021-01-01
856 Margin Trading and Stock Idiosyncratic Volatility: Evidence from The Chinese Stock Market
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 Pingshu Gui; Yifeng Zhu; International Review of Economics & Finance 2021-01-01
857 Unfairly Defiled: A Long Term Perspective on Portfolio Insurance As A Strategy for Limiting Portfolio Losses
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Abstract: The invention of portfolio insurance as a strategy for limiting portfolio losses was introduced in the early 1980s and gained spectacular popularity throughout the decade, …		 Jeffrey Ludwig; Journal of Investment and Management 2021-01-01
858 Multiple Strategies for Trading Short-term Stock Index Futures Based on Visual Trend Bands
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Abstract: Many day traders focus on forecasts of stock index futures. These securities are suitable for frequent and time-sensitive trading as well as for short-term investments. However, …		 Hsien-Ming Chou; Chihli Hung; Multimedia Tools and Applications 2021-01-01
859 PRODUCT STRATEGY OF TRADING COMPANY
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Abstract: The article considers the problem of product strategy development of trading company. The analysis of the existing product strategy of wholesale trading company is given. Certain …		 I. A. Tolmacheva; 2021-01-01
860 Insider Trading in Brazil’s Stock Market
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Abstract: How much insider trading happens in Brazil’s stock market? Previous research has used the model proposed by Easley et al. [1996] to estimate the probability of insider trading …		 Thiago Marzagão; 2021-01-01
861 Price Discovery in The Cryptocurrency Market: Evidence from Institutional Activity
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Abstract: This study analyzes the role of information shares of futures contracts in the price discovery of Bitcoin as well as its impact on the correlation of Bitcoin and traditional …		 Bao Doan; Huy Pham; Binh Nguyen Thanh; Journal of Industrial and Business Economics 2021-01-01
862 Trading Activity and Price Discovery in Bitcoin Futures Markets
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 Jui-Cheng Hung; Hung-Chun Liu; J. Jimmy Yang; Journal of Empirical Finance 2021-01-01
863 Forecasting Trading Volume in Local Housing Markets Through A Time-series Model and A Deep Learning Algorithm
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Abstract: PurposeIt is important to forecast local trading volumes as well as global trading volumes because the real estate market is always characterized as a localized market. The house …		 Changro Lee; Keith Key-Ho Park; Engineering, Construction and Architectural Management 2021-01-01
864 Learning from Trading Activity in Laboratory Security Markets with Higher-order Uncertainty
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 Radhika Lunawat; Journal of Socio-economics 2021-01-01
865 Gambling and Online Trading Emerging Risks of Real-Time Stock and Cryptocurrency Trading Platforms
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 Atte Oksanen; Eerik Mantere; Ilkka Vuorinen; Iina Savolainen; SSRN Electronic Journal 2021-01-01
866 An Indicator for Month-trading of Stocks
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Abstract: Some individual investors who find day-trading of stocks incompatible with their lifestyle might want to adopt month–trading instead. In this paper, we use the historical monthly …		 Y. B. Koh; Yew Seong Ng; Ah Hin Pooi; ITM Web of Conferences 2021-01-01
867 Trading Cryptocurrencies Using Second Order Stochastic Dominance
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Abstract: This research is the first attempt to customize a trading system that is based on second order stochastic dominance (SSD) to five known cryptocurrencies’ daily data: Bitcoin, …		 Gil Cohen; Mathematics 2021-01-01
868 Leverage and Information: Are Short Sellers and Margin Traders Twin Sisters or Stepsisters?
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Abstract: As leveraged investors, are margin traders as informed as short sellers? Using a unique dataset on stock-level short selling and margin trading from three international stock …		 Zhuo Chen; Pengfei Li; Zhengwei Wang; Bohui Zhang; Emerging Markets: Finance eJournal 2021-01-01
869 The Interplay Between Investor Activity on Virtual Investment Community and The Trading Dynamics: Evidence From The Bitcoin Market
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Abstract: Virtual investment community has become an important information source for investors. This study contributes to the related literature by investigating the endogenous interplay …		 Peng Xie; Information Systems Frontiers 2021-01-01
870 Multi-level Trading Community Formation and Hybrid Trading Network Construction in Local Energy Market
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 Li Ma; Lingfeng Wang; Zhaoxi Liu; Applied Energy 2021-01-01
871 THE EXISTENCE OF CRIMINAL SANCTION IN INSIDER TRADING IN THE ACT NUMBER 8 OF 1995 CONCERNING CAPITAL MARKET AFTER THE FINANCIAL SERVICES AUTHORITY REGULATION NUMBER 36/POJK.04/2018
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Abstract: This article is written because of the existence of the Securities Exchange Act (UUPM) No. 8 of 1995 concerning criminal sanctions for perpetrators of insider trading crimes. …		 Wahyu Nur Fatimah; 2021-01-01
872 Portfolio Optimization in Both Long and Short Selling Trading Using Trend Ratios and Quantum-Inspired Evolutionary Algorithms
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Abstract: Stock selection is the first problem that investors encounter when investing in the stock market and is paramount. The Sharpe ratio is a common assessment strategy. However, the …		 Yao-Hsin Chou; Yu-Chi Jiang; Shu-Yu Kuo; IEEE Access 2021-01-01
873 A Multivariate Load Trading Optimization Method for Energy Internet Based on LSTM and Gaming Theory
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Abstract: Energy Internet is a complex nonlinear system. There are many stakeholders in the load trading market, which is usually regarded as a multi-player gaming. Although gaming theory …		 Mingming Pan; Shiming Tian; Jindou Yuan; Songsong Chen; Sheng He; Energies 2021-01-01
874 Do Electronic Markets Improve Execution If You Cannot Identify Yourself?
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Abstract: We study two aspects of the transition to electronic markets for large uninformed traders: (1) the increase in trading frequency, and (2) the move to anonymous trading, which …		 John J. Shim; Yenan Wang; Capital Markets: Market Microstructure eJournal 2021-01-01
875 Liquidity, Informed Trading, and A Market Surveillance System: Evidence from The Vietnamese Stock Market
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 Rong Chen; Heng (Griffin) Geng; Hai Lin; Phuong Thi Ly Nguyen; Pacific-basin Finance Journal 2021-01-01
876 Impact of Corporate Insider on Insider Trading: Evidence from Pakistan Stock Exchange
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Abstract: The purpose of this study is to investigate the impact of a corporate insider on insider trading in Pakistan. For this purpose, 30 top firms will be extracted from 540 Listed …		 Bismah Rao; Business And Management Studies: An International Journal 2021-01-01
877 FUTURES TRADING, SPOT PRICE VOLATILITY AND STRUCTURAL BREAKS: EVIDENCE FROM ENERGY SECTOR
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Abstract: The present study empirically examines the impact of Stock Futures on India’s underlying Energy Sector Stocks by incorporating the Structural breaks in the AR (1)-GARCH (1, 1) …		 Sanjeeta Shirodkar; Guntur Anjana Raju; International Journal of Energy Economics and Policy 2021-01-01
878 Bayesian Analysis of Time-varying Interactions Between Stock Returns and Foreign Equity Flows
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Abstract: This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a …		 Boubekeur Baba; Güven Sevil; Financial Innovation 2021-01-01
879 Using A Genetic Algorithm to Build A Volume Weighted Average Price Model in A Stock Market
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Abstract: Research on stock market prediction has been actively conducted over time. Pertaining to investment, stock prices and trading volume are important indicators. While extensive …		 Seung Hwan Jeong; Hee Soo Lee; Hyun Nam; Kyong Joo Oh; Sustainability 2021-01-01
880 Risk Trading in Energy Communities
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Abstract: Local energy communities are proposed as a regulatory framework to enable the market participation of end-consumers. However, volatile local market-clearing prices, and …		 Niklas Vespermann; Thomas Hamacher; Jalal Kazempour; IEEE Transactions on Smart Grid 2021-01-01
881 The Benefits of Access: Evidence from Private Meetings with Portfolio Firms
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Abstract: We analyze the monitoring efforts of a large active asset manager that involve high-level private meetings with portfolio firms that are unobservable to outsiders. Our analysis …		 Marco Becht; Julian R. Franks; Hannes F. Wagner; Corporate Governance & Finance eJournal 2021-01-01
882 Integration of Prosumer Peer-to-peer Trading Decisions Into Energy Community Modelling
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Abstract: Peer-to-peer (P2P) exchange of renewable energy is an attractive option to empower citizens to actively participate in the energy transition. Whereas previous research has …		 ALEJANDRO PENA-BELLO et. al. Nature Energy 2021-01-01
883 Novel Energy Trading System Based on Deep-Reinforcement Learning in Microgrids
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Abstract: Inefficiencies in energy trading systems of microgrids are mainly caused by uncertainty in non-stationary operating environments. The problem of uncertainty can be mitigated by …		 SEONGWOO LEE et. al. Energies 2021-01-01
884 Market Manipulation Rules and IPO Underpricing
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 Huu Nhan Duong; Abhinav Goyal; Vasileios Kallinterakis; Madhu Veeraraghavan; Journal of Corporate Finance 2021-01-01
885 Option Trading Volume By Moneyness, Firm Fundamentals, and Expected Stock Returns
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 Yi Zhou; Journal of Financial Markets 2021-01-01
886 Fundamental Volatility and Informative Trading Volume in A Rational Expectations Equilibrium
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 Dan Luo; Yipeng Mao; Economic Modelling 2021-01-01
887 Kairos: A Remunerative Framework for Minimum Investment Portfolio Management
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Abstract: Quantitative analysis as a technique of rendering market conditions using an arithmetic value has been employed by several investors for identifying trading opportunities. …		 Jimil Shah; Manan Doshi; Anant V. Nimkar; 2021 International Conference on Communication information … 2021-01-01
888 Energy Trading Among Electric Vehicles Based on Stackelberg Approaches: A Review
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 Muhammad Adil; M. A. Parvez Mahmud; Abbas Z. Kouzani; Khoo Sui Yang; Sustainable Cities and Society 2021-01-01
889 Peer-to-peer Energy Trading of Net-zero Energy Communities with Renewable Energy Systems Integrating Hydrogen Vehicle Storage
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 Jia Liu; Hongxing Yang; Yuekuan Zhou; Applied Energy 2021-01-01
890 Robust Pricing Under Strategic Trading
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 Aibo Gong; Shaowei Ke; Yawen Qiu; Rui Shen; Journal of Economic Theory 2021-01-01
891 Exploration of Quant Trading Talents’ Training Mode of University Education Based on Artificial Intelligence
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Abstract: In recent years, the topic of artificial intelligence has become more and more popular, especially machine learning has become a hot issue in academia. Quant trading ability has …		 Jiaxuan Chen; Journal of Physics: Conference Series 2021-01-01
892 Option Trading, Managerial Risk-taking, and Brand Development
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Abstract: Active option markets have been shown to provide downside risk protection for investors and managers and improve stock price informativeness that leads to better corporate …		 Po-Hsuan Hsu; Fengfei Li; Yoshio Nozawa; Managerial Marketing eJournal 2021-01-01
893 Voting and Trading in Symbiosis
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Abstract: The notion of political stability of Chapter 2 is applied to the general equilibrium analysis of Chapter 1, highlighting how trading and voting mechanisms help each other’s …		 Hervé Crès; Mich Tvede; Democracy, the Market, and the Firm 2021-01-01
894 Distributed Transaction Cooperative Game Strategy with Network Fee Is Considered
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Abstract: With the rapid development of distributed power supply, the pilot project of distributed power generation transaction has been carried out in China. The development of distributed …		 XIAODAN ZHUANG et. al. 2021 4th International Conference on Energy, Electrical and … 2021-01-01
895 Memory and Trading
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Abstract: I test the predictions of human memory models in a high-stakes trading environment. Using alphabetical rankings of stocks from portfolio statements, I estimate plausibly random …		 Constantin Charles; Decision-Making in Economics eJournal 2021-01-01
896 Deep Reinforcement Learning for Portfolio Management
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Highlight: We make several innovations, such as adding short mechanism and designing an arbitrage mechanism, and applied our model to make decision optimization for several randomly selected portfolios.		 Gang Huang; Xiaohua Zhou; Qingyang Song; arxiv-q-fin.CP 2020-12-26
897 Deep Stock Trading: A Hierarchical Reinforcement Learning Framework for Portfolio Optimization and Order Execution
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Highlight: To address these issues, we propose a hierarchical reinforced stock trading system for portfolio management (HRPM).		 Rundong Wang; Hongxin Wei; Bo An; Zhouyan Feng; Jun Yao; arxiv-cs.AI 2020-12-23
898 The Good, The Bad, and The Ugly: How Algorithmic Traders Impact Institutional Trading Costs
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Abstract: We show that behind the aggregate effects of algorithmic and high-frequency traders (AT/HFT) is substantial heterogeneity in how individual algorithms impact institutional trading …		 Tālis J. Putniņš; Joseph Barbara; Capital Markets: Market Efficiency eJournal 2020-12-15
899 Optimization of Backtesting Techniques in Automated High Frequency Trading Systems Using The D-Backtest PS Method
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 D. Vezeris; C. Schinas; Themistoklis Kyrgos; V. Bizergianidou; I. Karkanis; Computational Economics 2020-12-01
900 Development of Futures Program Trading Strategy Based on Warren Buffett’s Investment Performance
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Abstract: It is the dream of investors to develop a stable and profitable futures program trading strategy. Based on the investment performance of Warren Buffett, that is, the annual …		 Guo-ping Li; 2020-11-30
901 Investors’ Sentiment and Stock Trading in The Nigerian Capital Market
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Abstract: This study examined the relationship between investors sentiment and stock trading for thirty listed firms in Nigeria, covering periods of 2015-2019. This study comes at a time …		 B. Njogo; Jaiyeoba Oladele; O. Mabinuori; 2020-11-30
902 Methods Matter: A Trading Agent With No Intelligence Routinely Outperforms AI-Based Traders
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Highlight: In this paper we present results from exhaustive testing over wide ranges of parameter values, using parallel cloud-computing facilities, where we conduct millions of tests and thereby create much richer data from which firmer conclusions can be drawn.		 Dave Cliff; Michael Rollins; arxiv-cs.CE 2020-11-29
903 Predict Stock Market’s Fluctuating Behaviour : Role of Investor’s Sentiments on Stock Market Performance
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Abstract: Long term historical records of the stock markets are widely used in technical research to define, understand and analyze stock market’s time series trends and patterns which can …		 U. Gurav; Kotrappa S; international journal of engineering trends and technology 2020-11-25
904 Socio-Economic, Trading Sophistication and Self-Reflection on Investors’ Disposition Bias: Evidence from Colombo Stock Exchange
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Abstract: Individual investor’s behavior is extensively influenced by biases that are highlighted in the growing discipline of behavior finance. This study is one of another effort to …		 H. Kawshala; P. Anuradha; Social Science Research Network 2020-11-19
905 On Simultaneous Long-Short Stock Trading Controllers With Cross-Coupling
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Highlight: The main contributions of this paper are three-fold: First, we put forward a novel architecture in which we cross-couple two SLS controllers for the two-stock case.		 Atul Deshpande; John A Gubner; B. Ross Barmish; arxiv-q-fin.ST 2020-11-18
906 FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance
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Highlight: In this paper, we introduce a DRL library FinRL that facilitates beginners to expose themselves to quantitative finance and to develop their own stock trading strategies.		 XIAO-YANG LIU et. al. arxiv-q-fin.TR 2020-11-18
907 Model-free Analysis of Dynamic Trading Strategies
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Highlight: We introduce a model-free approach based on excursions of trading signals for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading and other statistical arbitrage strategies.		 Anna Ananova; Rama Cont; Renyuan Xu; arxiv-q-fin.MF 2020-11-05
908 Collective Dynamics Of Dark Web Marketplaces
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Abstract: Dark web marketplaces are websites that facilitate trade in illicit goods, mainly using Bitcoin. Since dark web marketplaces are unregulated, they do not offer any user …		 ABEER ELBAHRAWY et. al. Scientific reports 2020-11-02
909 Learning Financial Asset-Specific Trading Rules Via Deep Reinforcement Learning
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Highlight: In this paper, a novel DRL model with various feature extraction modules is proposed.		 Mehran Taghian; Ahmad Asadi; Reza Safabakhsh; arxiv-cs.AI 2020-10-27
910 Trading Strategies Of A Leveraged ETF In A Continuous Double Auction Market Using An Agent-Based Simulation
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Highlight: In this paper, we compare different strategies of trading for a proposed trading model and report the results of our investigation regarding how best to suppress an increase in market volatility.		 Isao Yagi; Shunya Maruyama; Takanobu Mizuta; arxiv-q-fin.TR 2020-10-25
911 Adversarial Attacks On Deep Algorithmic Trading Policies
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Highlight: In this paper, we develop a threat model for deep trading policies, and propose two attack techniques for manipulating the performance of such policies at test-time.		 Yaser Faghan; Nancirose Piazza; Vahid Behzadan; Ali Fathi; arxiv-cs.LG 2020-10-21
912 Taking Over The Stock Market: Adversarial Perturbations Against Algorithmic Traders
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Highlight: In this study, we present a realistic scenario in which an attacker influences algorithmic trading systems by using adversarial learning techniques to manipulate the input data stream in real time.		 Elior Nehemya; Yael Mathov; Asaf Shabtai; Yuval Elovici; arxiv-q-fin.TR 2020-10-19
913 Tail-risk Protection: Machine Learning Meets Modern Econometrics
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Highlight: In this paper, we present a dynamic tail risk protection strategy that targets a maximum predefined level of risk measured by Value-At-Risk while controlling for participation in bull market regimes.		 Bruno Spilak; Wolfgang Karl Härdle; arxiv-q-fin.RM 2020-10-07
914 High-frequency Trading – A New Challenge for Capital Markets
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 Renata Karkowska; J. Karasiński; 2020-10-06
915 On Detecting Spoofing Strategies in High-frequency Trading
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Abstract: The optimal strategy of a potential spoofer is described and applied to Level 2 data on TMX …		 Xuan Tao; A. Day; Lan Ling; Samuel Drapeau; Quantitative Finance 2020-09-30
916 Foreign Investors’ Abnormal Trading Behavior in The Time of COVID-19
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Abstract: This study investigates the behavior of foreign investors in the Stock Exchange of Thailand (SET) in the time of coronavirus disease 2019 (COVID-19) as to whether trading is …		 A. Khanthavit; Journal of Asian Finance, Economics and Business 2020-09-30
917 High-Frequency Trading On Decentralized On-Chain Exchanges
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Highlight: In this work we formalize, analytically exposit and empirically evaluate an augmented variant of front-running: sandwich attacks, which involve front- and back-running victim transactions on a blockchain-based DEX.		 Liyi Zhou; Kaihua Qin; Christof Ferreira Torres; Duc V Le; Arthur Gervais; arxiv-cs.CR 2020-09-29
918 Role of Financial and Non-Financial Information in Shaping Trading Behavior: A Retail Investor’s Perspective
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Abstract: This study aims to examine the role of information disclosure in determining retail investor trading behavior. The approach of the study is deductive, while the quantitative …		 Muhammad Naveed; M. Sindhu; Shoaib Ali; 2020-09-25
919 Solving The Optimal Trading Trajectory Problem Using Simulated Bifurcation
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Highlight: Inspired by such we apply the SB approach to the portfolio integer optimization problem with quantity constraints and trading activities.		 Kyle Steinhauer; Takahisa Fukadai; Sho Yoshida; arxiv-q-fin.CP 2020-09-17
920 Which Trading Agent Is Best? Using A Threaded Parallel Simulation Of A Financial Market Changes The Pecking-Order
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Highlight: In this paper we use BSE, a public-domain market simulator, to run a set of experiments generating benchmark results from several well-known trading algorithms.		 Michael Rollins; Dave Cliff; arxiv-q-fin.TR 2020-09-15
921 Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies
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Highlight: We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well as respective overall high-frequency based market statistics with respect to temporal aspects.		 Alla A. Petukhina; Raphael C. G. Reule; Wolfgang Karl Härdle; arxiv-q-fin.TR 2020-09-09
922 Retail Investors’ Trading and Stock Market Liquidity
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Abstract: The paper investigates the relation between retail investors’ participation in trading and aggregate stock market liquidity. The findings show a positive and significant relation …		 M. Abudy; FinPlanRN: Client Psychology (Topic) 2020-09-09
923 Aggregate Insider Trading and Future Market Returns in The United States , Europe, and Asia
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Abstract: Using a well-established methodology to measure aggregate insider trading, this exploratory study examines the relation between aggregate insider trading and future stock market …		 Dennis D. Malliouris; Alphons Vermorken; Maximilian A. M. Vermorken; International Journal of Finance & Economics 2020-08-26
924 TradAO: A Visual Analytics System For Trading Algorithm Optimization
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Highlight: With the wide applications of algorithmic trading, it has become critical for traders to build a winning trading algorithm to beat the market.		 KA WING TSANG et. al. arxiv-cs.HC 2020-08-25
925 Energy Trading in Local Electricity Market With Renewables—A Contract Theoretic Approach
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Abstract: Emerging smart grid technologies and increased penetration of renewable energy sources (RESs) direct the power sector to focus on RESs as an alternative to meet both baseload and …		 U. Amin; Md. Jahangir Hossain; W. Tushar; K. Mahmud; IEEE Transactions on Industrial Informatics 2020-08-24
926 Adaptive Trading Strategies Across Liquidity Pools
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Highlight: In this article, we provide a flexible framework for optimal trading in an asset listed on different venues.		 Bastien Baldacci; Iuliia Manziuk; arxiv-q-fin.TR 2020-08-18
927 A Free Boundary Problem Arising From A Multi-state Regime-switching Stock Trading Model
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Highlight: In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process.		 Chonghu Guan; Jing Peng; Zuo Quan Xu; arxiv-math.AP 2020-08-17
928 Gambler’s Ruin Problem and Bi-directional Grid Constrained Trading and Investment Strategies
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Abstract: Bi-Directional Grid Constrained (BGC) trading strategies have never been studied academically until now, are relatively new in the world of financial markets and have the ability …		 A. Taranto; Shahjahan Khan; Investment Management and Financial Innovations 2020-08-14
929 Investment Sizing With Deep Learning Prediction Uncertainties For High-frequency Eurodollar Futures Trading
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Highlight: In this work we show that prediction uncertainty estimates gleaned from deep learning models can be useful inputs for influencing the relative allocation of risk capital across trades.		 Trent Spears; Stefan Zohren; Stephen Roberts; arxiv-q-fin.ST 2020-07-31
930 High‐frequency Trading Order Cancellations and Market Quality: Is Stricter Regulation The Answer?
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 Viktor Manahov; International Journal of Finance & Economics 2020-07-26
931 Investors’ Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long‐memory Model for The Korean Stock Exchange
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Abstract: This study examines the impact of investors’ buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial …		 G. Caporale; M. Karanasos; S. Yfanti; Aris Kartsaklas; International Journal of Finance & Economics 2020-07-23
932 Quantifying The High-Frequency Trading Arms Race
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Abstract: We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as “latency arbitrage.” The key difference between message data and widely …		 M. Aquilina; Eric Budish; Peter O’Neill; Becker Friedman Institute for Economics Working Paper Series 2020-06-25
933 The Importance Of Low Latency To Order Book Imbalance Trading Strategies
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Highlight: Accordingly, we investigate the relationship between latency of access to order book information and profitability of trading strategies exploiting that information with an agent-based interactive discrete event simulation in which thousands of agents pursue archetypal trading strategies.		 David Byrd; Sruthi Palaparthi; Maria Hybinette; Tucker Hybinette Balch; arxiv-q-fin.TR 2020-06-15
934 An Overall View Of Key Problems In Algorithmic Trading And Recent Progress
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Highlight: We summarize the fundamental issues at stake in algorithmic trading, and the progress made in this field over the last twenty years. We first present the key problems of algorithmic trading, describing the concepts of optimal execution, optimal placement, and price impact.		 Michaël Karpe; arxiv-q-fin.TR 2020-06-09
935 Algorithmic Trading in Turbulent Markets☆
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 Hao Zhou; P. Kalev; A. Frino; Pacific-Basin Finance Journal 2020-06-07
936 How Does Informed Trader Trade The “reverse Risk”? –OTM Option Volume As Risk Factor for Stock Prediction
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Abstract: This article researches the implied risks in the trading volume data of the SSE (Shanghai Security Exchange) 50 ETF options, and explores the power of these risks to predict the …		 Jing Guo; Jie Xiao; Z. Ni; Journal of Physics: Conference Series 2020-06-01
937 Pairs Trading With Nonlinear And Non-Gaussian State Space Models
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Highlight: We model the spread between the prices of two assets as an unobservable state variable and assume that it follows a mean-reverting process.		 Guang Zhang; arxiv-q-fin.PM 2020-05-19
938 How Complexity And Uncertainty Grew With Algorithmic Trading
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Abstract: The machine-learning paradigm promises traders to reduce uncertainty through better predictions done by ever more complex algorithms. We ask about detectable results of both …		 Martin Hilbert; David Darmon; Entropy (Basel, Switzerland) 2020-04-26
939 A Trend-following Trading Indicator On Homomorphically Encrypted Data
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Highlight: This paper proposes an implementation of a popular trend-following indicator with two different homomorphic encryption libraries – SEAL and HEAAN – and compares it to the trading indicator implemented for plaintext.		 Haotian Weng; Artem Lenskiy; arxiv-cs.CR 2020-04-24
940 Trading Foreign Exchange Triplets
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Highlight: We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair.		 Álvaro Cartea; Sebastian Jaimungal; Tianyi Jia; arxiv-q-fin.TR 2020-04-24
941 Investors’ Attention and Its Effect on Saudi Stock Returns
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Abstract: The study examines the individual investor’s intention effect of attention-grabbing stocks such as stocks in the news, stock experiencing high abnormal trading, and stocks with …		 Hesah Hesah Aljarbou; INTERNATIONAL JOURNAL OF MANAGEMENT & INFORMATION TECHNOLOGY 2020-04-10
942 QuantNet: Transferring Learning Across Systematic Trading Strategies
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Highlight: In this paper, we take a step towards developing fully end-to-end global trading strategies that leverage systematic trends to produce superior market-specific trading strategies.		 Adriano Koshiyama; Sebastian Flennerhag; Stefano B. Blumberg; Nick Firoozye; Philip Treleaven; arxiv-cs.LG 2020-04-07
943 An Application Of Deep Reinforcement Learning To Algorithmic Trading
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Highlight: This scientific research paper presents an innovative approach based on deep reinforcement learning (DRL) to solve the algorithmic trading problem of determining the optimal trading position at any point in time during a trading activity in stock markets.		 Thibaut Théate; Damien Ernst; arxiv-q-fin.TR 2020-04-07
944 China’s Carbon Pricing Based on Heterogeneous Tail Distribution
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Abstract: To address climate change, the carbon emission trading scheme has become one of the main measures to achieve emission reduction goals. One of the core problems in constructing the …		 XIANZI YANG et. al. Sustainability 2020-04-01
945 Cryptocurrency Trading: A Comprehensive Survey
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Highlight: This paper provides a comprehensive survey of cryptocurrency trading research, by covering 146 research papers on various aspects of cryptocurrency trading (e.g., cryptocurrency trading systems, bubble and extreme conditions, prediction of volatility and return, crypto-assets portfolio construction and crypto-assets, technical trading and others).		 FAN FANG et. al. arxiv-q-fin.TR 2020-03-25
946 Evolutionary Disruption Of S&P 500 Trading Concentration: An Intriguing Tale Of A Financial Innovation
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Abstract: The novel finding of Balakrishnan, Miller & Shankar (2008) that investors, overwhelmed by the plethora of stock investment offerings, limit their analysis and daily choices to …		 S Gowri Shankar; James M Miller; P V Sundar Balakrishnan; PloS one 2020-03-24
947 Deep Deterministic Portfolio Optimization
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Highlight: The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading environments.		 Ayman Chaouki; Stephen Hardiman; Christian Schmidt; Emmanuel Sérié; Joachim de Lataillade; arxiv-q-fin.MF 2020-03-13
948 Equations And Shape Of The Optimal Band Strategy
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Highlight: We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control.		 Joachim de Lataillade; Ayman Chaouki; arxiv-q-fin.MF 2020-03-10
949 Analysing The Effect of Trading Characteristics on Liquidity Measures – A Combined Approach to Liquidity: Evidences from Tehran Stock Exchange
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Abstract: Liquidity estimation has always been of conspicuous importance to all investors as well as risk and return. The purpose of this study is to examine the impact of trading …		 S. Fathi; S. Jalali; A. Ajam; Omid Mirmohammad Sadeghi; Afro-Asian J. of Finance and Accounting 2020-03-10
950 Option Trading and The Cross‐listed Stock Returns: Evidence from Chinese A–H Shares
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Abstract: We empirically investigate the effects of option trading on the cross‐listed stock returns. Using dual‐listed stocks in mainland China (A) and Hong Kong (H) stock exchanges, we …		 Xingguo Luo; Xiaoli Yu; Shihua Qin; Qi Xu; Journal of Futures Markets 2020-03-03
951 Empirical Analysis Of Indirect Internal Conversions In Cryptocurrency Exchanges
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Highlight: In this paper, we build a set of methodologies to characterize and empirically measure different algorithmic trading strategies in Binance, a large centralized cryptocurrency exchange, using a complete data set of historical trades.		 Paz Grimberg; Tobias Lauinger; Damon McCoy; arxiv-q-fin.TR 2020-02-27
952 Using Reinforcement Learning In The Algorithmic Trading Problem
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Abstract: The development of reinforced learning methods has extended application to many areas including algorithmic trading. In this paper trading on the stock exchange is interpreted …		 Evgeny Ponomarev; Ivan Oseledets; Andrzej Cichocki; arxiv-q-fin.TR 2020-02-26
953 The Threshold Effect of Leveraged Trading on The Stock Price Crash Risk: Evidence from China
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Abstract: The stock price crash constitutes one part of the complexity in the stock market. We aim to verify the threshold effect of leveraged trading on the stock price crash risk from the …		 Zhen Peng; Changsheng Hu; Entropy (Basel, Switzerland) 2020-02-26
954 Short Term Trading Model for Asian Equity Index Futures – Using Hurst Exponent
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Abstract: The three-broad behaviour of market prices: trending, mean-reversion and random walk can be studied using the Hurst exponent. The goal of this paper is to develop a comprehensive …		 Ashwin Dudia; Vivek Kumar; Ritabrata Bhattacharyya; Econometric Modeling: Capital Markets – Asset Pricing … 2020-02-23
955 Adversarial Attacks on Machine Learning Systems for High-Frequency Trading
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Highlight: We introduce new attacks specific to this domain with size constraints that minimize attack costs.		 Micah Goldblum; Avi Schwarzschild; Ankit B. Patel; Tom Goldstein; arxiv-cs.LG 2020-02-21
956 The Impact of Margin-Trading and Short-Selling on Stock Price Efficiency—Evidence from The Fifth-Round Ban Lift in The Chinese Stock Market
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Abstract: This article investigates how margin-trading and short-selling affect stock price efficiency in the Chinese stock market. Using a sample of 205 stocks that are allowed to do …		 Jun Chen; Huimin Li; Dazhi Zheng; The Chinese Economy 2020-02-20
957 Short Term Trading Models – Mean Reversion Trading Strategies and The Black Swan Events
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Abstract: This research analyzed the effectiveness of Black Swan strategies for the Short-Term Mean-Reversion systems, the risks and rewards profiles of such betting systems based on the …		 M. Babayev; Folakemi Lotun; Goodwill Tatenda Mumvenge; Ritabrata Bhattacharyya; Mutual Funds 2020-02-15
958 Adaptive Quantitative Trading: An Imitative Deep Reinforcement Learning Approach
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Highlight: To address the challenges, we propose an adaptive trading model, namely iRDPG, to automatically develop QT strategies by an intelligent trading agent.		 Yang Liu; Qi Liu; Hongke Zhao; Zhen Pan; Chuanren Liu; aaai 2020-02-07
959 Fairness and Integrity in High-Frequency Markets – A Critical Assessment of The European Regulatory Approach
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Abstract: Over the past decades, financial markets have been fundamentally transformed by technological advances in combination with regulatory and institutional change. This has produced …		 T. Myklebust; European Business Law Review 2020-02-01
960 Flow Toxicity of High‐frequency Trading and Its Impact on Price Volatility: Evidence from The KOSPI 200 Futures Market
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Abstract: We examine the relation between high‐frequency trading, flow toxicity, and short‐term volatility during both normal and stressful periods. Using transaction data for the Korea …		 Jangkoo Kang; K. Kwon; W. Kim; Journal of Futures Markets 2020-02-01
961 Sentiment And Knowledge Based Algorithmic Trading With Deep Reinforcement Learning
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Highlight: To learn a good policy for trading, we formulate an approach using reinforcement learning which uses traditional time series stock price data and combines it with news headline sentiments, while leveraging knowledge graphs for exploiting news about implicit relationships.		 Abhishek Nan; Anandh Perumal; Osmar R. Zaiane; arxiv-cs.AI 2020-01-26
962 PASSIVE BALANCING THROUGH INTRADAY TRADING: WHETHER INTERACTIONS BETWEEN SHORT-TERM TRADING AND BALANCING STABILIZE GERMANY’S ELECTRICITY SYSTEM
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Abstract: Transmission System operators actively balance the electricity system by sending a dispatch signal to suppliers of balancing reserve. When market participants intentionally adapt …		 C. Koch; Philipp Maskos; International Journal of Energy Economics and Policy 2020-01-23
963 High‐Frequency Trading and Market Performance
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Abstract: High-frequency trading has transformed financial markets in recent years. We study the consequences of this development using a model with multiple trading venues, costly …		 Markus Baldauf; Joshua Mollner; Journal of Finance 2020-01-14
964 Machine Learning and Algorithmic Pairs Trading in Futures Markets
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Abstract: This study applies machine learning methods to develop a sustainable pairs trading market-neutral investment strategy across multiple futures markets. Cointegrated pairs with …		 Seungho Baek; Mina Glambosky; Seok Hee Oh; Jeong Lee; Sustainability 2020-01-01
965 MACHINE LEARNING BASED TRADING STRATEGIES FOR THE CHINESE STOCK MARKET
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 Juan Du; 2020-01-01
966 TRADING ENERGY AS A DIGITAL ASSET
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 Claudia Pop; Marcel Antal; Tudor Cioara; Ionut Anghel; 2020-01-01
967 Predicting Mobile Trading System Discontinuance: The Role of Attention
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 Dongyeon Kim; Kyuhong Park; Dong-Joo Lee; Yongkil Ahn; Electron. Commer. Res. Appl. 2020-01-01
968 EFFECT OF MACROECONOMIC FACTORS ON TRADING VOLUMES OF MANUFACTURING AND ALLIED COMPANIES LISTED IN NAIROBI SECURITIES EXCHANGE
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Abstract: Purpose: The purpose of this study was to establish the effect of inflation, lending rate, exchange rates and Treasury bill interest rate on trading volumes of manufacturing and …		 Gabriel Njogu Chege; Stanley Kirika; International Journal of Finance and Accounting 2020-01-01
969 Compulsive Gambling in The Financial Markets: Evidence from Two Investor Surveys
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 Ruben Cox; Atcha Kamolsareeratana; Roy Kouwenberg; Journal of Banking and Finance 2020-01-01
970 Determining The Peer-to-Peer Electricity Trading Price and Strategy for Energy Prosumers and Consumers Within A Microgrid
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 Jongbaek An; Minhyun Lee; Seungkeun Yeom; Taehoon Hong; Applied Energy 2020-01-01
971 On The Different Impacts of Fixed Versus Floating Bid-ask Spreads on An Automated Intraday Stock Trading
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 Alexander Loginov; Malcolm Heywood; The North American Journal of Economics and Finance 2020-01-01
972 Does Algorithmic Trading Harm Liquidity? Evidence from Brazil
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 Henrique Pinto Ramos; Marcelo Scherer Perlin; The North American Journal of Economics and Finance 2020-01-01
973 Development of A Profitable Trading Strategy with Data Mining Techniques
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Abstract: Modern trading platforms provide a complete set of technical analysis tools based on charts of various rates for different time frames, as well as popular technical indicators and …		 S.A. Povitukhin; E.V. Karmanova; 2020 International Multi-Conference on Industrial … 2020-01-01
974 Impact of Private Equity Trading Platforms on Firm Value and Corporate Governance
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Abstract: 1) This study presents a theoretical model to analyze the effect of private equity trading platforms, which have recently experienced rapid growth, on the investment …		 Daehyeon Park; Doojin Ryu; 2020-01-01
975 Stock Trading Classifier with Multichannel Convolutional Neural Network
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Abstract: Stock market forecasting has been a quite popular challenge in machine learning research. Recently, studies have been using deep learning techniques, such as Convolutional Neural …		 Davi Nascimento; Anna Costa; Reinaldo Bianchi; 2020-01-01
976 Machine Learning in Capital Markets: Decision Support System for Outcome Analysis
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Abstract: Decision support systems using Artificial Intelligence in the context of financial services include different application ranging from investment advice to financial trading. The …		 Riccardo Rosati; Luca Romeo; Carlos Alfaro Goday; Tullio Menga; Emanuele Frontoni; IEEE Access 2020-01-01
977 Meta-Learning of Evolutionary Strategy for Stock Trading
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Abstract: Meta-learning algorithms learn about the learning process itself so it can speed up subsequent similar learning tasks with fewer data and iterations. If achieved, these benefits …		 ERIK SORENSEN et. al. 2020-01-01
978 Trading Volume, Information Releases, and The Returns to Equity Option Straddles
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Abstract: In this paper we investigate the relationship between past trading volume and variance risk premiums (VRPs) around earnings announcement (EAs). Theoretical models suggest opposing …		 Thaddeus Neururer; George Papadakis; Social Science Research Network 2020-01-01
979 Portfolio Management Based on Deep Reinforcement Learning with Adaptive Sampling
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Abstract: Quantitative trading finds stable and profitable trading strategies by observing historical data through statistics or mathematics methods. However, existing studies are still …		 Yu-Hsiang Miao; Yi-Ting Hsiao; Szu-Hao Huang; 2020 International Conference on Pervasive Artificial … 2020-01-01
980 Improving Pair Trading Performances with Structural Change Detections and Revised Trading Strategies
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Abstract: A pairs trading strategy (PTS) forms a market-neutral portfolio whose value moves back and forth around a certain price level. An investor can long (short) the portfolio when its …		 Hao-Han Chang; Tian-Shyr Dai; Kuan-Lun Wang; Chao-Hsien Chu; Jun-Zhe Wang; 2020 International Conference on Pervasive Artificial … 2020-01-01
981 Stock Price Trend Forecasting Using Long Short Term Memory Recurrent Neural Networks
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Abstract: The prediction of future stock price trend using current and historical stock market data is a research problem for traders and researchers. Recently deep learning methods shown …		 Mahdi Ismael Omar; Mujeeb Rahaman; 2020-01-01
982 European Insider Trading Theory Revisited: The Limits of The Parity-of-Information Theory and The Application of The Property Rights in Information Theory to Activist Investment Strategies
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Abstract: Parity-of-information is purported to be the single overarching policy rationale for the European Union (EU) regulation on insider trading. This is because securities trading on …		 Ana Taleska; European Company and Financial Law Review 2020-01-01
983 Convert Index Trading to Option Strategies Via LSTM Architecture
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Abstract: In the past, most strategies were mainly designed to focus on stocks or futures as the trading target. However, due to the enormous number of companies in the market, it is not …		 Jimmy Ming-Tai Wu; Mu-En Wu; Pang-Jen Hung; Mohammad Mehedi Hassan; Giancarlo Fortino; Neural Computing and Applications 2020-01-01
984 LSTM-Based Quantitative Trading Using Dynamic K-Top and Kelly Criterion
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Abstract: With the strong capability of modeling time sequence, long short-term memory (LSTM) networks have been widely applied to predicting financial time series. This has attracted …		 Binjing Li; Keli Xie; Siyuan Lu; Jun Lin; Zhongfeng Wang; 2020 International Joint Conference on Neural Networks … 2020-01-01
985 Stock Market Prediction on High Frequency Data Using Long-Short Term Memory
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 Zineb Lanbouri; Saaid Achchab; 2020-01-01
986 A New Trading Algorithm with Financial Applications
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Abstract: The gravity equation is a useful tool for trading, but also for financial services as recently found. This paper tries to adapt modern theories of gravity equation for these …		 Guillermo Peña; 2020-01-01
987 Striving to Make Better Decision Quicker in Cloud: Big Data Event Trading in High Frequency Trading Perspective
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 Arodh Lal Karn; Niranjan Sapkota; Rakshha Kumari Karna; Muhammad Rafiq; Int. J. Serv. Technol. Manag. 2020-01-01
988 Design of Pipeline Framework for Pair Trading Algorithm
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Abstract: The pair trading strategy is widely considered as an efficient way to trade two stocks and find the correct instance to purchase and sell the shares. The strategy focuses on two …		 Nilesh D. Navghare; Hrushikesh P. Kulkarni; Pratik R. Kedar; Sanjana A. Thakre; Paritosh S. Patil; 2020 Second International Conference on Inventive Research … 2020-01-01
989 The Role of Attribute Selection in Deep ANNs Learning Framework for High-frequency Financial Trading
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 Monira Aloud; Intell. Syst. Account. Finance Manag. 2020-01-01
990 The More Illiquid, The More Expensive: A Search-Based Explanation of The Illiquidity Premium
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Abstract: Using a search-based trading model, we show that either an illiquidity price premium or discount can arise between two assets with identical fundamentals. Liquidity between the …		 Jaewon Choi; Jungsuk Han; Sean Seunghun Shin; Ji Hee Yoon; Microeconomics: Search; Learning; Information Costs & … 2020-01-01
991 Regulation Spillovers Across Cryptocurrency Markets
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 Nicola Borri; Kirill Shakhnov; Finance Research Letters 2020-01-01
992 A Multicriteria Trading System Based on Singular Spectrum Analysis Trading Rules
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Abstract: A new trading system (TS) is proposed in this paper, based on singular spectrum analysis (SSA) and on a decision-making process that relies on performance measures adjusted by …		 Michel Carlo Rodrigues Leles; Leonardo Amaral Mozelli; Elton Felipe Sbruzzi; Cairo Lúcio Nascimento Júnior; Homero Nogueira Guimarães; IEEE Systems Journal 2020-01-01
993 Pengaruh Internet Financial Reporting Dan Tingkat Pengungkapan Informasi Website Terhadap Frekuensi Perdagangan Saham
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Abstract: The purpose of this study was to analyze the effect of Internet Financial Reporting (IFR) practices on the frequency of stock trading of companies listed on the Stock Exchange in …		 Sri Fitri Wahyuni; Radiman Radiman; Yogi Pranata; 2020-01-01
994 Automatic P2P Energy Trading Model Based on Reinforcement Learning Using Long Short-Term Delayed Reward
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Abstract: Automatic peer-to-peer energy trading can be defined as a Markov decision process and designed using deep reinforcement learning. We consider prosumer as an entity that consumes …		 Jin-Gyeom Kim; Bowon Lee; Energies 2020-01-01
995 Trading on Earthquakes: Algorithmic Financialization of Tectonic Events at Global Stock Exchanges
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Abstract: This paper addresses how high-frequency trading adapts to natural disasters. Stock market trades have accelerated to a rate at which shares change hands in microseconds. I examine …		 Thomas Grindsted; Capital Markets: Market Microstructure eJournal 2020-01-01
996 The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency
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Abstract: This article examines the co-location of high-frequency trading (HFT) facilities and capacity of the Australian futures market to absorb information following major scheduled …		 Panha Heng; Scott J. Niblock; Jennifer L. Harrison; Hansi Hu; 2020-01-01
997 Futures Trading Strategy Test Based on Computer Programming
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Abstract: The quality of futures trading strategy is related to the success or failure of futures trading. The advantages and disadvantages of futures trading strategies are often known …		 Guo-ping Li; Proceedings of the 3rd International Conference on Data … 2020-01-01
998 A Bird’s Eye View of The World’s Fastest Networks
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Abstract: Low latency is of interest for a variety of applications. The most stringent latency requirements arise in financial trading, where sub-microsecond differences matter. As a …		 Debopam Bhattacherjee; Waqar Aqeel; Gregory Laughlin; Bruce M. Maggs; Ankit Singla; Proceedings of the ACM Internet Measurement Conference 2020-01-01
999 Impact Analysis of Financial Regulation on Multi-Asset Markets Using Artificial Market Simulations
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Abstract: In this study, we assessed the impact of capital adequacy ratio (CAR) regulation in the Basel regulatory framework. This regulation was established to make the banking network …		 Masanori Hirano; Kiyoshi Izumi; Takashi Shimada; Hiroyasu Matsushima; Hiroki Sakaji; 2020-01-01
1000 Event Based Sentiment Analysis on Futures Trading
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Abstract: Market expectations as well as perception of the investment risks and returns are dependent on information arrivals. News arrival forms the basis for market sentiment, which in …		 Ritu Yadav; Ashwani Kumar; A. Vinay Kumar; The Journal of Prediction Markets 2020-01-01
1001 A Two-Regime Markov-Switching GARCH Active Trading Algorithm for Coffee, Cocoa, and Sugar Futures
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Abstract: In the present paper we tested the use of Markov-switching Generalized AutoRegressive Conditional Heteroscedasticity (MS-GARCH) models and their not generalized (MS-ARCH) version. …		 Oscar V. De la Torre-Torres; Dora Aguilasocho-Montoya; María de la Cruz del Río-Rama; Mathematics 2020-01-01
1002 Empirical Research on Futures Trading Strategy Based on Time Series Algorithm
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Abstract: This article attempts to establish a trading strategy framework based on deep neural networks for the futures market, which consists of two parts: time series forecasting and …		 Shi Yao; Yan Hongfei; Ying Siping; Chong Chen; Su Qi; 2020-01-01
1003 A Dynamic Stock Trading System Using GQTS And Moving Average In The U.S. Stock Market
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Abstract: Evolutionary algorithms or metaheuristic methods are common approaches applied in highly complex optimization problems, such as stock trading. In this paper we employ a novel …		 Yi-Hsiang Chen; Chih-Hsiang Chang; Shu-Yu Kuo; Yao-Hsin Chou; 2020 IEEE International Conference on Systems, Man, and … 2020-01-01
1004 Does Algorithmic Trading Mean Predictable Prices? Short-Run Weak-Form Efficiency of Indian Stocks
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 Edward Curran; SSRN Electronic Journal 2020-01-01
1005 Algorithmic Trading and Market Quality
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Abstract: A unique data set from NASDAQ OMX Nordic allows a deep analysis of trader types’ activity and provides evidence on the roles played in the trading ecosystem. We specifically …		 John Paul Broussard; Andrei L. Nikiforov; Sergey Osmekhin; Microeconomics: General Equilibrium & Disequilibrium Models … 2020-01-01
1006 Deep Probabilistic Modelling of Price Movements for High-Frequency Trading
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Abstract: In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading …		 Ye-Sheen Lim; Denise Gorse; 2020 International Joint Conference on Neural Networks … 2020-01-01
1007 How Did Order-flow Impact Bond Prices During The European Sovereign Debt Crisis?
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 Zhongguo Lin; Philip A. Hamill; Youwei Li; Zhuowei Sun; James Waterworth; International Review of Economics & Finance 2020-01-01
1008 On The Bound of Cumulative Return in Trading Series and The Verification Using Technical Trading Rules
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Abstract: Although there is a wide use of technical trading rules in stock markets, the profitability of them still remains controversial. This paper first presents and proves the upper …		 Can Yang; Junjie Zhai; Helong Li; ArXiv 2020-01-01
1009 Profitable Stock Trading Strategy Using Technical Analysis with Python
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 Journal of Xidian University 2020-01-01
1010 Does Floor Trading Matter?
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Abstract: While algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of …		 Jonathan Brogaard; Matthew Ringgenberg; Dominik Rösch; LSN: Law & Finance: Empirical (Topic) 2020-01-01
1011 Strategic Timing of Corporate Insiders When Trading at Earnings Announcements
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 Harold Contreras; Finance Research Letters 2020-01-01
1012 Using Markov-switching Models with Markov Chain Monte Carlo Inference Methods in Agricultural Commodities Trading
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Abstract: In this work, the use of Markov-switching GARCH (MS-GARCH) models is tested in an active trading algorithm for corn and soybean future markets. By assuming that a given investor …		 Oscar V. De la Torre-Torres; Dora Aguilasocho-Montoya; José Álvarez-García; Biagio Simonetti; Soft Comput. 2020-01-01
1013 Understanding Impact of Twitter Feed on Bitcoin Price and Trading Patterns
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Abstract: ‘‘Cryptocurrency trading was one of the most exciting jobs of 2017’’. ‘‘Bit- coin’’,‘‘Blockchain’’, ‘‘Bitcoin Trading’’ were the most searched words in Google during 2017. High …		 Ashrit Deebadi; 2020-01-01
1014 Intraday Volume-Return Nexus in Cryptocurrency Markets: A Novel Evidence From Cryptocurrency Classification
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Abstract: This paper analyses the volume-return relationships across top 30 most traded cryptocurrencies from the April 2013 to June 2019 using a high-frequency intraday data. We use a …		 Larisa Yarovaya; Damian Zięba; ERN: Asset Pricing Models (Topic) 2020-01-01
1015 Stock Selection Heuristics for Performing Frequent Intraday Trading with Genetic Programming
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Abstract: Intraday trading attempts to obtain a profit from the microstructure implicit in price data. Intraday trading implies many more transactions per stock compared to long term …		 Alexander Loginov; Malcolm I. Heywood; Garnett Carl Wilson; Genetic Programming and Evolvable Machines 2020-01-01
1016 Digital Technologies As Means of Increasing The Efficiency and Transparency of Timber Stock Trading
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Abstract: The aim of the article. Domestic stocks suffer a problem of ensuring information transparency and objectivity of trading results, manipulations caused by the distortion of trading …		 Sergii Illiashenko; Yuliia Shypulina; Yuliia Smoliar; 2020-01-01
1017 Impact of High Frequency Trading on Equity Market with Reference to NSE India
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 A. Kotishwar; Indian Journal of Finance 2020-01-01
1018 The Only Sure Alpha: Tax-Motivated Trading and Price Efficiency
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Abstract: This article addresses how tax rules shape price discovery in financial markets. Price discovery, the process by which new information about the fundamental value of an asset is …		 Hillel Nadler; 2020-01-01
1019 High Frequency Trading A Boon and Bane
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Abstract: High-Frequency Trading is a modern solution to a time-old problem. This research article was drafted by our group for internal class discussion. We have tried to cover from …		 Robin Garewal; CompSciRN: Other High Performance Computing (Topic) 2020-01-01
1020 Evolutionary Hedging Model for Power Trading to Maximize Daily Profits
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Abstract: Established trading strategies such as fully back-to- back hedging no longer work in a world where customers transfer the cost of hedging completely to traders. Dynamic daily …		 Adrian Ettlin; 2020 17th International Conference on the European Energy … 2020-01-01
1021 Price Discovery for Options
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Abstract: We consider a market where traders have asymmetric information regarding the distribution of asset return and study price discovery of derivatives. The informed trader has private …		 Semyon Malamud; Michael Tseng; Yuan Zhang; Swiss Finance Institute Research Paper Series 2020-01-01
1022 Information Efficiency and The Effect of High Frequency Trading in The Us Futures Markets
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 Seung Youn Cha; SSRN Electronic Journal 2020-01-01
1023 Leveraging The Explainability of Associative Classifiers to Support Quantitative Stock Trading
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Abstract: Forecasting the stock market is particularly challenging due to the presence of a variety of inter-related economic and political factors. In recent years, the application of …		 Giuseppe Attanasio; Luca Cagliero; Elena Baralis; Proceedings of the Sixth International Workshop on Data … 2020-01-01
1024 Trading on Long-term Information
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Abstract: Investors who trade based on good research are said to be the backbone of stock markets: They conduct research to discover the value of stocks and, through their trading, guide …		 Corey Garriott; Ryan Riordan; Research Papers in Economics 2020-01-01
1025 Slow-moving Capital and Execution Costs: Evidence from A Major Trading Glitch
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 Vincent Bogousslavsky; Pierre Collin-Dufresne; Mehmet Sağlam; Journal of Financial Economics 2020-01-01
1026 Social Media Sentiment in International Stock Returns and Trading Activity
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Abstract: The authors investigate the impact of social media on S&P index constituents for U.S., European, and emerging markets with the international investor perspective using …		 Selin Duz Tan; Oktay Tas; Journal of Behavioral Finance 2020-01-01
1027 Hybrid Data Decomposition-Based Deep Learning for Bitcoin Prediction and Algorithm Trading
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Abstract: Although Bitcoin has attracted significant attention from investors and policy makers, the empirical works in the Bitcoin forecasting and trading support systems are still at an …		 Yuze Li; Shangrong Jiang; MatSciRN: Other Materials Performance (Topic) 2020-01-01
1028 Predictive Trading Strategy for Physical Electricity Futures
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Abstract: This article presents an original predictive strategy, based on a new mid-term forecasting model, to be used for trading physical electricity futures. The forecasting model is …		 Claudio Monteiro; L. Alfredo Fernandez-Jimenez; Ignacio J. Ramirez-Rosado; Energies 2020-01-01
1029 Volume Ratio Prediction Model During Price Limits Periods in China Stock Markets
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Abstract: Algorithmic trading has become the major trading mechanism and one of the core technologies of electronic transactions globally. In USA, above 90% of electronic trading volumes …		 Jianwu Lin; Yishen Xu; Dayu Qin; 2020 IEEE 18th International Conference on Industrial … 2020-01-01
1030 Application of Algorithmic Trading Strategies for Retail Investors
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 Ganesh Harke; Mikhail Shishlenin; Suresh Koppisetti; SSRN Electronic Journal 2020-01-01
1031 High-Frequency Trading
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 Ann-Christina Lange; 2020-01-01
1032 Short-Term Trading Strategy on G10 Currencies
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Abstract: This paper presents research on a profitable trading strategy for G10 currencies. We will devise trading strategies by considering realistic trading scenarios, analyze the …		 Dhruv Agrawal; Econometrics: Econometric & Statistical Methods – Special … 2020-01-01
1033 Information in Noise: Strategic Trading Under Autocorrelated Uninformed Orders
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Abstract: This paper develops a strategic trading model in which uninformed orders are allowed to exhibit a general correlation structure that generates autocorrelation in the order flow. …		 Vladislav Gounas; Capital Markets: Market Microstructure eJournal 2020-01-01
1034 A High-Frequency Algorithmic Trading Strategy for Cryptocurrency
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Abstract: Cryptocurrency such as Bitcoin is a rapidly developing phenomenon in financial technology with considerable research interest but is understudied. In this research article, we use …		 Au Vo; Christopher Yost-Bremm; Journal of Computer Information Systems 2020-01-01
1035 An Artificial Neural Networks Based Ensemble System to Forecast Bitcoin Daily Trading Volume
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Abstract: Cryptocurrencies are digital assets gaining popularity and generating huge transactions on electronic platforms. We develop an ensemble predictive system based on artificial …		 Salim Lahmiri; Raafat George Saadé; Danielle Morin; Fassil Nebebe; 2020 5th International Conference on Cloud Computing and … 2020-01-01
1036 Crash-sensitive Kelly Strategy Built on A Modified Kreuser-Sornette Bubble Model Tested Over Three Decades of Twenty Equity Indices
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Abstract: We present a modified version of the super-exponential rational expectations “Efficient Crashes” bubble model of (Kreuser and Sornette, 2019) with a different formulation of the …		 J-C Gerlach; Jerome L Kreuser; Didier Sornette; AARN: State Economies & Economic Change (Topic) 2020-01-01
1037 A Novel Algorithmic Trading Strategy Using Data-Driven Innovation Volatility
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Abstract: The explosion of algorithmic trading has been one of the most prominent recent trends in the finance industry. Regularized estimating functions including Kalman filtering (KF) …		 You Liang; A. Thavaneswaran; Md. Erfanul Hoque; 2020 IEEE Symposium Series on Computational Intelligence … 2020-01-01
1038 Research on Quantitative Trading Strategy Based on LSTM
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Abstract: With the gradual maturity of the domestic financial quantitative trading market, more and more investors have recognized the quantitative investment because of its relatively …		 JUN WANG et. al. 2020 Asia-Pacific Conference on Image Processing, … 2020-01-01
1039 Emotional Trading in The Cryptocurrency Market
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 Yongkil Ahn; Dongyeon Kim; Finance Research Letters 2020-01-01
1040 Coalition Feature Interpretation and Attribution in Algorithmic Trading Models
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Abstract: The ability to correctly interpret a prediction model’s output is critically important in many problem spheres. Accurate interpretation generates user trust in the model, provides …		 James V. Hansen; Computational Economics 2020-01-01
1041 Determinants of Price Reversal in High-frequency Trading: Empirical Evidence from Indonesia
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Abstract: This article analyzes whether the factors of the mechanism of high-frequency trading (HFT) or intraday trading affect the process of price reversal and continuation. The price …		 Perdana Wahyu Santosa; Investment management & financial innovations 2020-01-01
1042 Investigating The Performance of An Order Imbalance Based Trading Strategy in A High-Frequency Trading
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 Gholami Amir; Eftekharzadeh Maraghi Masoud; Industrial Engineering and Management Systems 2020-01-01
1043 Forecasting Taiwan Capitalization Weighted Stock Index By Using Convolutional Neural Network
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Abstract: Deep learning has been widely used in many research areas recently. One of the common applications is financial forecasting. Convolutional neural network (CNN), a class of deep …		 Chia-Hung Liao; Te-Lun Kao; Shyan-Ming Yuan; 2020 IEEE Eurasia Conference on IOT, Communication and … 2020-01-01
1044 Market Microstructure: A Comparative Study of Bombay Stock Exchange and National Stock Exchange
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Abstract: PurposeThe present study seeks to investigate the relative edge between the market microstructure of the two leading stock exchanges of the Indian capital market, that is BSE and …		 Anshi Goel; Vanita Tripathi; Megha Agarwal; Journal of Advances in Management Research 2020-01-01
1045 Hardware Accelerator for Engle-Granger Cointegration in Pairs Trading
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Abstract: Pairs trading is a classic strategy in the algorithmic trading area and has achieved great success in the stock market. It consists of two stages: pairs selection and trading …		 Shuang Liang; Siyuan Lu; Jun Lin; Zhongfeng Wang; 2020 IEEE International Symposium on Circuits and Systems … 2020-01-01
1046 Discretionary Loan Loss Provisioning and Stock Trading Liquidity
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Abstract: Loan loss provisioning is a key bank accounting practice that directly influences banks’ earnings and reflects the risk attributes of banks’ loan portfolios. Bank managers can …		 Yinlin Zhang; Michael. L. McIntyre; Journal of Banking Regulation 2020-01-01
1047 Does Algorithmic Trading Affect Analyst Research Production?
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Abstract: We document that Algorithmic Traders (ATs) reduce analysts’ stock coverage and the number of analyst research reports. This evidence reflects that ATs pre-empt trades on new …		 Pawel Bilinski; Irene Karamanou; Anastasia Kopita; Marios A. Panayides; Financial Accounting eJournal 2020-01-01
1048 Optimal Convergence Trading for Cross-listed Stocks
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Abstract: With the intention of maximizing an investor’s terminal utility, we construct a non-threshold ased trading model within which the optimal trading weights for daily rebalancing are …		 Christian-Oliver Ewald; Pengcheng Song; Yao Wu; Hai Zhang; Econometrics: Econometric & Statistical Methods – Special … 2020-01-01
1049 Intelligent Portfolio Theory and Trading in Commodity Futures
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Abstract: This paper presents a specific form of the Intelligent Portfolio Theory for trading in commodity futures markets. The theory is based on the recognition of the reality that any …		 Heping Pan; 2020 IEEE 18th International Conference on Industrial … 2020-01-01
1050 Algorithmic Trading Using Genetic Algorithms in The Brazilian Stock Exchange
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Abstract: The evolution of the computational capacity has been helping financial markets to increase the success in their operational running strategies on its investment portfolios. After …		 Jean Pierre Jarrier Conti; Heitor Silvério Lopes; ChemBioChem 2020-01-01
1051 Trading Strategy Using Share Buybacks: Evidence from India
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Abstract: The efficient market hypothesis states that in the efficient markets, participants cannot make extra-normal returns by exploiting any publicly available information. However, …		 Asheesh Pandey; Vandana Bhama; Amiya Kumar Mohapatra; Investment Management and Financial Innovations 2020-01-01
1052 Informed Trading in Options Markets Surrounding Data Breaches
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Abstract: We explore whether there is informed trading, which takes advantage of data breach events. By analyzing transactions in the options market, we conjecture that there are two …		 Louis R. Piccotti; Heng Emily Wang; SPGMI: Compustat Fundamentals (Topic) 2020-01-01
1053 Dispersion Trading Based on The Explanatory Power of S&P 500 Stock Returns
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Abstract: This paper develops a dispersion trading strategy based on a statistical index subsetting procedure and applies it to the S&P 500 constituents from January 2000 to December 2017. …		 Lucas Schneider; Johannes Stübinger; 2020-01-01
1054 Analisis Reaksi Investor Sebagai Dampak Covid-19 Pada Sektor Perbankan Di Indonesia
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Abstract: This study aims to determine the abnormal return and volume of stock trading transaction due to the Covid-19 pandemic. This research was conducted at banking sector companies …		 Crescentiano Agung Wicaksono; Rahandhika Ivan Adyaksana; 2020-01-01
1055 Cost-benefit Analysis of Trading Strategies in The Stock Index Futures Market
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Abstract: With the introduction of many derivatives into the capital market, including stock index futures, the trading strategies in financial markets have been gradually enriched. …		 Xiong Xiong; Yian Cui; Xiaocong Yan; Jun Liu; Shaoyi He; Financial Innovation 2020-01-01
1056 Examining Trading Strategies Using Trend Following Indicators for Indonesian Stock Market
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Abstract: This study aims to examine the reliability of the technical analysis (TA) approach in Indonesian stock exchanges, specifically moving-average trading rule to determine buy/sell …		 Felizia Arni Rudiawarni; Dedhy Sulistiawan; Yie Ke Feliana; International Journal of Trade and Global Markets 2020-01-01
1057 Dynamic Data Science Applications in Optimal Profit Algorithmic Trading
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Abstract: Many of the challenges and opportunities of data science in finance involve recursive smoothing, forecasting, filtering and pattern mining. Recently there has been a growing …		 You Liang; A. Thavaneswaran; Na Yu; Md. Erfanul Hoque; Ruppa K. Thulasiram; 2020 IEEE 44th Annual Computers, Software, and Applications … 2020-01-01
1058 Automated Trading Point Forecasting Based on Bicluster Mining and Fuzzy Inference
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Abstract: Historical financial data are frequently used in technical analysis to identify patterns that can be exploited to achieve trading profits. Although technical analysis using a …		 Qinghua Huang; Jie Yang; Xiangfei Feng; Alan Wee-Chung Liew; Xuelong Li; IEEE Transactions on Fuzzy Systems 2020-01-01
1059 Humans in Charge of Trading Robots: The First Experiment
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Abstract: We present results from an experiment where participants have access to a set of robots (automated trading algorithms), which they may deploy, launch, halt and replace at will, …		 ELENA N. ASPAROUHOVA et. al. Other Financial Economics eJournal 2020-01-01
1060 A General Solution Method for Insider Problems
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Abstract: We develop a flexible approach to solve a continuous-time, multi-asset/multi-option Kyle-Back model of informed trading under very general assumptions, including on the …		 François Cocquemas; Ibrahim Ekren; Abraham Lioui; arXiv: Trading and Market Microstructure 2020-01-01
1061 A Novel Dynamic Data-Driven Algorithmic Trading Strategy Using Joint Forecasts of Volatility and Stock Price
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Abstract: Volatility forecasts and stock price forecasts play major roles in algorithmic trading. In this paper, joint forecasts of volatility and stock price are first obtained and then …		 You Liang; A. Thavaneswaran; Alexander Paseka; Zimo Zhu; Ruppa K. Thulasiram; 2020 IEEE 44th Annual Computers, Software, and Applications … 2020-01-01
1062 An Evaluation of Pairs Trading in Commodity Futures Markets
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Abstract: Pairs trading is an algorithm to trade two cointegrated assets in order to get neutral profits theoretically. This paper is aimed to demonstrate the cointegration concepts and …		 Li Shen; Kun Shen; Chao Yi; Yixin Chen; 2020 IEEE International Conference on Big Data (Big Data) 2020-01-01
1063 Reinforcement Learning Approach for Market-Maker Problem Solution
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Abstract: The paper considers the implementation of machine learning technologies to algorithmic trading. The paper studies the process of the stock market trading and the role of the …		 K. A. Lokhacheva; Denis Parfenov; Irina Bolodurina; 2020-01-01
1064 Pre-selection in Cointegration-based Pairs Trading
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Abstract: Pairs trading is hardly applied to high-dimensionality datasets. The first step for its implementation, required to identify co-moving assets and usually based on …		 Marianna Brunetti; Roberta De Luca; CEIS: Centre for Economic & International Studies Working … 2020-01-01
1065 Day-Ahead Energy Trading Strategy of Regional Integrated Energy System Considering Energy Cascade Utilization
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Abstract: The traditional energy system has the disadvantages of high energy consumption and high emission. Through multiple energy networks interconnection and flexible energy conversion, …		 BO MIAO et. al. IEEE Access 2020-01-01
1066 Scenario Reduction for Stochastic Optimization Applied to Short-Term Trading of PV Power
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Abstract: This paper addresses the scenario reduction for stochastic optimization applied to short-term trading of photovoltaic (PV) power. Stochastic optimization becomes a useful …		 Isaías L. R. Gomes; Rui Melício; Victor M. F. Mendes; 2020-01-01
1067 Striving to Make Better Decision Quicker in Cloud: Big Data Event Trading in High Frequency Trading Perspective
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Abstract: In the world of big data, cloud computing in trading and rapid development in computing hardware and software; cloud computing and high frequency trading (HFT) unconditionally …		 Muhammad Rafiq; Rakshha Kumari Karna; Arodh Lal Karn; Niranjan Sapkota; International Journal of Services Technology and Management 2020-01-01
1068 Backtesting of Algorithmic Cryptocurrency Trading Strategies
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Abstract: This thesis presents a tool for backtesting algorithmic trading strategies for cryptocurrencies. The tool, called quantbacktest, provides a convenient way to automatically run …		 Jan Spörer; Mutual Funds 2020-01-01
1069 Peer-to-peer Electricity Trading in Grid-connected Residential Communities with Household Distributed Photovoltaic
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 Zhenpeng Li; Tao Ma; Applied Energy 2020-01-01
1070 LSTM Based Recurrent Enhancement of DQN for Stock Trading
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Abstract: In real stock trading tasks, technical and fundamental analysis are required in order to ensure positive earning at the end of trade. Machine learning approaches are widely used …		 Yeo Keat Ee; Nurfadhlina Mohd Sharef; Razali Yaakob; Khairul Azhar Kasmiran; 2020 IEEE Conference on Big Data and Analytics (ICBDA) 2020-01-01
1071 Algorithmic Trading for Online Portfolio Selection Under Limited Market Liquidity
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 Youngmin Ha; Hai Zhang; Eur. J. Oper. Res. 2020-01-01
1072 Unregulated Algorithmic Trading: Testing The Boundaries of The European Union Algorithmic Trading Regime
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Abstract: Trading in modern equity markets has come to be dominated by machines and algorithms. However, there is significant concern over the impact of algorithmic trading on market …		 Clara Martins Pereira; Journal of Financial Regulation 2020-01-01
1073 On The Design of Profitable Index Based on The Mechanism of Random Tradings
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Abstract: Designing profitable trading strategies is an issue of interest to many experts and scholars. There are thousands of strategies in financial markets, and almost all of them can be …		 Jia-Hao Syu; Mu-En Wu; Shin-Huah Lee; Jan-Ming Ho; 2020-01-01
1074 CRYPTO-CURRENCIES TRADING AND ENERGY CONSUMPTION
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Abstract: This study empirically investigates the effects of crypto-currencies trading on the energy consumption as an important consequence of blockchain technology on climate change. In …		 Christophe Schinckus; Canh Phuc Nguyen; Felicia Chong Hui Ling; International Journal of Energy Economics and Policy 2020-01-01
1075 Testing The Efficient Market Hypothesis in Latin American Stock Markets
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 M.A. Sánchez-Granero; K.A. Balladares; J.P. Ramos-Requena; J.E. Trinidad-Segovia; Physica A-statistical Mechanics and Its Applications 2020-01-01
1076 Global Bitcoin Markets and Local Regulations
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Abstract: Since the launch of Bitcoin in 2009, the spectacular rise and fall of cryptocurrencies and the underlying blockchain technology have attracted global attention. While the …		 Cyn-Young Park; Grace Tian; Bo Zhao; ERN: Speculation in Economic Markets (Topic) 2020-01-01
1077 When Do Investment Banks Use IPO Price Support?
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Abstract: Practitioners, regulators, and the financial media argue that underwriters tie Initial Public Offering (IPO) allocations to investor post-listing buying of the issuer shares in a …		 Sturla Lyngnes Fjesme; Banking & Insurance eJournal 2020-01-01
1078 Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy
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Abstract: Stock trading strategies play a critical role in investment. However, it is challenging to design a profitable strategy in a complex and dynamic stock market. In this paper, we …		 Hongyang Yang; Xiao-Yang Liu; Shan Zhong; Anwar Elwalid; Proceedings of the First ACM International Conference on AI … 2020-01-01
1079 Machine Over Mind? Stock Price Clustering in The Era of Algorithmic Trading
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 Sougata Das; Palani Rajan Kadapakkam; The North American Journal of Economics and Finance 2020-01-01
1080 Profitability of Technical Trading Rules Among Cryptocurrencies with Privacy Function
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 Shaker Ahmed; Klaus Grobys; Niranjan Sapkota; Finance Research Letters 2020-01-01
1081 Cryptocurrency Trading-Pair Forecasting, Using Machine Learning and Deep Learning Technique
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Abstract: With the volume of activities associated with trading, it has become a very tedious task. The advent of the algorithmic trading has brought with it some positive change such as …		 Ernest Osifo; Ritabrata Bhattacharyya; Mutual Funds 2020-01-01
1082 Did Trading Bots Resurrect The CAPM?
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Abstract: We document a significant, up to 10-fold increase in the intra-day correlation of firm-specific and market returns over the last decade. This surge in the intra-day correlation of …		 Andreas Park; Jinhua Wang; Capital Markets: Market Microstructure eJournal 2020-01-01
1083 High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies
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Abstract: A wider use of technology has contributed to the rapid growth of trading in stock markets in the last decades, resulting in an increase in the number of participants and a sharp …		 Antonio Sánchez Serrano; Review of Economics 2020-01-01
1084 Evaluating Future Stock Value Asset Using Machine Learning
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 R. Soujanya; P. Akshith Goud; Abhishek Bhandwalkar; G. Anil Kumar; Materials Today: Proceedings 2020-01-01
1085 The Drivers of Bitcoin Trading Volume in Selected Emerging Countries
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 Taoufik Bouraoui; The Quarterly Review of Economics and Finance 2020-01-01
1086 Does Reminding of Behavioural Biases Increase Returns from Financial Trading? A Field Experiment
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Abstract: We ran a field experiment to investigate whether nudge policies, consisting in behavioural insight messaging, help to improve performance in financial trading. Our experiment …		 Maria De Paola; Francesca Gioia; Fabio Piluso; Behavioral & Experimental Finance (Editor’s Choice) eJournal 2020-01-01
1087 Optimal Portfolio Trading: Adaptive Multi-period Trade Execution
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Abstract: We propose a new approach to adaptive multi-period trade execution which can be viewed as an extension of Grinold and Kahn (1995) and Almgren and Chriss (1999). Our methodology …		 Alex Boulatov; Alex Ulitsky; Capital Markets: Market Microstructure eJournal 2020-01-01
1088 Do Speed Bumps Curb Low-latency Investment? Evidence from A Laboratory Market
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 Mariana Khapko; Marius Zoican; Journal of Financial Markets 2020-01-01
1089 Hedging Via Opinion-based Pair Trading Strategy
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Abstract: Risk is an important component when constructing a trading strategy. However, most of the previous works that make the price movement prediction on the basis of the opinions on …		 Ting-Wei Hsu; Chung-Chi Chen; Hen-Hsen Huang; Meng Chang Chen; Hsin-Hsi Chen; Companion Proceedings of the Web Conference 2020 2020-01-01
1090 The High Frequency Trading in Korean Stock Markets
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 Soo-Cheol Park; The Korean journal of financial management 2020-01-01
1091 Time-driven Feature-aware Jointly Deep Reinforcement Learning for Financial Signal Representation and Algorithmic Trading
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 Kai Lei; Bing Zhang; Yu Li; Min Yang; Ying Shen; Expert Syst. Appl. 2020-01-01
1092 SML ON HIGH FREQUENCY TRADING DATA
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Abstract: Market traders often try to predict the financial market trends and try to extract information from the trading of the various securities. To extrapolate these trends, …		 Harshit Joshi; 2020-01-01
1093 Do Algorithmic Traders Improve Liquidity When Information Asymmetry Is High?
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Abstract: Hendershott et al. (2011, Does Algorithmic Trading Improve Liquidity? Journal of Finance 66, 1–33) show that algorithmic traders improve liquidity in equity markets. An equally …		 Archana Jain; Chinmay Jain; Revansiddha Basavaraj Khanapure; Quarterly Journal of Finance 2020-01-01
1094 Stock Market Trading Agent Using On-Policy Reinforcement Learning Algorithms
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Abstract: Stock market has been a complex system which has been difficult to predict for humans, thereby, making the trading decisions difficult to take. It will be useful for traders if …		 Shreyas Lele; Kavit Gangar; Harshal Daftary; Dewashish Dharkar; CompSciRN: Artificial Intelligence (Topic) 2020-01-01
1095 Algorithmic Trading and Quantitative Strategies
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 Raja Velu; Maxence Hardy; Daniel Nehren; Algorithmic Trading and Quantitative Strategies 2020-01-01
1096 A Strategy for Electricity Buyers in Futures Markets
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Abstract: This paper presents an original trading strategy for electricity buyers in futures markets. The strategy applies a medium-term electricity price forecasting model to predict the …		 Claudio Monteiro; Ignacio J. Ramirez-Rosado; L. Alfredo Fernandez-Jimenez; 2020-01-01
1097 Algorithmic Trading in Turbulent Markets
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Abstract: This paper considers algorithmic trading (AT) during the most volatile trading days on the Australian Securities Exchange from October 2008 till October 2009. We show a …		 Hao Zhou; Petko S. Kalev; Guanghua Lian; Pacific-basin Finance Journal 2020-01-01
1098 A Study on The Application of Bandwidth Index in The Performance of High-Frequency Trading of Genetic Algorithm
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Abstract: Continuous trading in Taiwan has received increased research interest in recent years. High-frequency trading is of particular interest. But, obtaining a high rate of return poses …		 Ping-Chen Lin; Wen-Hsien Chen; 2020 The 11th International Conference on E-business, … 2020-01-01
1099 Quantitative Investment Strategy Analysis Based on Machine Learning for Share Dealing
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Abstract: In the fluctuated stock market, the maximum profits cannot be guaranteed by long-term holding stocks. Applying a quantitative investment strategy for frequent trading could …		 Chenhao Zhou; 2020 7th International Conference on Information Science … 2020-01-01
1100 Information Flows and Systematic Risk
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Abstract: The arrival of new information is a source of systematic risk for the holder of a financial security. Using several measures of information flows, we show that a stock’s …		 David Easley; David Michayluk; Maureen O’Hara; Vinay Patel; Tālis J. Putniņš; Capital Markets: Market Microstructure eJournal 2020-01-01
1101 Are Expected Costs and Returns Identical Twins? Decoupling Slippage from Momentum Over Shorter Horizons
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Abstract: Does the quest for best execution on behalf of large institutional orders boil down to optimizing the short-term momentum during their trading? We clip the trades originating from …		 Milan Borkovec; Konstantin Tyurin; 2020-01-01
1102 The Impact of High-Frequency Trading in Experimental Markets
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Abstract: The impact of high-frequency trading (HFT) strategies on market quality has been debated in both public forums and academic studies for years. Although some consider HFT to be …		 Nathanael Berger; Mark DeSantis; David Porter; 2020-01-01
1103 Trading Support Method Based on Computational Intelligence for Speculators in The Options Market
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Abstract: The financial world has changed dramatically in recent decades. Electronic data processing, globalisation, and deregulation have changed markets, and the biggest part of these …		 Nijolė Maknickienė; Algirdas Maknickas; Raimonda Martinkutė-Kaulienė; Journal of International Studies 2020-01-01
1104 How Does Algorithmic Trading Influence Investor Participation in Peer-to-Peer Online Lending Markets?
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 Hongchang Wang; Eric Overby; 2020-01-01
1105 Trading Electricity Markets Using Neural Networks
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Abstract: We tackle the problem of developing an automated trading strategy to profit in the British intraday continuous electricity markets. We first train a feedforward neural network to …		 L. Pozzetti; J. Cartlidge; 2020-01-01
1106 Novel Data-Driven Fuzzy Algorithmic Volatility Forecasting Models with Applications to Algorithmic Trading
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Abstract: The explosion of algorithmic trading has been one of the most prominent trends in the finance industry. In this paper, two strategies for algorithmic trading such as Bollinger …		 A. Thavaneswaran; You Liang; Zimo Zhu; Ruppa K. Thulasiram; 2020 IEEE International Conference on Fuzzy Systems … 2020-01-01
1107 Assessing The Relevance of An Information Source to Trading from An Adaptive-markets Hypothesis Perspective
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Abstract: I propose a framework motivated by the Adaptive Markets Hypothesis (AMH) to analyze the relevance of a specific information source for the trading of a given security. To …		 George Chalamandaris; Quantitative Finance 2020-01-01
1108 Data-driven Stock Trading in Financial Markets: An Adaptive Control Approach
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Abstract: In financial markets, stock trading techniques usually require to learn a model of the non-stationary dynamics of the underlying asset in order to make reliable predictions and …		 Francesco Abbracciavento; Simone Formentin; Sergio Matteo Savaresi; International Journal of Control 2020-01-01
1109 ZIMBABWE: Stock Trading Suspended
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 Africa Research Bulletin: Economic, Financial and Technical … 2020-01-01
1110 Profitability of Options Trading Strategy Using SVM
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 Kim Sun Woong; Journal of Convergence Information Technology 2020-01-01
1111 Information Asymmetries in The Context of Restatement Announcements
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Abstract: This chapter presents the results of an empirical investigation on stock trading activity in the context of restatement announcements. The aim is to explore whether sophisticated …		 Pierangelo Rosati; Pietro Mazzola; Riccardo Palumbo; Foreign Direct Investments 2020-01-01
1112 Forecasting Stock Market Trends Using Support Vector Regression and Perceptually Important Points
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Abstract: Intelligent stock trading systems use soft computing techniques in order to make trading decisions in the stock market. However, the fluctuations of the stock price make it …		 Mojtaba Azimifar; Babak N. Araabi; Hadi Moradi; 2020 10th International Conference on Computer and … 2020-01-01
1113 Order Timing for Manufacturers with Spot Purchasing Price Uncertainty and Demand Information Updating
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Abstract: In this paper we study the competitive order timing decisions of two manufacturers with demand forecasting updating and uncertain raw material price. Manufacturers can order the …		 Mengchu Wu; Lijun Ma; Weili Xue; Journal of Systems Science and Systems Engineering 2020-01-01
1114 High-frequency Trading and Institutional Trading Costs
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 Marie Chen; Corey Garriott; Journal of Empirical Finance 2020-01-01
1115 The Use of Moving Average Trading Rules in Indonesian Stock Market
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Abstract: The development of behavioural finance stimulates the usefulness of simple trading rule. Decision biases are reflected in price movement, which is utilised by technical analysis …		 Dedhy Sulistiawan; Felizia Arni Rudiawarni; International Journal of Business and Globalisation 2020-01-01
1116 Predict Stock Market’s Fluctuating Behaviour : Role of Investor’s Sentiments on Stock Market Performance
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Abstract: Long term historical records of the stock markets are widely used in technical research to define, understand and analyze stock market’s time series trends and patterns which can …		 Uma Gurav; Kotrappa S; international journal of engineering trends and technology 2020-01-01
1117 An Asymptotic Statistical Learning Algorithm for Prediction of Key Trading Events
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Abstract: In financial trading, trading at key time points (i.e., the best times for buying or selling in specific contexts) is one of the most effective trading methods. Since key points …		 Jianfei Yin; Ruili Wang; Shunda Ju; Yizhe Bai; Joshua Zhexue Huang; IEEE Intelligent Systems 2020-01-01
1118 Technical Trading Rules in The Cryptocurrency Market
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 Klaus Grobys; Shaker Ahmed; Niranjan Sapkota; Finance Research Letters 2020-01-01
1119 Improving Deep Reinforcement Learning for Financial Trading Using Neural Network Distillation
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Abstract: Deep Reinforcement Learning (RL) is increasingly used for developing financial trading agents for a wide range of tasks. However, optimizing deep RL agents is known to be …		 Avraam Tsantekidis; Nikolaos Passalis; Anastasios Tefas; 2020 IEEE 30th International Workshop on Machine Learning … 2020-01-01
1120 Strategic Insider Trading: Disguising Order Flows to Escape Trading Competition
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 Dingwei Gu; Xin Liu; Hanwen Sun; Huainan Zhao; ERN: Other Microeconomics: General Equilibrium & … 2020-01-01
1121 Using Machine Learning to Profit on The Risk Premium of The Nordic Electricity Futures
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Abstract: This study investigates the use of several trading strategies, based on Machine Learning methods, to profit on the risk premium of the Nordic electricity base-load week futures. …		 Sebastião Helder; Pedro Godinho; Sjur Westgaard; Scientific Annals of Economics and Business 2020-01-01
1122 High Frequency Momentum Trading with Cryptocurrencies
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 Jeffrey Chu; Stephen Chan; Yuanyuan Zhang; Research in International Business and Finance 2020-01-01
1123 The High Frequency Trade Off Between Speed and Sophistication
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 Daniel Ladley; Journal of Economic Dynamics and Control 2020-01-01
1124 Can Trading Strategies Improve The Investment Performance of Social Security Fund
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Abstract: Under the great pressure of social security payments caused by the arrival of a low fertility trap and the aging era, the performance goal of Social Security Fund （SSF） investment …		 Tang Dapeng; Wu Jiamei; Journal of finance and economics 2020-01-01
1125 Deep Reinforcement Learning Pairs Trading with A Double Deep Q-Network
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Abstract: This research applies a deep reinforcement learning technique, Deep Q-network (DQN), to a stock market pairs trading strategy for profit. There is a need for this work, not only …		 Andrew Brim; 2020 10th Annual Computing and Communication Workshop and … 2020-01-01
1126 Insider Trading Patterns
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Abstract: We find that corporate insiders trade over longer periods of time when they may have a longer-lived informational advantage. Controlling for the duration of insiders’ trading …		 Lee Biggerstaff; David C. Cicero; M. Babajide Wintoki; Corporate Governance: Internal Governance 2020-01-01
1127 European Legal Framework for Algorithmic and High Frequency Trading (Mifid 2 and MAR): A Global Approach to Managing The Risks of The Modern Trading Paradigm
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 Tilen Cuk; Arnaud van Waeyenberge; SSRN Electronic Journal 2020-01-01
1128 A New Construction Method of Futures Trading Strategy Construction Based on AFS Theory
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Abstract: Futures trading is an advanced trading mode, which is developed from the spot trading and forward contract trading. It is a legal agreement between several people who don’t know …		 Yabing Du; Xiaodong Liu; Wenjuan Jia; Mengmeng Liu; 2020 39th Chinese Control Conference (CCC) 2020-01-01
1129 A Hybrid Model of Dynamic Time Wrapping and Hidden Markov Model for Forecasting and Trading in Crude Oil Market
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Abstract: In this study, a hybrid model of hidden Markov model (HMM) and dynamic time wrapping (DTW) is proposed to predict the return of crude oil price movements and trading. First, three …		 Shangkun Deng; Youtao Xiang; Boyang Nan; Hongyu Tian; Zhe Sun; Soft Computing 2020-01-01
1130 High-performance Stock Index Trading Via Neural Networks and Trees
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 Chariton Chalvatzis; Dimitrios Hristu-Varsakelis; Appl. Soft Comput. 2020-01-01
1131 Algorithmic Trading Using Long Short-Term Memory Network and Portfolio Optimization
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Abstract: Investors typically rely on a mix of experience, intuition, knowledge of economic fundamentals and real-time information to make informed choices and try to get as high a rate of …		 RICCARDO LUCATO et. al. 2020-01-01
1132 Global Bitcoin Markets and Local Regulations:
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Abstract: Since the launch of Bitcoin in 2009, the spectacular rise and fall of cryptocurrencies and the underlying blockchain technology have attracted global attention. While the …		 Shu Tian; Bo Zhao; Cyn-Young Park; Worlds Poultry Science Journal 2020-01-01
1133 Deep Learning for Algorithmic Trading: Enhancing MACD Strategy
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Abstract: Transaction automation has always received widespread attention in the field of financial research. As one of the most popular technical indicators of traders, the Moving Average …		 Ying Lei; Qinke Peng; Yiqing Shen; Proceedings of the 2020 6th International Conference on … 2020-01-01
1134 Trading Performance and Market Efficiency: Evidence from Algorithmic Trading
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 Sudhakara Reddy Syamala; Kavita Wadhwa; Research in International Business and Finance 2020-01-01
1135 High-frequency Trading and Stock Liquidity: An Intraday Analysis
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 Imen Ben Ammar; Slaheddine Hellara; Imen Ghadhab; Research in International Business and Finance 2020-01-01
1136 High-frequency Trading with Fractional Brownian Motion
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Abstract: In the high-frequency limit, conditionally expected increments of fractional Brownian motion converge to a white noise, shedding their dependence on the path history and the …		 Paolo Guasoni; Yuliya Mishura; Miklós Rásonyi; Finance and Stochastics 2020-01-01
1137 Impact of Algorithmic Trading on Speed of Adjustment to New Information: Evidence from Interest Rate Derivatives
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 Alex Frino; Michael Garcia; Zeyang Zhou; Journal of Futures Markets 2020-01-01
1138 Prediction of The Profitability of Pairs Trading Strategy Using Machine Learning
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Abstract: Pairs trading strategy is one of the well-known quantitative trading strategy developed in 1980s by the team of scientists. There are many researchers trying to study and create …		 Ronnachai Jirapongpan; Naragain Phumchusri; 2020 IEEE 7th International Conference on Industrial … 2020-01-01
1139 Foreign Exchange Trading: A Risk-averse Batch Reinforcement Learning Approach
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Abstract: Automated Trading Systems’ impact on financial markets is ever growing, particularly on the intraday Foreign Exchange market. Historically, the FX trading systems are based on …		 LORENZO BISI et. al. Proceedings of the First ACM International Conference on AI … 2020-01-01
1140 Statistical Trading Strategies and Back-Testing
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 Raja Velu; Maxence Hardy; Daniel Nehren; 2020-01-01
1141 An Intelligent Stock Trading Decision Support System Using The Genetic Algorithm
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Abstract: The authors present a simple data-driven decision support system for stock market trading using multiple technical indicators, decision trees, and genetic algorithms (GAs). It …		 Monira Essa Aloud; Int. J. Decis. Support Syst. Technol. 2020-01-01
1142 Backtesting A Trading Strategy
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 Matthew Macarty; 2020-01-01
1143 TINGKAT EFEKTIVITAS SISTEM INFORMASI REMOTE TRADING MENGGUNAKAN METODE UTAUT PADA PT CIPTADANA SECURITIES
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Abstract: Along with the rapid development of information technology, the Indonesian Stock Exchange (IDX) began to develop a more efficient transaction concept by starting to apply the …		 Maria Gabby Winata; 2020-01-01
1144 An Introduction to Algorithmic Finance, Algorithmic Trading and Blockchain
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Abstract: The purpose of the book is to provide a broad-based accessible introduction to three of the presently most important areas of computational finance, namely, option pricing, …		 Satya R. Chakravarty; Palash Sarkar; 2020-01-01
1145 Replicating Stock Trading Strategy By Means of Neural Networks
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Abstract: Training a robot to replicate a successful trader’s strategy in the stock market could create huge amount of value. In this paper, we try to replicate trading strategies generated …		 Chongyang Zhang; 2020 7th International Conference on Information Science … 2020-01-01
1146 On The Efficacy of Optimized Exit Rule for Mean Reversion Trading
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Abstract: We investigate the effect of using an optimized exit rule on pairs trading. For every asset pair, we optimize the positions so that resulting intraday portfolio value is best …		 Donovan Lee; Tim Leung; Capital Markets: Market Efficiency eJournal 2020-01-01
1147 Does Low Latency Trading Improve Market Efficiency? A Discussion
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Abstract: Chordia and Miao (2020) provide evidence that low-latency trading (LLT) improves the long-term informational efficiency of stock prices. This discussion raises two primary …		 Ryan Erhard; Richard G. Sloan; Capital Markets: Market Efficiency eJournal 2020-01-01
1148 Pairs Trading in Commodity Futures: Evidence from The Indian Market
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Abstract: The pairs trading, one of the techniques of the statistical arbitrage, is a market-neutral trading strategy that employs time series methods to identify relative mispricing …		 Indian Journal of Economics and Development 2020-01-01
1149 High Frequency Trading: Business Redesign Through Big Data and Cloud
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 Arodh Lal Karn; 2020-01-01
1150 Energy Trading in Smart Grid: A Deep Reinforcement Learning-based Approach
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Abstract: To achieve the efficient operation of the smart grid, appropriate energy trading strategy plays an important role in reducing multi-agent costs in the trading process as well as …		 Feiye Zhang; Qingyu Yang; 2020 Chinese Control And Decision Conference (CCDC) 2020-01-01
1151 ANALISIS REAKSI PASAR SEBELUM DAN SESUDAH PELANTIKAN KABINET INDONESIA MAJU PADA PERUSAHAAN BUMN DI BURSA EFEK INDONESIA
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Abstract: President Joko Widodo had been inaugurated ministers in the Advanced Indonesia Cabinet that will help him to undergo the wheels of government in the 2019-2024 period on October …		 Abdullah Kango; Ivonne S. Saerang; Maryan Mangantar; 2020-01-01
1152 The Information Content of Director Trading: Evidence from Acquisition Announcements in Australia
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 Mosharraf Hossain; Richard Heaney; Jing Yu; Global Finance Journal 2020-01-01
1153 Information Networks in The Financial Sector and Systemic Risk
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Abstract: We create and test two novel network-based measures of interconnectedness in the financial industry during 1996 to 2013. A network based on informed trading in financial firms …		 Paul Borochin; Stephen Rush; Financial Crises eJournal 2020-01-01
1154 Machine Learning for Algorithmic Trading
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Abstract: The purpose of the study is to confirm the feasibility of using machine learning methods to predict the behavior of the foreign exchange market. The article examines the …		 T Kondratieva; L Prianishnikova; I Razveeva; 2020-01-01
1155 Intelligent Portfolio Theory and Strength Investing in The Confluence of Business and Market Cycles and Sector and Location Rotations
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Abstract: This chapter presents the state of the art of the Intelligent Portfolio Theory which consists of three parts: the basic theory — principles and framework of intelligent portfolio …		 Heping Pan; 2020-01-01
1156 Investigating The Effectiveness of Inter-Varsity Stock Challenge to Inculcate Stock Trading Literacy Amongst Youth
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Abstract: Experiential learning through educational simulation provides opportunity for development of hard and soft skills requested by employers. The acquired skills prepare learners for …		 Lim You Ping; Loh Kah Heng; Theresa Chiew Gim Ean; Ong Jing Kai; The International Journal of Academic Research in Business … 2020-01-01
1157 Adaptive Wavelet Transform Model for Time Series Data Prediction
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Abstract: With the development of cloud computing and big data, stock prediction has become a hot topic of research. In the stock market, the daily trading activities of stocks are carried …		 Xin Liu; Hui Liu; Qiang Guo; Caiming Zhang; Soft Computing 2020-01-01
1158 Geometric Brownian Motion: An Alternative to High-frequency Trading for Small Investors
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Abstract: High-frequency trading (HFT) involves short-term, high-volume market operations to capture profits. To a large extent, these operations take advantage of early access to …		 Eder Oliveira Abensur; Davi Franco Moreira; Aline Cristina Rodrigues De Faria; Independent Journal of Management & Production 2020-01-01
1159 Pairs Trading with The Persistence-based Decomposition Model
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Abstract: It is challenging to accurately model the relationship between a set of securities, yet it is the nucleus of every trading strategy involving more than one security. Prominent …		 Jonas Rende; 2020-01-01
1160 Algorithmic Trading Strategies
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 Satya R. Chakravarty; Palash Sarkar; 2020-01-01
1161 High-frequency Trading
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 Satya R. Chakravarty; Palash Sarkar; 2020-01-01
1162 The Effect of Earning and Information Quality on Stock Trading
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Abstract: This study investigates the effect of earnings and information quality on stock trading. The statistical population consists of 99 listed companies in Tehran Stock Exchange from …		 Abdorreza Asadi; Ahmad Zendehdel; Bibi Zahra Sanagostar; 2020-01-01
1163 Multi-area Peer-to-Peer Energy Trading
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Abstract: With the influx of third-party capitals, the traditional centralized operation problem is transformed into multi-area autonomous optimization problems charged by multiple …		 Haotian Yao; Yue Xiang; Junyong Liu; Shuai Hu; 2020 IEEE 3rd Student Conference on Electrical Machines and … 2020-01-01
1164 Employing Machine Learning Algorithms to Build Trading Strategies with Higher Than Risk-Free Returns
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Abstract: This research aims at exploring whether simple trading strategies developed using state-of-the-art Machine Learning (ML) algorithms can guarantee more than the risk-free rate of …		 Baris Yalin Uzunlu; Syed Muzammil Hussain; 2020-01-01
1165 Use Stock Market Data to Assist Investors on Getting More Accurate Transaction Decision
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Abstract: Colombo Stock Exchange (CSE) is one of the best performing stock exchanges in South Asia. Presently lots of investors (i.e. people who buy or sell stocks) connected with the CSE. …		 A. V. L. Chandima; International Journal of Scientific and Research … 2020-01-01
1166 Improving The Profitability of A Private Investor By Mastering Digital Trading Skills in The Face of Digital Transformation of Stock Markets
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Abstract: The stock market is an essential part of the country’s financial system and a key tool for redistribution of funds between economic entities. In countries with high levels of …		 Mikael Galustyan; Irina Sycheva; Svetlana Smirnova; Vera Levina; Nataliia Pianova; Proceedings of the 2nd International Scientific Conference … 2020-01-01
1167 Insider Trading Patterns
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 Lee Biggerstaff; David Cicero; M. Babajide Wintoki; Journal of Corporate Finance 2020-01-01
1168 Deep Reinforcement Learning Based Multi-Objective Systems for Financial Trading
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Abstract: Because of the risky nature of stock market, most people do not feel a secure option to invest their money in financial trading. Focusing on this basic concern of investors much …		 Kiran Bisht; Arun Kumar; 2020 5th IEEE International Conference on Recent Advances … 2020-01-01
1169 Financial Trading Strategy System Based on Machine Learning
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Abstract: The long-term and short-term volatilities of financial market, combined with the complex influence of linear and nonlinear information, make the prediction of stock price …		 Yanjun Chen; Kun Liu; Yuantao Xie; Mingyu Hu; Mathematical Problems in Engineering 2020-01-01
1170 Do Market-Wide Circuit Breakers Calm The Markets or Panic Them?
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Abstract: Market-wide circuit breakers (MWCBs), which halt trading for 15 minutes across all U.S. stock exchanges, were triggered four times in March 2020. We provide some of the first …		 Xiaoyang Li; Wenying Yao; Capital Markets: Market Efficiency eJournal 2020-01-01
1171 Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy
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Abstract: Stock trading strategies play a critical role in investment. However, it is challenging to design a profitable strategy in a complex and dynamic stock market. In this paper, we …		 Hongyang Yang; Xiao-Yang Liu; Shan Zhong; Anwar Walid; 2020-01-01
1172 Deep Q Learning Applied to Stock Trading
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 Agnibh Dasgupta; 2020-01-01
1173 Biased Information Transmission in Investor Social Networks: Evidence from Professional Traders
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Abstract: Theoretical studies postulate that information transmission in investor social networks has important implications for diverse market phenomena, including trading volume, price …		 Sonya Lim; Jacqueline Lane; Brian Uzzi; 2020-01-01
1174 Pattern Searcher for Decision Making of Trading Agents Using Genetic Algorithm
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Abstract: In the last few years, there was a growth regarding the use of computational methods in the field of finance, especially to negotiations in the stock market. In this paper, we aim …		 Felipe V. Cacique; Adriano M. Pereira; 2020 IEEE Congress on Evolutionary Computation (CEC) 2020-01-01
1175 Connecting Equity and Foreign Exchange Markets Through The WM Fix: A Trading Strategy
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Abstract: We examine the relationship between equity and foreign exchange markets at, and around, the WM/Reuters benchmark exchange rate known as the the ‘Fix’. Execution at the Fix is a …		 Arnav Sheth; Keisuke Teeple; Journal of Interaction Science 2020-01-01
1176 Market Frictions and The Geographical Location of Global Stock Exchanges. Evidence from The S&P Global Index
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Abstract: We examine the impact of trading costs on investor average holding periods for the S&P global 1200 index. We report overwhelming evidence that global equity indices cannot be …		 Andros Gregoriou; Robert Hudson; Journal of Economic Studies 2020-01-01
1177 The Driving Engine of Quantitative Trading Strategy Based on Event Processing
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Abstract: The event-based quantitative trading system can avoid human subjective judgment errors in the stock and futures trading markets, and the development of quantitative trading …		 Wei Ye Shi; Hong Xing Xu; 2020 4th Annual International Conference on Data Science … 2020-01-01
1178 Algorithm-Based Intraday Trading Strategies and Their Market Impact
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Abstract: The activity of algorithmic trading is increasing steadily across capital markets due to technological developments. This thesis analyses the common algorithmic intraday trading …		 Luisa Müller; Mutual Funds 2020-01-01
1179 Rules Based Policy for Stock Trading: A New Deep Reinforcement Learning Method
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Abstract: Automated trading is fully represented as an online decision-making problem, where agents desire to sell it at a higher price to buy at a low one. In financial theory, financial …		 Badr Hirchoua; Brahim Ouhbi; Bouchra Frikh; 2020 5th International Conference on Cloud Computing and … 2020-01-01
1180 A Novel Framework for Stock Trading Signals Forecasting
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Abstract: This study investigates stock trading points prediction that is an attractive yet challenging research topic in the financial investment area, as the stock market is an unstable …		 Yingjun Chen; Yijie Hao; Soft Computing 2020-01-01
1181 Investor-advisor Big Five Personality Similarity and Stock Trading Performance
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 Muhammad Zubair Tauni; Salman Yousaf; Tanveer Ahsan; Journal of Business Research 2020-01-01
1182 Empirical Evidence on The Profitability of Momentum Trading Strategies Using ETFs
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Abstract: PurposeWe extend empirical evidence on the profitability of momentum trading to the realm of plain-equity ETFs.Design/methodology/approachWe employ several ranking measures used …		 Susana Yu; Gwendolyn P. Webb; Managerial Finance 2020-01-01
1183 Behavioral Agent-based Framework for Interacting Financial Markets
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Abstract: This paper aims at developing a behavioral agent-based model for interacting financial markets. Additionally, the effect of imposing Tobin taxes on market dynamics is …		 Heba M. Ezzat; 2020-01-01
1184 The Trading Strategy of Inflection Point Futures Analysis Based on AFS Theory
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Abstract: Futures trading strategies include buying and selling strategies formulated by traders, traders can make huge profits by using reasonable trading strategies. Most researchers use …		 Mengmeng Liu; Xiaodong Liu; Wenjuan Jia; Yabing Du; 2020 39th Chinese Control Conference (CCC) 2020-01-01
1185 Adaptive Stock Trading Strategies with Deep Reinforcement Learning Methods
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 XING WU et. al. Inf. Sci. 2020-01-01
1186 Deep Reinforcement Learning and Genetic Algorithm for A Pairs Trading Task on Commodities
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Abstract: This paper uses five pairs trading strategies to conduct in-sample training and backtesting on 35 commodities in the major commodity markets from 1980 to 2018. The Distance Method …		 Georgios Sermpinis; Charalampos Stasinakis; Xiangyu Zong; Capital Markets: Market Efficiency eJournal 2020-01-01
1187 Robo-Advisors: Machine Learning in Trend-Following ETF Investments
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Abstract: We examine an application of machine learning to exchange traded fund investments in the U.S. market. To find how the changes in exchange traded fund prices are associated with …		 Seungho Baek; Kwan Yong Lee; Merih Uctum; Seok Hee Oh; Sustainability 2020-01-01
1188 Mistakes in Algorithmic Trading of Cryptocurrencies
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 Alexander Loke; Modern Law Review 2020-01-01
1189 Risk Aversion, Public Disclosure, and Partially Informed Outsiders
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 Hong Liu; Shujuan Chai; The North American Journal of Economics and Finance 2020-01-01
1190 Using Data Augmentation Based Reinforcement Learning for Daily Stock Trading
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Abstract: In algorithmic trading, adequate training data set is key to making profits. However, stock trading data in units of a day can not meet the great demand for reinforcement …		 Yuyu Yuan; Wen Wen; Jincui Yang; Electronics 2020-01-01
1191 Overnight Stock Returns, Intraday Returns, and Firm-specific Investor Sentiment
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 Byungoh Kim; Sangwon Suh; The North American Journal of Economics and Finance 2020-01-01
1192 The Whack-a-Mole Game: Tobin Taxes and Trading Frenzy
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Abstract: To dampen trading frenzy in the stock market, the Chinese government tripled the stamp tax for stock trading on May 30, 2007. The greatly increased trading cost triggered a …		 Jinghan Cai; Jibao He; Wenxi Jiang; Wei Xiong; The Review of Financial Studies 2020-01-01
1193 Problems and Prospects of Algorithmic Trade in Financial Markets
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Abstract: The use of algorithms in trading (algorithmic trading) is the trend of recent decades, which has largely changed the market. As part of the research, the fundamentals of …		 B. V. Batiuk; 2020-01-01
1194 Algorithmic Trading Based on Regime Change Tracking
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 Jun Chen; Edward P K Tsang; 2020-01-01
1195 High Frequency Trading Und Verantwortung Für Systemische Risiken Am Finanzmarkt
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 Ekaterina Svetlova; 2020-01-01
1196 APPLICATION OF ARTIFICIAL INTELLIGENCE IN ALGORITHMIC TRADING
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Abstract: In the present era there are many challenges affiliated with carrying out algorithmic trading. Regardless of these challenges, most of the stock trading companies in the world are …		 Rohan Pothumsetty; 2020-01-01
1197 Statistical Characteristics of Price Impact in High-frequency Trading
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Abstract: Trading volume changes based on market microstructure will impact asset prices, which will lead to transaction price changes. Based on the extended Hasbrouck–Foster–Viswanathan …		 Can Jia; Tianmin Zhou; Handong Li; Studies in Nonlinear Dynamics & Econometrics 2020-01-01
1198 Introduction to Backtesting and Algorithmic Trading
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 Smita Roy Trivedi; Ashish H. Kyal; 2020-01-01
1199 PENGARUH INFORMASI ARUS KAS DAN LABA BERSIH TERHADAP VOLUME PERDAGANGAN SAHAM PADA PERUSAHAAN MANUFAKTUR SEKTOR OTOMOTIF YANG TERDAFTAR DI BEI PERIODE 2009-2012
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Abstract: This study aims to determine the effect of cash flow information and net income on stock trading volume in Automotive Sector Manufacturing Companies listed on the Indonesia Stock …		 Dini Nurul Maulidasari; Jurnal Ilmu Manajemen Retail Universitas Muhammadiyah … 2020-01-01
1200 Optimizing Algorithmic Strategies for Trading Bitcoin
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Abstract: This research tries to establish to what extent three popular algorithmic systems for trading financial assets: the relative strength index, the moving average convergence …		 Gil Cohen; Computational Economics 2020-01-01
1201 Why Hasn’t High-frequency Trading Swept The Board? Shares, Sovereign Bonds and The Politics of Market Structure
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Abstract: In today’s trading of liquid financial instruments, there are two main contending agencements (in Callon’s ‘actor-network’ sense of combinations of humans and nonhuman elements …		 Donald MacKenzie; Iain Hardie; Charlotte Rommerskirchen; Arjen van der Heide; Review of International Political Economy 2020-01-01
1202 Pairs-trading Under Path-dependent Cointegration
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Abstract: Continuous-time pairs-trading rules are often developed based on the diffusion limit of first-order autoregressive cointegration models. Empirical identification of cointegration …		 Tingjin Yan; Mei Choi Chiu; Hoi Ying Wong; Econometric Modeling: Capital Markets – Portfolio Theory … 2020-01-01
1203 Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market
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Abstract: Statistical arbitrage is a trading strategy that employs time series methods to identify relative mispricing between securities based on the expected values of these assets. The …		 Geetu Aggarwal; Navdeep Aggarwal; Asia-Pacific Financial Markets 2020-01-01
1204 Stock Volatility and Trading
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 Anna Agapova; Margarita Kaprielyan; The North American Journal of Economics and Finance 2020-01-01
1205 Algorithmic Trading and Market Quality: International Evidence
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Abstract: We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around the world. We use an exchange colocation service that increases …		 Ekkehart Boehmer; Kingsley Y. L. Fong; Juan Wu; Journal of Financial and Quantitative Analysis 2020-01-01
1206 Heterogeneity in Retail Investors: Evidence from Comprehensive Account-Level Trading and Holdings Data
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Abstract: Retail investors are heterogeneous, with vast differences in wealth, skills and demographics. Using comprehensive proprietary account-level data on trading and holdings from the …		 Charles M. Jones; Donghui Shi; Xiaoyan Zhang; Xinran Zhang; SSRN Electronic Journal 2020-01-01
1207 Limited Attention and Market Pricing of Earnings in A High Frequency World
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Abstract: How does limited attention affect stock prices following earnings announcements in today’s computer-driven financial markets? We examine the effects of limited attention using a …		 Bidisha Chakrabarty; Pamela C. Moulton; Xu Wang; 2020-01-01
1208 Algorithmic Trading and Market Quality: International Evidence
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Abstract:
We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around the world. We use exchange co-location service that …		 Ekkehart Boehmer; Kingsley Y. L. Fong; J. (Julie) Wu; Capital Markets: Market Microstructure eJournal 2020-01-01
1209 Automated Creation of A High-Performing Algorithmic Trader Via Deep Learning on Level-2 Limit Order Book Data
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Abstract: We present results demonstrating that an appropriately configured deep learning neural network (DLNN) can automatically learn to be a high-performing algorithmic trading system, …		 Aaron Wray; Matthew Meades; Dave Cliff; 2020 IEEE Symposium Series on Computational Intelligence … 2020-01-01
1210 Question: Do Bitcoin/Yen Traders Ever Take A Day Off? Answer: Not Often
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Abstract: The aim is to analyse daily Bitcoin trading activity in the Bitcoin/Yen market, looking not at Bitcoin’s price or aggregate volume, but at the size and number of trades, in order …		 Jackie Johnson; Cybersecurity 2020-01-01
1211 Analysis of Trading Algorithms on The Platform QUIK
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Abstract: This paper analyzes the set of trading algorithms A. An element of this set is a(I, Cs, Cp) where I is a set of indicators of which behavior is taken into account for a given …		 OLEG MALAFEYEV et. al. 2020 2nd International Conference on Control Systems, … 2020-01-01
1212 Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading
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Abstract: Asset heterogeneity is widely believed to hurt the liquidity in markets of many important fixed-income assets such as corporate and municipal bonds. We develop a model in which …		 Wei Li; Zhaogang Song; Mutual Funds 2020-01-01
1213 PENGARUH HARGA SAHAM, VOLUME PERDAGANGAN, DAN FREKUENSI PERDAGANGAN TERHADAP BID-ASK SPREAD
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Abstract: This study aims to determine the effect of stock prices, trading volume and trading frequency on the bid-ask spread of companies listed in the LQ-45 Index. This type of research …		 Rahma Nurul Khoirayanti; Hari Sulistiyo; JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi) 2020-01-01
1214 The Effect of The COVID-19 Spread on Investor Trading Behavior on The Egyptian Stock Exchange
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Abstract: This paper aims to study the effect of Coronavirus on the trading behavior of both individual and institutional investors in the Egyptian Stock Exchange, as the spread of the …		 Samira Allam; Mansour Abdelrhim; Mahmoud Mohamed; FinPlanRN: Other Investments (Topic) 2020-01-01
1215 Stress-Testing Net Trading Income: The Case of European Banks
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Abstract: Net trading income is an important but volatile source of income for many euro area banks, highly sensitive to changes in financial market conditions. Using a representative …		 Carla Giglio; Frances Shaw; Nicolas Syrichas; Giuseppe Cappelletti; European Finance eJournal 2020-01-01
1216 A Study Of Investor Financial Behavior on Online Trading System in Indonesian Stock Exchange: E-Satisfaction, E-Loyalty, And E-Trust
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Abstract: The online trading system allows traders to enter orders directly into the system via electronic media immediately and directly. This condition will affect the level of customer …		 Rohmad Fuad Armansyah; Journal of Economics, Business, and Accountancy | Ventura 2020-01-01
1217 Ethereum Blockchain-Based Peer-To-Peer Energy Trading Platform
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Abstract: Blockchain is one of the emerging security technologies that have enormous potential in diverse sectors such as financial organization, academic institutions, national government, …		 Aigerim Iskakova; H. S. V. S. Kumar Nunna; Pierluigi Siano; 2020 IEEE International Conference on Power and Energy … 2020-01-01
1218 Effects of Futures Trading Constraints on Volatility of Stock Market
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Abstract: Financial regulations and policies affect the financial market efficiency. Due to China’s stock market experienced a serious slump from June to August in 2015, China Financial …		 Ming Fang; Chiu-Lan Chang; Ziyang Ou; 2020-01-01
1219 Analysis of The Financial Stability of A Trading Enterprise in The Market Environment
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Abstract: This article discusses the relevance of conducting a financial analysis of the financial stability of trading enterprises. The study sets out a methodology for analyzing the …		 A. L. Boltava; V. A. Budueva; Scientific bulletin of the Southern Institute of Management 2020-01-01
1220 Short-selling, Margin-trading, and Stock Liquidity: Evidence from The Chinese Stock Markets
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 Qing Ye; Shengjie Zhou; Jie Zhang; International Review of Financial Analysis 2020-01-01
1221 Incentivizing Peer-to-Peer Energy Sharing Using A Core Tâtonnement Algorithm
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Abstract: Peer-to-peer (P2P) energy trading is being considered as an effective approach to manage the distributed energy resources (DER) and provide secure and economical demand-supply …		 Jing Li; Yujian Ye; Goran Strbac; 2020 IEEE Power & Energy Society General Meeting (PESGM) 2020-01-01
1222 Exchange Design and Efficiency
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Abstract: Most assets clear independently rather than jointly. This paper presents a model based on the uniform-price double auction which accommodates arbitrary restrictions on market …		 Marzena J. Rostek; Ji Hee Yoon; Microeconomics: Production 2020-01-01
1223 A Dynamic Energy Trading and Management Algorithm for The Elastic End-User in Smart Grids
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Abstract: The smart grid, as the next-generation of electricity grid, is characterized with new features, such as dynamic electricity price distributed renewable energy sources, and two-way …		 Didi Liu; Jiawen Xiao; Xiaoming Yuan; Yulong Zheng; Haotong Cao; 2020 IEEE Globecom Workshops (GC Wkshps 2020-01-01
1224 The Impact of Financial Information on Noise Traders: Based on The Perspective of Behavioral Finance
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Abstract: In China’s incomplete stock market which mainly consists of retail games and short-term operations, both of the high stock turnover rate and P/E ratios reflect excessive noise …		 Miao Jiang; Financial Forum 2020-01-01
1225 Personal Traits and Trading in An Experimental Asset Market
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Abstract: We study the relationship between personal traits and trading outcomes in continuous double auction asset markets. There are mixed theoretical predictions about this relationship …		 Tomáš Miklánek; Miroslav Zajicek; Behavioral & Experimental Finance eJournal 2020-01-01
1226 Speculative Trading in Bitcoin: A Brazilian Market Evidence
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 Emanuelle Nava Smaniotto; Giacomo Balbinotto Neto; The Quarterly Review of Economics and Finance 2020-01-01
1227 Trading Behavior and Profits of Retail and Institutional Investors Around Earnings Announcements in Taiwan’s Stock Market
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Abstract: We analyze the trading behavior and profits of retail and institutional investors around earnings announcements in Taiwan’s stock market. We find that the average annual trading …		 Chang Chan; Chung-Hao Chang; Journal of Financial Studies 2020-01-01
1228 Research The Financial Networking Market Trading Behavior and Physics
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Abstract: Due to deep find-out the financial market trading behavior and physics. This study applies the back-propagation neural network (BPNN) and grey system methods to compute stochastic …		 Chiu-Chin Chen; Chia-Chun Liao; 2020 IEEE International Conference on Consumer Electronics … 2020-01-01
1229 Predicting Shareholder Litigation on Insider Trading from Financial Text: An Interpretable Deep Learning Approach
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 Rong Liu; Feng Mai; Zhe Shan; Ying Wu; Inf. Manag. 2020-01-01
1230 Stock Split in Insider Trading: Lessons from Malaysia
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Abstract: Average daily cumulative abnormal volume turnover (ACAVT) is an interesting indicator for research purposes to determine the existence of possibly insider trading. The objective …		 Shaharudin Jakpar; Michael Tinggi; Tan Zhao Yu; Norshamsiah Samsudin; International Journal of Academic Research in Accounting, … 2020-01-01
1231 Dynamic Energy Trading and Load Scheduling Algorithm for The End-User in Smart Grid
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Abstract: In the smart grid, the end-users have the opportunity to integrate renewable energy sources (RESs) and participate in two-way energy trading. At the same time, an increasing …		 Didi Liu; Jiawen Xiao; Junxiu Liu; Xiaoming Yuan; Suping Zhang; IEEE Access 2020-01-01
1232 Information Content of Options Trading Prior to Dividend Initiations
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Abstract: This article utilizes option markets to determine the information content of dividend-initiation announcements. Pre-event informed options trading, measured by abnormal implied …		 Qin Emma Wang; 2020-01-01
1233 The Impacts of Day Trading Activity on Market Quality: Evidence from The Policy Change on The Taiwan Stock Market
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Abstract: This paper aims to investigate the impact of day trading on market quality on the Taiwan stock market with the implementation of a unique policy change. This paper examines 396 …		 Tun-Ya Yang; Si-Yuan Huang; Wei-Che Tsai; Pei-Shih Weng; 2020-01-01
1234 Greed and Individual Trading Behavior in Experimental Asset Markets
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Abstract: Greed has been shown to be an important economic motive. Both the popular press as well as scientific papers have mentioned questionable practices by greedy bankers and investors …		 Karlijn Hoyer; Stefan Zeisberger; Seger Breugelmans; Marcel Zeelenberg; DecisionSciRN: Investment Decision-Making (Topic) 2020-01-01
1235 Time-of-day Periodicities of Trading Volume and Volatility in Bitcoin Exchange: Does The Stock Market Matter?
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 Jying-Nan Wang; Hung-Chun Liu; Yuan-Teng Hsu; Finance Research Letters 2020-01-01
1236 How Does The Informed Trading Impact Bitcoin Returns and Volatility?
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Abstract: This study employed an augmented AR-GJRGARCH model that incorporates an intraday-based buy-sell order size imbalance measure to explore how informed trading behaviour/activity …		 Jying-Nan Wang; Hung-Chun Liu; Shuang Zhang; Yuan-Teng Hsu; Applied Economics 2020-01-01
1237 Short Trading and Short Investing
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Abstract: Short selling is measured in the literature as both constraint (e.g., lending fees) and activity (e.g., trades). We show that these two measures capture separate effects, which we …		 Jesse Blocher; Peter H. Haslag; Chi Zhang; Capital Markets: Market Efficiency eJournal 2020-01-01
1238 Linkage Stock Price, Trading Volume Activity, Stock Returns and Trading Frequency on Bid Ask Spread
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Abstract: The purpose of this study was to to examine the effect of stock prices, trading volume activities, stock returns and trading frequency of the bid ask spread of LQ45 company. …		 Alkusani Alkusani; Anita Handayani; Yosi Firda Rahmadani; Innovation-the European Journal of Social Science Research 2020-01-01
1239 Measuring and Explaining The Probability of Informed Trading and Its Relationship with The Cost of Capital with An Emphasis on Family Ownership
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Abstract: One of the most important topics studied in the field of market microstructures is to measure information asymmetry in the capital market. In recent years, the Probability of …		 Omid Farhad Toski; Mohammad Hassan Janani; Mahmood Hemmat Far; International Journal of Nonlinear Analysis and Applications 2020-01-01
1240 Short Trading and Short Investing
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 Jesse Blocher; Peter Haslag; Chi Zhang; Journal of Empirical Finance 2020-01-01
1241 Air Quality Levels, Environmental Awareness and Investor Trading Behavior: Evidence from Stock Market in China
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 Min Teng; Xubiao He; Journal of Cleaner Production 2020-01-01
1242 On The Impacts of Allowance Banking and The Financial Sector on The EU Emissions Trading System
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Abstract: The European Union Emissions Trading System (EU ETS) is the largest cap-and-trade system in the world. Price instability and allowance oversupply are two characteristics that …		 Sotirios Dimos; Eleni Evangelatou; Dimitris Fotakis; Andreas Mantis; Angeliki Mathioudaki; Euro-Mediterranean Journal for Environmental Integration 2020-01-01
1243 Voluntary Pre-trade Anonymity and Market Liquidity
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Abstract: This paper analyses the effects on liquidity of voluntary pre-trade anonymity in the trading process. We confirm previous studies showing that market liquidity improves …		 Miguel Angel Martínez; Mikel Tapia; Spanish Journal of Finance and Accounting / Revista … 2020-01-01
1244 Does Option Trading Have A Pervasive Impact on Underlying Stock Prices?
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Abstract: The question of whether and to what extent option trading impacts underlying stock prices has been a focus of intense interest since options began exchange-based trading in 1973. …		 Sophie X Ni; Neil D Pearson; Allen M Poteshman; Joshua White; Review of Financial Studies 2020-01-01
1245 Show Me The Money: Option Moneyness Concentration and Future Stock Returns
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Abstract: Informed traders often use options that are not in-the-money due to higher potential gains for a smaller upfront cost. Thus, trading activity by option moneyness should be a gauge …		 Kelley Bergsma; Vivien Csapi; Dean Diavatopoulos; Andy Fodor; Journal of Futures Markets 2020-01-01
1246 The Impact of Margin Trading and Short Selling By Retail Investors on Market Price Efficiency: Empirical Evidence from Bitcoin Exchanges
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Abstract: In this letter, I exploit the high fraction of retail investors in the early years of the Bitcoin and the introduction of margin trading and short selling by the Bitcoin Exchange …		 Jan-Oliver Strych; Consumer Behavioral Finance eJournal 2020-01-01
1247 Return Spillover Across Bitcoin Markets and Foreign Exchange Pairs Dominated in Major Trading Currencies
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Abstract: This study examines the dynamic nature of return spillover across Bitcoins indices and foreign exchange pairs denominated in 6 major trading currencies. The findings of spillover …		 Muhammad Owais Qarni; Saqib Gulzar; Business & Economic Review 2020-01-01
1248 Examining Asymmetric Relationship Between India VIX, Nifty 50 Returns and Trading Volume: A Case of Quantile Regression
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Abstract: The study investigated one of the vital issues on market microstructure, the relationship between volatility, stock returns and trading volume on Indian stock market for daily …		 Arushi Gaur; Preeti Roy; Saif Siddiqui; Social Science Research Network 2020-01-01
1249 Kimchi Premium and Speculative Trading in Bitcoin
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 Yunsung Eom; Finance Research Letters 2020-01-01
1250 A Competitive Search Theory of Asset Pricing
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Abstract: We develop an asset-pricing model with heterogeneous investors and search frictions. The model nests standard asset pricing and competitive search models as special cases. Trade …		 Mahyar Kargar; Juan Passadore; Dejanir Silva; 2020-01-01
1251 ANALISIS TRADING DAY, TRADING VOLUME, DAN TRADING FRECUENCY TERHADAP RETURN SAHAM PERUSAHAAN MAKANAN DAN MINUMAN YANG TERDAFTAR DI BEI PERIODE 2016-2018
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Abstract: This study aims to analyze the trading day, trading volume, and frequency trading of stock returns on food and beverage companies listed on the Indonesia Stock Exchange for the …		 Margha Rettha Ayu Chornelia; Dwi Suhartini; Jurnal Akuntansi dan Keuangan 2020-01-01
1252 Study on The Strategy of Multilateral Electricity Trading Among Provinces in Northeast China
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Abstract: Northeast China is an important birthplace of China’s power market reform. The development of its power market trading mode is of great significance to the deepening and promotion …		 SHAOWU LIU et. al. 2020 International Signal Processing, Communications and … 2020-01-01
1253 Is Informed Trading Different Across Investor Types?*
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Abstract: In this study we compare the extent of informed trading across investor types in the Korean stock market using intraday quote and trade data from January 2006 to September 2013. …		 Hyejin Park; Kee H. Chung; In Joon Kim; Asia-pacific Journal of Financial Studies 2020-01-01
1254 Financial Reporting Quality and Noise in Stock Returns: Evidence from Chinese A-B Twin Shares
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Abstract: We test whether public financial reporting can reduce noise trading using the setting of A-B twin shares traded in the Chinese stock markets. Using a theoretical model, we show …		 Liang Ma; Tao Ma; Henry L. Friedman; Capital Markets: Market Efficiency eJournal 2020-01-01
1255 Stock Exchanges As Platforms for Data and Trading
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Abstract: We study linkages between stock exchanges’ proprietary data sales and trading activity by analyzing the introduction of a new data product, New York Stock Exchange’s Integrated …		 Terrence Hendershott; Marc Rysman; Rainer Schwabe; ERN: Networks (Topic) 2020-01-01
1256 Option Trading After The Opening Bell and Intraday Stock Return Predictability
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Abstract: Prior literature finds information is reflected in option markets before stock markets using daily and weekly trading volume, but evidence is mixed at the intraday level. Using …		 Kelley Bergsma; Andy Fodor; Vijay Singal; Jitendra Tayal; ERN: Efficient Market Hypothesis Models (Topic) 2020-01-01
1257 RANDOM STRATEGY VERSUS TECHNICAL ANALYSIS STRATEGY IN THE US MARKET
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Abstract: Random strategy is currently an interesting alternative to traditional trading of financial instruments. The paper builds on existing research into the trading of investment …		 Miroslav Svoboda; Martina Sponerová; 2020-01-01
1258 China’s Carbon Emissions Trading and Stock Returns
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 Fenghua Wen; Nan Wu; Xu Gong; Energy Economics 2020-01-01
1259 The Pros and Cons for Insider Trading Regulation in Zimbabwe
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Abstract: The debate on the regulation of insider trading has existed for several decades and it remains unresolved to date. For instance, proponents for the deregulation of insider trading …		 Howard Chitimira; Pontsho Mokone; Law and Financial Markets Review 2020-01-01
1260 Dispute Resolution on Unauthorized Liquidation of Futures Positions at The Leading Stock Exchange in India: A Case Study
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Abstract: The paper studies compliances of Futures Trading rules and regulations of the Stock Exchange .in the derivate market in India. The paper applies case method approach to study the …		 Bezawada Brahmaiah; 2020-01-01
1261 RANDOM STRATEGY VERSUS TECHNICAL ANALYSIS STRATEGY: THE CASE OF EUR/USD INTRADAY TRADING
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Abstract: Abstract: This paper provides a comparison between the strategy based on technical analysis and the strategy based on random trading on a highly liquid GBP/USD foreign exchange …		 Miroslav Svoboda; Martina Sponerová; 2020-01-01
1262 Seeking Alpha From Stock Splits
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Abstract: The authors assess the announcement trading returns on the stocks of splitting firms. The authors join the traditional cumulative abnormal return (CAR) approach to estimating …		 Atreya Chakraborty; James L. Grant; Emery A. Trahan; Bhakti Varma; 2020-01-01
1263 High Frequency Traders and The Price Process
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 Yacine Aït-Sahalia; Celso Brunetti; Journal of Econometrics 2020-01-01
1264 Odd-Lot Trading Activity and Nominal Stock Price
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Abstract: We examine the rising of odd-lot trading activity and nominal stock prices in recent years. We find that odd-lot trading activity is positively associated with nominal stock …		 Kalok Chan; Jinming XIE; Capital Markets: Market Microstructure eJournal 2020-01-01
1265 Responsible Investment in The Chinese Stock Market
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 Ya Gao; Xiong Xiong; Xu Feng; Research in International Business and Finance 2020-01-01
1266 Who Trades in Competing Firms Around Earnings Announcements
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 Priyantha Mudalige; Huu Nhan Duong; Petko S. Kalev; Kartick Gupta; Pacific-basin Finance Journal 2020-01-01
1267 PROCUREMENT AUTOMATION AS THE FUTURE OF THE CONTRACT SYSTEM
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Abstract: In the era of digital information electronic trading platforms have become an integral attribute to conduct procurement to meet public needs. Nowadays there is a consistent trend …		 Dmitry A. Kazantsev; Natalya A. Mikhaleva; RUDN Journal of Law 2020-01-01
1268 Profitability of The Moving Averages Technical Trading Rules in An Emerging Stock Market: A Study of Stocks Listed in Pakistan Stock Exchange
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Abstract: This study examines the profitability of Moving Averages (MA) timing strategy over the buy and hold strategy for individual stocks listed at Pakistan Stock Exchange (PSX). We …		 Muhammad Arif; Abdul Rauf Laghari; Avinash Advani; Journal of Business Strategies 2020-01-01
1269 ANALISIS PERBEDAAN TRADING VOLUME ACTIVITY, BID-ASK SPREAD DAN ABNORMAL RETURN SEBELUM DAN SESUDAH STOCK SPLIT DI PT UNILEVER INDONESIA TBK
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Abstract: ABSTRAK Judul penelitian ini adalah Analisis perbedaan trading volume activity, bid-ask spread dan abnormal return sebelum dan sesudah stock split di PT. Unilever Indonesia Tbk. …		 Ni Komang Puspita Astari; Made Suidarma; Jurnal Ilmiah Akuntansi dan Bisnis 2020-01-01
1270 Pricing and Operation Strategy for Peer-to-Peer Energy Trading Using Distribution System Usage Charge and Game Theoretic Model
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Abstract: This paper proposes a game-theoretic model for peer-to-peer (P2P) energy trading between a consumer and a prosumer living in a community. The proposed real-time pricing model is …		 Yunsun Jin; Jeonghoon Choi; Dongjun Won; IEEE Access 2020-01-01
1271 An Iterative Two-Layer Optimization Charging and Discharging Trading Scheme for Electric Vehicle Using Consortium Blockchain
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Abstract: This paper introduces the concept of hierarchical and zonal scheduling and proposes an iterative two-layer model to optimize the charging and discharging trading of electric …		 Yuancheng Li; Baiji Hu; IEEE Transactions on Smart Grid 2020-01-01
1272 Adaptive Long Memory in Volatility of Intra-day Bitcoin Returns and The Impact of Trading Volume
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 Sashikanta Khuntia; J. K. Pattanayak; Finance Research Letters 2020-01-01
1273 T+1 Trading Mechanism Causes Negative Overnight Return
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 Bing Zhang; Economic Modelling 2020-01-01
1274 Trading Saudi Stock Market Shares Using Multivariate Recurrent Neural Network with A Long Short-term Memory Layer
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Abstract: This study tests the Saudi stock market weak form using the weak form of an efficient market hypothesis and proposes a recurrent neural network (RNN) to produce a trading signal. …		 Fahd A. Alturki; Abdullah M.; International Journal of Advanced Computer Science and … 2020-01-01
1275 Noise Trading, Institutional Trading, and Opinion Divergence: Evidence on Intraday Data in The Chinese Stock Market
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 Yingyi Hu; Tiao Zhao; Lin Zhang; International Review of Economics & Finance 2020-01-01
1276 FAKTOR PENENTU BID-ASK SPREAD SAHAM LQ45
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Abstract: Investors always use various information to get the maximum profit in investment activities. One such information is the bid-ask spread. This study aims to determine the effect of …		 Sabna Ainazah Fatikhah; Siti Puryandani; 2020-01-01
1277 Risk-neutral Skewness, Informed Trading, and The Cross-section of Stock Returns
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Abstract: This paper uses the volatility surface data from options contracts to document a strong, robust, and positive cross-sectional relation between risk-neutral skewness (RNS) and …		 Tarun Chordia; Tse-Chun Lin; Vincent Xiang; Econometric Modeling: Capital Markets – Asset Pricing … 2020-01-01
1278 Optimal MTS and MTO Hybrid Production System for A Single Product Under The Cap-And-Trade Environment
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Abstract: This paper studies the optimal production planning in a hybrid Make-To-Stock (MTS) and Make-To-Order (MTO) production system for a single product under the cap-and-trade …		 Shouyao Xiong; Yuanyuan Feng; Kai Huang; Sustainability 2020-01-01
1279 The Optimal Operation and Revenue Allocation Method of Virtual Power Plant Considering Carbon Trading
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Abstract: Virtual Power Plant (VPP) participates in the electricity market transaction by aggregating many distributed wind power generation and energy storage to promote the consumption of …		 RUOYU LEI et. al. 2020 IEEE 4th Conference on Energy Internet and Energy … 2020-01-01
1280 Market Microstructure and Securities Values: Empirical Evidence from The Tunisian Stock Market
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Abstract: This study proposes to examine the price reaction of a sample of stocks listed on the Tunisian Stock Market following their transfer between continuous trading and fixing trading …		 Nada Ben Mariem; Abderrazak Elkhaldi; International Journal of Entrepreneurship and Small Business 2020-01-01
1281 A New Ensemble Deep Learning Approach for Exchange Rates Forecasting and Trading
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 Shaolong Sun; Shouyang Wang; Yunjie Wei; Adv. Eng. Informatics 2020-01-01
1282 Informed Trading By Non-Financial Companies
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Abstract: It is well documented in the finance literature how share prices go up when companies increase dividend payouts. The long-term trend, however, is that more companies now retain …		 Sturla Lyngnes Fjesme; Capital Markets: Market Efficiency eJournal 2020-01-01
1283 International Standards for Derivatives Trading and Clearing
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Abstract: This chapter discusses the elemental regimes on derivatives trading and clearing. These international standards remained rather ‘thin’ due to the absence of pace-setting …		 Lucia Quaglia; 2020-01-01
1284 Reaksi Abnormal Return Dan Trading Volume Activity Sebelum Dan Sesudah Ramadhan Effect
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Abstract: This Research aims to find out the difference between the average of abnormal return and trading volume activity of the transportation companies’ stocks listed in Indonesia Stock …		 Nina Atrina Kudusia; Nilawaty Yusuf; Muliyani Mahmud; Journal of Automated Reasoning 2020-01-01
1285 Analysis of Decentralized Energy Transactions Based on Smart Contract
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Abstract: The recent burgeon of decentralized techniques has highlighted peer-to-peer transactions. And the high degree of trading freedom and efficiency in peer-to-peer transactions has …		 Zhongyi Wen; Yuping Zheng; Yun Li; 2020 IEEE International Conference on Information … 2020-01-01
1286 Becoming Prosumer: Revealing Trading Preferences and Decision-making Strategies in Peer-to-peer Energy Communities
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 Ulf J.J. Hahnel; Mario Herberz; Alejandro Pena-Bello; David Parra; Tobias Brosch; Energy Policy 2020-01-01
1287 Study of Features of Mobile Trading Apps: A Silver Lining of Pandemic
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Abstract: The medical pandemic crisis has recently stirred the business world and functioning of the economies. Investing in stock market has seen a rise by retail investors especially on …		 Suzanee Malhotra; Journal of Global Information and Business Strategy 2020-01-01
1288 A Justified Envy Minimal Variation of The Top Trading Cycles Mechanism
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Abstract: For priority-based allocation of indivisible objects to agents with unit demand, when each object has exactly one copy, Abdulkadiroglu et al. (2019) show that the priority-based …		 Jian Hong; Qianfeng Tang; EduRN: Financial Economics Education (FEN) (Topic) 2020-01-01
1289 Assessing The Financial Value of Real-time Energy Trading Services for Privately Owned Non-commercial Electric Vehicles
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 Stephan Meisel; Tanja Merfeld; Transportation Research Part D-transport and Environment 2020-01-01
1290 The Effects of Methods of Trading Margin in The Movement of Trading Stocks in The Iraq Stock Exchange
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 Shatha abdul hussein Jebur; Haidar hamza Jody al-duleimy; Industrial Engineering & Management Systems 2020-01-01
1291 A Study on The Liability of Damages of Financial Investment Business Entities in Trading Financial Investment Instruments
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 Dae-Soo Kim; Kyung Hee Law Journal 2020-01-01
1292 Cournot Oligopoly Game-based Local Energy Trading Considering Renewable Energy Uncertainty Costs
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 Yajun Zhang; Chenghong Gu; Xiaohe Yan; Furong Li; Renewable Energy 2020-01-01
1293 4 Trading Regulations
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Abstract: This chapter focuses on trading regulations. Derivative trading in financial instruments on organized exchanges consists largely of the following instruments: futures, options, …		 LIEBI MARTIN et. al. 2020-01-01
1294 Pairs Trading with Illiquidity and Position Limits
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Abstract: We investigate the optimal investment among the money market account, a liquid risky asset (e.g. stock index) and an illiquid risky asset (e.g. individual stock), where the two …		 Menglu Feng; Mei Choi Chiu; Hoi Ying Wong; Journal of Industrial and Management Optimization 2020-01-01
1295 Lead Behaviour in Bitcoin Markets
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Abstract: We aim to understand the dynamics of Bitcoin blockchain trading volumes and, specifically, how different trading groups, in different geographic areas, interact with each other. …		 Ying Chen; Paolo Giudici; Branka Hadji Misheva; Simon Trimborn; 2020-01-01
1296 Trading Simulations and Real Money Outcomes
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Abstract: Using a novel dataset of trades made on a trading simulator in Brazil, we examine the link between simulation experience and (1) the determinants of opening a real money account, …		 Deniz Anginer; Caio Piza; Sugata Ray; Luqi Xu; Household Finance eJournal 2020-01-01
1297 Strategic Insider Trading in Foreign Exchange Markets
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 Jonathan A. Batten; Igor Lončarski; Peter G. Szilagyi; Journal of Corporate Finance 2020-01-01
1298 A Model of Stock Buybacks
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Abstract: This paper studies buybacks in a Kyle-type model with many informed parties: a manager implementing buybacks and speculators trading for themselves. Buybacks introduce two …		 Alvin Chen; Corporate Finance: Capital Structure & Payout Policies … 2020-01-01
1299 An Analysis of Technical Trading Rules: The Case of MENA Markets
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 Jorg Bley; Mohsen Saad; Finance Research Letters 2020-01-01
1300 How Much Insider Trading Happens in Stock Markets?
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Abstract: We estimate that the actual prevalence of illegal insider trading is at least four times greater than the number of prosecutions. Using novel structural estimation methods that …		 Vinay Patel; Tālis J. Putniņš; LSN: Corporate Law (Topic) 2020-01-01
1301 The Real Side of The High-Volume Return Premium
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Abstract: We investigate whether shocks to trading volume of a stock contain information about future corporate investment activity; an unexplored prediction of the link between the …		 Doron Israeli; Ron Kaniel; Suhas A. Sridharan; Behavioral & Experimental Finance eJournal 2020-01-01
1302 Should I Stay or Should I Go? Trading Behavior Under Ambiguity
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Abstract: We provide new empirical evidence on investors’ firm-level trading behavior in response to daily changes in stock ambiguity-Knightian uncertainty. The effect of ambiguity is …		 Azi Ben-Rephael; Yehuda (Yud) Izhakian; Capital Markets: Market Microstructure eJournal 2020-01-01
1303 Emotional Engagement and Trading Performance
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Abstract: Extensive research in neuroscience proves that rational decision-making depends on accurate anticipative emotions. We test this proposition in the context of financial markets. We …		 Peter Bossaerts; Felix Fattinger; Kristian Rotaru; Katherine Xu; FEN: Behavioral Finance (Topic) 2020-01-01
1304 Investigation of Decision Making Support in Digital Trading
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Abstract: In order to trade successfully investors are looking for the best method to determine possible directions of the price changes of financial means. The main objective of this paper …		 Ilona Stalovinaitė; Nijolė Maknickienė; Raimonda Martinkutė-Kaulienė; 11th International Scientific Conference “Business and … 2020-01-01
1305 Financial Decisions Involving Credit Default Swaps Over The Business Cycle
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Abstract: We develop a continuous-time model over business cycles to analyze the effects of credit default swap (CDS) trading on CDS firms’ financial decisions. We show that debtholders’ …		 Liu Gan; Zhaojun Yang; European Corporate Governance Institute (ECGI) – Finance … 2020-01-01
1306 Stock Market Trading Volumes and Economic Uncertainty Dependence: Before and During Sino-U.S. Trade Friction
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Abstract: This article mainly studies the interaction between the economic uncertainty and stock market trading volumes changes before and during Sino-U.S. trade friction using multifractal …		 Yuxin Cai; Yuyu Tao; Zhengxuan Yan; Economic Research-Ekonomska Istraživanja 2020-01-01
1307 The Chinese Warrants Bubble: Evidence from Brokerage Account Records
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Abstract: Shiller’s feedback loop theory of bubbles involves three elements: a precipitating event that causes an increase in prices, positive feedback trading, and social contagion that …		 Neil D Pearson; Zhishu Yang; Qi Zhang; Review of Financial Studies 2020-01-01
1308 Predictability in Sovereign Bond Returns Using Technical Trading Rules: Do Developed and Emerging Markets Differ?
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 Tom Fong; Shui Tang Wu; The North American Journal of Economics and Finance 2020-01-01
1309 Peak-shift Optimization Model and Pricing Strategies of Power Trading System in Bay Area
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Abstract: Zhu, W.; Gu, H.J.; Zhou, H.F.; Nie, Y.Q.; Peng, C.Y., and Xu, D.L., 2020. Peak-shift optimization model and pricing strategies of power trading system in bay area. In: …		 WEN ZHU et. al. Journal of Coastal Research 2020-01-01
1310 More Heat Than Light: Investor Attention and Bitcoin Price Discovery
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 Gbenga Ibikunle; Frank McGroarty; Khaladdin Rzayev; International Review of Financial Analysis 2020-01-01
1311 Testing The Performance of Technical Analysis and Sentiment-TAR Trading Rules in The Malaysian Stock Market
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 Siow-Hooi Tan; Ming-Ming Lai; Eng-Xin Tey; Lee-Lee Chong; The North American Journal of Economics and Finance 2020-01-01
1312 Algorithmic Trading, Artificial Intelligence and The Politics of Cognition
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 A. Beverungen; The Democratization of Artificial Intelligence 2019-12-31
1313 The Relationship Between The Popularity of Cryptocurrencies and Their Prices, Returns and Trading Volumes: A Structural Break and Comparative Analysis
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Abstract: In this study, the relationship between the popularity of cryptocurrencies and their price, return and trading volumes are examined through time series analysis. The popularity …		 Mustafa Özyeşil; Istanbul Journal of Economics / İstanbul İktisat Dergisi 2019-12-31
1314 Trend Following Deep Q‐Learning Strategy for Stock Trading
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Abstract: Computers and algorithms are widely used to help in stock market decision making. A few questions with regards to the profitability of algorithms for stock trading are can …		 Jagdish Chakole; M. Kurhekar; Expert Systems 2019-12-29
1315 Study on The Impacts of The World’s Carbon Emission Trading Market on The Performance of China’s Electric Power Enterprises
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Abstract: In recent decade, in order to cope with global climate change, carbon emissions trading markets have emerged around the world. As one of the important industries of the carbon …		 Jian Chen; Weilun Deng; International Journal of Environmental Protection and Policy 2019-12-23
1316 Design Of High-Frequency Trading Algorithm Based On Machine Learning
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Highlight: Based on iterative optimization and activation function in deep learning, we proposed a new analytical framework of high-frequency trading information, that reduced structural loss in the assembly of Volume-synchronized probability of Informed Trading ($VPIN$), Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Support Vector Machine (SVM) to make full use of the order book information.		 Boyue Fang; Yutong Feng; arxiv-q-fin.TR 2019-12-21
1317 Evolving Ab Initio Trading Strategies In Heterogeneous Environments
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Highlight: After analyzing the performance of these agents and noting the emergence of anomalous superdiffusion through the evolutionary process, we construct a method to turn high-fitness agents into trading algorithms.		 David Rushing Dewhurst; Yi Li; Alexander Bogdan; Jasmine Geng; arxiv-cs.NE 2019-12-19
1318 Portfolio Selection Algorithm Under Financial Crisis: A Case Study with Bursa Malaysia
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Abstract: Most study on online portfolio selection algorithm focus on the theoretical derivation of optimal regret bound or empirically validates portfolio cumulative return and its …		 M. Ngerng; Sherilynn S. F. Ngerng; Communications in Statistics – Simulation and Computation 2019-12-12
1319 Leakage Of Rank-dependent Functionally Generated Trading Strategies
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Highlight: This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions.		 Kangjianan Xie; arxiv-q-fin.PM 2019-12-09
1320 Fools Rush In: Competitive Effects Of Reaction Time In Automated Trading
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Highlight: Here, we introduce increasingly realistic models of trading speed and profile the computation times of a suite of eminent trading algorithms from the literature.		 Henry Hanifan; John Cartlidge; arxiv-q-fin.TR 2019-12-05
1321 Machine Learning in Asset Management—Part 1: Portfolio Construction—Trading Strategies
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Abstract: This is the first in a series of articles dealing with machine learning in asset management. Asset management can be broken into the following tasks: (1) portfolio construction, …		 Derek Snow; 2019-12-01
1322 Hybrid Chaotic Radial Basis Function Neural Oscillatory Network (HCRBFNON) for Financial Forecast and Trading System
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Abstract: Nowadays, financial prediction and trading are two major topics in financial engineering and the application of artificial intelligence. In this paper, we proposed a hybrid …		 Turing Y. F. Qiu; A. Y. Yuan; Peter Z. Chen; Raymond S. T. Lee; 2019 IEEE Symposium Series on Computational Intelligence … 2019-12-01
1323 Informed Trading Support for The Amateur Investoron The New York Stock Exchange
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Abstract: While a large number of data-powered investment solutions exist, the majority are targeted at enterprise-scale wealth generation. Wherein high capital, real-time market access, …		 T. D. Wit; V. Menon; 2019 IEEE International Conference on Big Data (Big Data) 2019-12-01
1324 The Effects of Subordinated Bonds Issued and The Bank Binancial Performance Towards The Stock Trading Volume Activity
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Abstract: Abstract. According to IDX statistical data of year 2017 the market capitalization of finance sector stock was dominated by the stock of the banking subsector up to 91,87% and the …		 Adithia Anggraeni; Jurnal Riset Perbankan, Manajemen, dan Akuntansi 2019-12-01
1325 Cryptocurrency Price Prediction And Trading Strategies Using Support Vector Machines
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Highlight: Using historical data from July 2015 to November 2019, we develop a large number of technical indicators to capture patterns in the cryptocurrency market.		 David Zhao; Alessandro Rinaldo; Christopher Brookins; arxiv-q-fin.TR 2019-11-26
1326 A Singular Stochastic Control Approach For Optimal Pairs Trading With Proportional Transaction Costs
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Highlight: To find optimal strategies which determine optimally both trade times and number of shares in pairs trading process, we use a singular stochastic control approach to study an optimal pairs trading problem with proportional transaction costs.		 Haipeng Xing; arxiv-q-fin.TR 2019-11-23
1327 Multi-objective Optimization Case Study for Algorithmic Trading Strategies in Foreign Exchange Markets
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 Jeonghoe Lee; Navid Sabbaghi; Digital Finance 2019-11-18
1328 High Frequency Trading in FinTech Age: AI with Speed
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Abstract: High-frequency trading (HFT) based on artificial intelligence (AI) has been quickly adopted as market practice and its impact on investors’ trading behavior and financial market …		 Jasmina Arifovic; Xue-zhong He; Lijian Wei; ERN: Efficient Market Hypothesis Models (Topic) 2019-11-15
1329 Daily Trading Patterns in The Bitcoin/Euro Market
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Abstract: Using bitcoin/euro transaction data from three exchanges of varying size and segmenting the Bitcoin transactions into periods based on market conditions, it can be seen that …		 Jackie Johnson; Mutual Funds 2019-11-14
1330 Institutional Trading Around Firms’ Negative ESG Incidents
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Abstract: Using transaction-level institutional trades and a firm’s negative ESG incidents, we find
that institutional investors adjust their order flow prior to these non-financial …		 Lai T. Hoang; Marvin Wee; Joey (Wenling) Yang; Jing Yu; Corporate Reputation eJournal 2019-11-12
1331 Grammatical Evolution-based Ensembles for Algorithmic Trading
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 Carlos Martín; David Quintana; P. I. Viñuela; Appl. Soft Comput. 2019-11-01
1332 Evolutionary Optimized Stock Support-Resistance Line Detection for Algorithmic Trading Systems
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Abstract: Successful stock traders have been using support-resistance lines for their trading decisions for decades. At the same time, correctly identifying these imaginary lines is one of …		 Eşref Oğuzhan Yıldırım; Mustafa Ucar; A. M. Özbayoğlu; 2019 1st International Informatics and Software Engineering … 2019-11-01
1333 Integrating Harmony Search Algorithm and Deep Belief Network for Stock Price Prediction Model
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Abstract: Stock price predicting is of great practical value in stock market trading and is the foundation of programmatic trading and high-frequency trading. Deep Belief Network (DBN) has …		 Lei Zhang; Xiangqian Ding; Ruichun Hou; Ye Tao; 2019 6th International Conference on Systems and … 2019-11-01
1334 Extracting Signals from High-Frequency Trading with Digital Signal Processing Tools
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Abstract: As algorithms replace a growing number of tasks performed by humans in the markets, there have been growing concerns about an increased likelihood of cascading events, similar to …		 Jung Heon Song; M. L. Prado; H. Simon; Kesheng Wu; The Journal of Financial Data Science 2019-10-31
1335 Deep Architectures For Long-term Stock Price Prediction With A Heuristic-based Strategy For Trading Simulations
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Abstract: Stock price prediction is a popular yet challenging task and deep learning provides the means to conduct the mining for the different patterns that trigger its dynamic movement. …		 Catalin Stoean; Wiesław Paja; Ruxandra Stoean; Adrian Sandita; PloS one 2019-10-10
1336 Optimal Trading Of A Basket Of Futures Contracts
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Highlight: To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model involving a multi-dimensional scaled Brownian bridge that is stopped before price convergence.		 Bahman Angoshtari; Tim Leung; arxiv-q-fin.PM 2019-10-10
1337 Volume Prediction With Neural Networks
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Abstract: Changes in intraday trading volume are integral to any algorithmic trading strategy. Accordingly, forecasting the change in trading volume is paramount to better understanding the …		 Daniel Libman; Simi Haber; Mary Schaps; Frontiers in artificial intelligence 2019-10-09
1338 Do Speed Bumps Curb Low-latency Trading? Evidence From A Laboratory Market
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Highlight: We find that asymmetric speed bumps, on average, reduce investment in speed by only 20%.		 Mariana Khapko; Marius Zoican; arxiv-q-fin.TR 2019-10-07
1339 Design and Implementation of A Program Trading Platform for Futures
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Abstract: With the increase of trading volume and frequency in futures market, manual trading is unable to meet the requirements of investors in many cases. Meanwhile, program trading has …		 Lifan Yang; Q. Gao; 2019 IEEE 10th International Conference on Software … 2019-10-01
1340 High‑Frequency Trading in The Modern Market Microstructure: Opportunities and Threats
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Abstract: The article covers some ideas about the research on high-frequency trading and financial market design. The topic is time-relevant because today there exists a need to convince …		 Mikhail Zharikov; Review of Business and Economics Studies 2019-09-30
1341 Simulation-based Evaluation of Automated Trading Strategies: A Manifesto for Modern Methods
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Abstract: In many investment banks and major fund-management companies, automated robot trading systems now do work that 20 years ago would have required large numbers of human traders to …		 D. Cliff; the 18th International Conference on Modelling and Applied … 2019-09-20
1342 Concepts, Components And Collections Of Trading Strategies And Market Color
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Highlight: For each strategy, we will have a core idea and we will present different flavors of this central theme to demonstrate that we can easily cater to the varying risk appetites, regional preferences, asset management styles, investment philosophies, liability constraints, investment horizons, notional trading size, trading frequency and other preferences of different market participants.		 Ravi Kashyap; arxiv-q-fin.GN 2019-09-20
1343 Strategic Insider Trading in Continuous Time: A New Approach
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Abstract: The continuous-time version of Kyle’s (1985) model of asset pricing with asymmetric information is studied, and generalized by allowing time-varying noise trading. From rather …		 K. Aase; B. Øksendal; SSRN Electronic Journal 2019-08-29
1344 Energy Storage Strategy in A Non-Agent Energy Trading Platform: Energy Bank System
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Abstract: This paper addresses a strategy for distributed energy storage system (DESS) in a non-agent energy trading platform. This platform is based on the peer-to-peer (P2P) trading …		 LINGLING SUN et. al. 2019 IEEE Power & Energy Society General Meeting (PESGM) 2019-08-01
1345 Towards Decentralized Equilibrium Asset Trading Based on Blockchain
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Abstract: The last decade has witnessed the explosive growth of digital tokens and cryptocurrencies including Bitcoin, reward programs and various tokens on Ethereum. However, trading these …		 KAI LEI et. al. 2019 IEEE 21st International Conference on High Performance … 2019-08-01
1346 Improved Simplex Method Algorithm Used in Power Market Clearing
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Abstract: Electric power industry is the foundation of national economy and plays a key role in the development of human society. Traditional power industry is monopolized by industry and …		 Cuihui Yan; Fang Liu; Chaofan Hu; Hui Cui; Zhiqiang Luo; Journal of Physics: Conference Series 2019-08-01
1347 Comparative Study of Neural Networks and Decision Trees for Application in Trading Financial Futures
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Abstract: The aim of this paper is to compare neural networks and decision trees in the ability to trade financial futures. Emphasis is made on correctness of comparison from practitioner’s …		 Saulius Blaziunas; A. Raudys; 2019 International Conference on Deep Learning and Machine … 2019-08-01
1348 Is High-Frequency Trading Fulfilling Equity Market’s Purpose?
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 Andrea Roncella; Ignacio Ferrero; Academy of Management Proceedings 2019-08-01
1349 FAKTOR-FAKTOR FUNDAMENTAL YANG MEMPENGARUHI RETURN SAHAM DAN DAMPAKNYA TERHADAP FREKUENSI PERDAGANGAN SAHAM SEKTOR INDUSTRI BARANG KONSUMSI PADA BEI TAHUN 2010-2017
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Abstract: This study aims to examine and analyze the fundamental factors represented by financial ratios, i.e., Return on Assets (ROA) which represents the profitability ratio; Debt to …		 Devina Putri Anggraeni; Mercu Buana; BISMA 2019-07-31
1350 Taxable Stock Trading With Deep Reinforcement Learning
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Highlight: In this paper, we propose stock trading based on the average tax basis.		 Shan Huang; arxiv-q-fin.TR 2019-07-28
1351 Liquid Speed: On-Demand Fast Trading At Distributed Exchanges
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Highlight: We build a model of decentralized exchanges (DEX) with flexible capacity.		 Michael Brolley; Marius Zoican; arxiv-q-fin.TR 2019-07-24
1352 Machine Learning in Asset Management
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Abstract: This paper investigates various machine learning trading and portfolio optimisation models and techniques. The notebooks to this paper are Python based. By last count there are …		 Derek Snow; CompSciRN: Bayesian Probability (Topic) 2019-07-16
1353 An Intelligent Financial Portfolio Trading Strategy Using Deep Q-learning
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Highlight: This study proposes a novel portfolio trading strategy in which an intelligent agent is trained to identify an optimal trading action by using deep Q-learning.		 Hyungjun Park; Min Kyu Sim; Dong Gu Choi; arxiv-q-fin.PM 2019-07-08
1354 HyperPubSub: Blockchain Based Publish/Subscribe
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Highlight: In this paper we describe the architecture and the implementation of a broker based publish/subscribe system where the broker role is played by a private blockchain, Hy-perledger Fabric.		 Gewu Bu; Thanh Son Lam Nguyen; Maria Potop-Butucaru; Kim Thai; arxiv-cs.CR 2019-07-08
1355 Insider Trading – Unsolved Issues
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Abstract: Purpose This paper aims to show that, despite the development of prevention mechanisms for banks, undetected insider trading remains highly feasible. It, thereby, highlights that …		 F. Teichmann; Journal of Financial Crime 2019-07-02
1356 Investor Sentiments and Trading Volume’s Asymmetric Response: A Non-linear ARDL Approach Tested in PSX
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Abstract: The research paper entitled “Investor sentiments and trading volume’s asymmetric response: A non linear ARDL approach tested in PSX” is an attempt to investigate the dynamic …		 I. Saba; Maria Shams Khakwani; Rehana Kouser; Abdul Wahab; Journal of Accounting and Finance in Emerging Economies 2019-06-30
1357 Are Cryptocurrency Traders Pioneers Or Just Risk-seekers? Evidence From Brokerage Accounts
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Highlight: We find that when engaging in cryptocurrency trading investors simultaneously increase their risk-seeking behavior in stock trading as they increase their trading intensity and use of leverage.		 Matthias Pelster; Bastian Breitmayer; Tim Hasso; arxiv-q-fin.GN 2019-06-27
1358 Intelligent Stock Portfolio Management Using A Long-Term Fuzzy System
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Abstract: The complexity of financial markets is driving researchers to multiply their efforts in order to improve their forecasting methods. This paper inoculates an old trading strategy …		 Konstandinos Chourmouziadis; P. Chatzoglou; Applied Artificial Intelligence 2019-06-17
1359 Optimising Directional Changes Trading Strategies with Different Algorithms
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Abstract: Directional Changes (DC), a novel approach for sampling market data, allows the extraction of trends in financial time series by converting series from a time based format to an …		 Jurgen Palsma; Adesola Adegboye; 2019 IEEE Congress on Evolutionary Computation (CEC) 2019-06-01
1360 Low Complexity Algorithmic Trading By Feedforward Neural Networks
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 J. Levendovszky; I. Reguly; A. Oláh; A. Ceffer; Computational Economics 2019-06-01
1361 A Quantum Algorithm for Trading Strategies with Position Limits
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Abstract: The number of unique trading strategies with a limited number of futures contracts on short and long positions exponentially grows with the number of ticks. The latter reaches …		 V. Salov; Mutual Funds 2019-05-27
1362 Distributed Generation Low-Carbon Trading Strategy Based on Cooperative Game Nucleolus Method
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Abstract: Distributed generation transaction stimulates the demand response potential of users and promotes the near-end of energy consumption. However, the existing models lack research on …		 YANG SAITE et. al. 2019 IEEE Innovative Smart Grid Technologies – Asia (ISGT … 2019-05-01
1363 Prediction of Stock Trading Signal Based on Multi-indicator Channel Convolutional Neural Networks
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Abstract: Stock forecasting has always been a tempting and challenging problem in the field of financial research. Recently, convolutional neural networks have been used to classify trading …		 Zhen Yang; K. Hao; Xin Cai; Lei Chen; L. Ren; 2019 IEEE 8th Data Driven Control and Learning Systems … 2019-05-01
1364 Intelligent Portfolio Theory – A New Paradigm of Invest-in-Trading
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Abstract: This paper presents the theoretical constructs and mathematical formulations of the Intelligent Portfolio Theory, lifting modern and post-modern portfolio theories to a new level …		 Heping Pan; 2019 IEEE International Conference on Industrial Cyber … 2019-05-01
1365 Intelligent Finance Global Monitoring and Observatory : A New Perspective for Global Macro Beyond Big Data
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Abstract: This paper presents a new perspective of intelligent finance towards Intelligent Finance Global Monitory and Observatory as a theoretical and technical framework for quantitative …		 Heping Pan; 2019 IEEE International Conference on Industrial Cyber … 2019-05-01
1366 Trading Strategies Evaluation Platform with Extensive Simulations
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Abstract: This work has presented a simulation platform to examine trading strategies and assess their profitability and risk exposure. The methodologies consist of evaluating risk measures …		 YAN WANG et. al. 2019 IEEE Conference on Computational Intelligence for … 2019-05-01
1367 Moderating Roles of External Locus of Control and Knowledge Expertise on The Relationship Between Superstitious Belief and Stock Trading Performance
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Abstract: The role of superstitious beliefs on stock trading performance was explored. Survey data were collected from 226 respondents, consisting of independent stock traders who attended …		 Peerayuth Charoensukmongkol; Kasetsart Journal of Social Sciences 2019-04-30
1368 Absolute Vs. Relative Speed in High-frequency Trading
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Abstract: This paper addresses the little investigated topic of the relationship between the speed of exchange servers, an absolute reference for the system, and trading speed, considered …		 G. Virgilio; Algorithmic Finance 2019-04-17
1369 Formalization Of Automated Trading Systems In A Concurrent Linear Framework
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Highlight: We present a declarative and modular specification of an automated trading system (ATS) in the concurrent linear framework CLF.		 Iliano Cervesato; Sharjeel Khan; Giselle Reis; Dragiša Žunić; arxiv-cs.LO 2019-04-15
1370 The Idiosyncratic Behaviour of Bitcoin’s Price Across US$ Exchanges Around December 2017
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Abstract: Analysing the US$/Bitcoin market from 2014-2018 finds significant differences in exchange prices during Bitcoin’s meteoric price rise in December 2017, but surprisingly the range …		 Jackie Johnson; Econometric Modeling: Capital Markets – Asset Pricing … 2019-04-05
1371 Big Data Algorithmic Trading Systems Based on Investors’ Mood
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Abstract: Traditional automated trading systems use rules and filters based on Chartism to send orders to the market, aiming to beat the market and obtain positive returns in bullish or …		 Raúl Gómez Martínez; Miguel Prado Román; Paola Plaza Casado; Journal of Behavioral Finance 2019-04-03
1372 A Game Theoretic Approach to Energy Trading in Multi-Microgrid Systems
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Abstract: Microgrid (MG) cooperation, which allows information and energy exchange among multiple MGs, can improve the reliability of MGs and thus becomes a promising technique for …		 Xingzheng Zhu; Xiangyu Chen; Ka-Cheong Leung; 2019 IEEE International Systems Conference (SysCon) 2019-04-01
1373 High‐Frequency Trading Around Large Institutional Orders
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 Vincent van Kervel; A. Menkveld; The Journal of Finance 2019-03-21
1374 Financial Trading Model With Stock Bar Chart Image Time Series With Deep Convolutional Neural Networks
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Highlight: We propose a novel algorithmic trading model CNN-BI (Convolutional Neural Network with Bar Images) using a 2-D Convolutional Neural Network.		 Omer Berat Sezer; Ahmet Murat Ozbayoglu; arxiv-cs.LG 2019-03-11
1375 Learning The Dynamics Of Technical Trading Strategies
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Highlight: The work aims to explore and better understand the interplay between different technical trading strategies from a data-informed perspective.		 Nicholas Murphy; Tim Gebbie; arxiv-q-fin.CP 2019-03-06
1376 Option Trading Under Uncertainty
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Abstract: We investigate optimal trading strategies under uncertainty in a nonparametric no-arbitrage framework that is consistent with an arbitrary number of assets. We show that extreme …		 P. Schneider; Microeconomics: General Equilibrium & Disequilibrium Models … 2019-03-05
1377 A Price-droop Trading Strategy for Residential Photovoltaic-battery Systems
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Abstract: Residential photovoltaic-battery systems (RPBSs) are widely applied to improve the controllability and predictability of rooftop solar photovoltaic systems (RSPSs). High …		 YAYANG LIN et. al. IOP Conference Series: Earth and Environmental Science 2019-03-02
1378 How Algorithms Interact: Goffman’s ‘Interaction Order’ in Automated Trading
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Abstract: In a talk in 2013, Karin Knorr Cetina referred to ‘the interaction order of algorithms’, a phrase that implicitly invokes Erving Goffman’s ‘interaction order’. This paper explores …		 D. MacKenzie; Theory, Culture & Society 2019-03-01
1379 Real-time Autonomous Trading System
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Abstract: In this research we implemented a real-time trading system for trading the fluctuations in price of stocks in the stock market by using the technical analysis. The system uses …		 Vanita Jain; D. Saini; Akshit Ahluwalia; Journal of Statistics and Management Systems 2019-02-17
1380 Selection Of The Optimal Trading Model For Stock Investment In Different Industries
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Abstract: In general, the stock prices of the same industry have a similar trend, but those of different industries do not. When investing in stocks of different industries, one should …		 Dongdong Lv; Zhenhua Huang; Meizi Li; Yang Xiang; PloS one 2019-02-13
1381 High-performance Stock Index Trading: Making Effective Use Of A Deep LSTM Neural Network
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Highlight: We present a deep long short-term memory (LSTM)-based neural network for predicting asset prices, together with a successful trading strategy for generating profits based on the model’s predictions.		 Chariton Chalvatzis; Dimitrios Hristu-Varsakelis; arxiv-q-fin.ST 2019-02-07
1382 PENGARUH FREKUENSI PERDAGANGAN , TRADING VOLUME, NILAI KAPITALISASI PASAR, HARGA SAHAM, DAN TRADING DAY TERHADAP RETURN SAHAM PADA PERUSAHAAN KOSMETIK DAN KEPERLUAN RUMAH TANGGA DI BURSA EFEK INDONESIA
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Abstract: The purpose of this study was to analiyze the effect of frequency of stock trading,trading volume,market capitalization value,stock price,and trading day on stock return of food …		 Muhammad Yusra; Jurnal Akuntansi dan Keuangan 2019-02-02
1383 Margin Trading and Volatility: Further Evidence from China’s Stock Market
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Abstract: Different methods were implemented for each margin trading policy stage to estimate policy impacts on volatility of China’s stock markets, which include but not limited to VAR …		 Shiqing Xie; Yuwei Jia; Emerging Markets Finance and Trade 2019-01-31
1384 Applying Machine Learning to Trading Strategies: Using Logistic Regression to Build Momentum-Based Trading Strategies
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Abstract: This paper proposes a machine learning approach to building investment strategies that addresses several drawbacks of a classic approach. To demonstrate our approach, we use a …		 P. Beaudan; Shuoyuan He; Econometrics: Econometric & Statistical Methods – Special … 2019-01-30
1385 The Influence of Margin Trading and Short Selling on The Price Efficiency of China’s Stock Market—Based on Portfolio Perspective
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Abstract: In this paper, we use the natural experiment, the “false vaccine event” happening in Changsheng Life Biotechnology Co., Ltd. in the biological vaccine industry, to study whether …		 Lin Huang; American Journal of Industrial and Business Management 2019-01-10
1386 Exploring Evaluation Factors and Framework for The Object of Automated Trading System
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Abstract: Automated trading system (ATS) is a computer program that combines different trading rules to find optimal trading opportunities. The objects of ATS, which are financial assets, …		 Danya Huang; Xusen Cheng; Tingting Hou; Kun Liu; Chengyao Li; Hawaii International Conference on System Sciences 2019-01-08
1387 Preliminary Findings On Cryptocurrency Trading Among Regular Gamblers: A New Risk For Problem Gambling?
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 Devin J Mills; Lia Nower; Addictive behaviors 2019-01-08
1388 Equilibrium Price And Optimal Insider Trading Strategy Under Stochastic Liquidity With Long Memory
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Highlight: In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process.		 Ben-zhang Yang; Xinjiang He; Nan-jing Huang; arxiv-q-fin.MF 2019-01-02
1389 Buy-Sell Imbalances Around Round Numbers and High-Frequency Trading
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Abstract: I show that the growth of high-frequency trading, due to its heavy reliance on computer algorithms, can be associated with a reduction of human errors and financial anomalies in …		 Albert J. Lee; Behavioral & Experimental Finance eJournal 2019-01-01
1390 Low Risk Trading Algorithm Based on The Price Cyclicality Function for Capital Markets
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Abstract: Buy cheap and sell more expensive is one of the basic ideas of trading the capital markets for hundreds of years. To apply it in practice has become difficult nowadays due to the …		 Cristian Păuna; Management & Marketing. Challenges for the Knowledge Society 2019-01-01
1391 Optimizing The Pairs-Trading Strategy Using Deep Reinforcement Learning with Trading and Stop-Loss Boundaries
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Abstract: Many researchers have tried to optimize pairs trading as the numbers of opportunities for arbitrage profit have gradually decreased. Pairs trading is a market-neutral strategy; it …		 Taewook Kim; Ha Young Kim; Complex. 2019-01-01
1392 The Role of Automation in Financial Trading Companies
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Abstract: High Frequency Trading (HFT) has significantly affected the financial market – how trade is performed, types of employees hired, technology, or even market regulations. There are …		 Carlos Jorge Lenczewski Martins; Journal of Management and Financial Sciences 2019-01-01
1393 An Agent-Based Artificial Market Model for Studying The Bitcoin Trading
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Abstract: The objective of this paper is to simulate the trading of the currency pair BTC/USD, investigating through the theory of the genetic algorithms the best sets of trading …		 Luisanna Cocco; Roberto Tonelli; Michele Marchesi; IEEE Access 2019-01-01
1394 A Study of Early Warning System in Volume Burst Risk Assessment of Stock with Big Data Platform
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Abstract: The high remuneration of stock market has attracted most investors. However, there are many factors affecting the trading price fluctuations in the stock market. In order to …		 Dong-Her Shih; Hsiang-Li Hsu; Po-Yuan Shih; 2019 IEEE 4th International Conference on Cloud Computing … 2019-01-01
1395 Optimal Cross-Border Electricity Trading
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Abstract: We show there exists a profitable cross-border trading strategy for an agent who trades electricity in the European electricity network. Data of the European markets are employed …		 Álvaro Cartea; Maria Flora; Georgi Slavov; Tiziano Vargiolu; IO: Theory eJournal 2019-01-01
1396 Equity Trading Costs Have Fallen Less Than Commonly Thought. Evidence Using Alternative Trading Cost Estimators
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Abstract: Equity trading costs have been argued to have fallen to extreme lows following the introduction of automated trading. The justification is a fall in estimates of spreads, such as …		 Valeriia Klova; Bernt Arne Ødegaard; Mutual Funds 2019-01-01
1397 Automated Trading Systems Statistical and Machine Learning Methods and Hardware Implementation: A Survey
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Abstract: Automated trading, which is also known as algorithmic trading, is a method of using a predesigned computer program to submit a large number of trading orders to an exchange. It is …		 Boming Huang; Yuxiang Huan; Lida Xu; Lirong Zheng; Zhuo Zou; Enterprise Information Systems 2019-01-01
1398 Virtual Asset Trading Platforms: An Assessment of The Stability Risks and The Potential for Self-Regulation
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Abstract: In response to recent reports by influential financial regulatory bodies the article aims, firstly, to outline the financial, operational and systemic risks affecting the …		 Rory Copeland; Banking & Insurance eJournal 2019-01-01
1399 An Effective Approach for Obtaining A Group Trading Strategy Portfolio Using Grouping Genetic Algorithm
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Abstract: To determine an appropriate trading time for buying or selling stocks is always a difficult task. The common way to deal with it is using trading strategies formed by technical or …		 Chun-Hao Chen; Yu-Hsuan Chen; Jerry Chun-Wei Lin; Mu-En Wu; IEEE Access 2019-01-01
1400 Locally Linear Embedding for High-Frequency Trading Marker Discovery
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 HENRY HAN et. al. International Conference on Data Science, Medicine, and … 2019-01-01
1401 Pengaruh Laba Bersih, Arus Kas Dan Dividen Tunai Terhadap Volume Perdagangan Saham Pada Perusahaan Publik Sektor Barang Dan Konsumsi Di BEI
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Abstract: The stock trading volume is the number of shares that are traded on the capital market every trading day with a price level agreed upon by the seller and buyer through an …		 Etty Susilowati; Hernawati Sinaga; JMK (Jurnal Manajemen dan Kewirausahaan) 2019-01-01
1402 Natural-Disaster Experience and Risk-taking Behaviors: Evidence from Individual Investor Trading
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Abstract: This research analyzes how experiencing a natural disaster influences individual investor trading in the stock market. Exploiting a unique stock trading dataset of retail …		 Dien Giau Bui; Iftekhar Hasan; Chih-Yung Lin; Gaiyan Zhang; Household Finance eJournal 2019-01-01
1403 The Impact of Algorithmic Trading in A Simulated Asset Market
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Abstract: In this work we simulate algorithmic trading (AT) in asset markets to clarify its impact. Our markets consist of human and algorithmic counterparts of traders that trade based on …		 Purba Mukerji; Christine Chung; Timothy Walsh; Bo Xiong; Journal of Risk and Financial Management 2019-01-01
1404 A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets
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Abstract: This study conducts a systematic survey on whether the pricing behavior of cryptocurrencies is predictable. Thus, the Efficient Market Hypothesis is rejected and speculation is …		 Journal of Risk and Financial Management 2019-01-01
1405 Liquidity Regimes and Optimal Dynamic Asset Allocation
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 Pierre Collin-Dufresne; Kent Daniel; Mehmet Sağlam; Journal of Financial Economics 2019-01-01
1406 Cryptocurrency As Money: A Trading Strategy Solution
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Abstract: This paper is motivated by a hypothesis that the long term value of a cryptocurrency is determined by its future use as money. For a cryptocurrency to be used as a medium of …		 Marko Ogorevc; European Corporate Governance Institute (ECGI) – Finance … 2019-01-01
1407 Advanced Markov-Based Machine Learning Framework for Making Adaptive Trading System
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Abstract: Stock market prediction and trading has attracted the effort of many researchers in several scientific areas because it is a challenging task due to the high complexity of the …		 Francesco Rundo; Francesca Trenta; Agatino Luigi Di Stallo; Sebastiano Battiato; Comput. 2019-01-01
1408 Grid Trading System Robot (GTSbot): A Novel Mathematical Algorithm for Trading FX Market
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Abstract: Grid algorithmic trading has become quite popular among traders because it shows several advantages with respect to similar approaches. Basically, a grid trading strategy is a …		 di Stallo; Applied Sciences 2019-01-01
1409 Credit Provision and Stock Trading: Evidence from The South Sea Bubble
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Abstract: This paper studies the mechanism that relates credit provision to asset prices. On one extreme, cheap credit may reduce the cost of capital and increase prices without trading. On …		 Fabio Braggion; Rik Frehen; Emiel Jerphanion; Banking & Insurance eJournal 2019-01-01
1410 An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled By Geometric Brownian Motion
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Abstract: A “buy low, sell high” trading practice is modeled as an optimal stopping problem in this paper. Because its award function lacks sufficient smoothness, traditional free-boundary …		 Yue Liu; Aijun Yang; Jijian Zhang; Jingjing Yao; Computational Economics 2019-01-01
1411 Put-Call Parity in Equity Options Markets: Recent Evidence
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Abstract: There have been various studies of potential violations of put-call parity in US equity options markets, and the purpose of this study is to examine one potential explanation of …		 Timothy A. Krause; Theoretical Economics Letters 2019-01-01
1412 An NLP-PCA Based Trading Strategy On Chinese Stock Market
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 Zhao Liu; Huiying Zhu; Tham Yew Chong; Proceedings of the 4th International Conference on … 2019-01-01
1413 Insights from Bitcoin Trading
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Abstract: We examine commonality in returns and volume for Bitcoin–fiat currency pairs, each trading in a country with a single time zone. Bitcoin has substantial volume and obeys the …		 Pankaj K. Jain; Thomas H. McInish; Jonathan L. Miller; Financial Management 2019-01-01
1414 Information or Noise: What Does Algorithmic Trading Incorporate Into The Stock Prices?
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 Hao Zhou; Robert J. Elliott; Petko S. Kalev; International Review of Financial Analysis 2019-01-01
1415 Information Asymmetry, Cluster Trading, and Market Efficiency: Evidence from The Chinese Stock Market
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 Yingyi Hu; Jean-Luc Prigent; Economic Modelling 2019-01-01
1416 Reinforcement Learning in Stock Trading
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Abstract: Using machine learning techniques in financial markets, particularly in stock trading, attracts a lot of attention from both academia and practitioners in recent years. …		 Quang-Vinh Dang; 2019-01-01
1417 L’«high Frequency Trading» Nel Prisma Della Vigilanza Algoritmica Del Mercato
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 Paola Lucantoni; 2019-01-01
1418 Active Trading and (Poor) Performance: The Social Transmission Channel
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Abstract: Active investors often generate inferior returns. Social interactions might exacerbate this tendency, but the causal link between peer effects and active trading is difficult to …		 Laura Manuela Escobar Pradilla; Alvaro Pedraza; Microeconomics: Asymmetric & Private Information eJournal 2019-01-01
1419 Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage
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Abstract: Purpose This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of …		 Tim Leung; Hung Nguyen; Studies in Economics and Finance 2019-01-01
1420 Board Gender Diversity, Investor Protection, and Private Information-Based Trading
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Abstract: This study examines the effects of board gender diversity and investor protection on private information-based trading and its persistent form. The results generally show that …		 Chun-Teck Lye; Jiunn-Shyan Khong; Chee-Wooi Hooy; Global Economic Review 2019-01-01
1421 The Implication of Technological Development on Stock Trading in The Stock Markets of Indonesia Stock Exchange
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Abstract: This article discusses the implication of technological development on stock trading in the stock markets of Indonesia Stock Exchange. Along with the technological development, …		 Arsyad Aldyan; Adi Sulistiyono; Proceedings of the 3rd International Conference on … 2019-01-01
1422 The Impact of Different Players on The Volume-volatility Relation in The Foreign Exchange Market
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Abstract: We examine the volume-volatility relation in the foreign exchange (FX) market using a unique data set from the Swedish krona (SEK) market that contains observations of 90-95 …		 Geir Bjønnes Høidal; Dagfinn Rime; Haakon Olav Solheim; Beta 2019-01-01
1423 Additional Limit Conditions for Breakout Trading Strategies
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Abstract: One of the most popular trading methods used in financial markets is the Turtle strategy. Long time passed since the middle of 1983 when Richard Dennis and Bill Eckhardt disputed …		 Cristian Pauna; Informatica Economica 2019-01-01
1424 Mind, Body, Bubble! Psychological and Biophysical Dimensions of Behavior in Experimental Asset Markets
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 David Butler; Stephen L. Cheung; Behavioral & Experimental Finance (Editor’s Choice) eJournal 2019-01-01
1425 Investigating The Effect of The Framework of Individual and Group Acts on The Stock Trading Activities in Tehran Stock Exchange
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Abstract: This paper studies the relationship framework between individual and group acts of stock trading activities in the Tehran stock exchange which leads to the development of a …		 Saeideh Nosratabadi; Zadollah Fathi; Abbas Shoul; Cogent Business & Management 2019-01-01
1426 Ensuring Trading Strategies Profitability with Technical Analysis Tools and Computer Technology
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Abstract: The paper is devoted to the study of the tools of technical analysis using computer technology. It analyzes the current conditions and the essence of the stock market, the basis …		 George Abuselidze; A. Slobodianyk; N. Reznik; SHS Web of Conferences 2019-01-01
1427 EFFECT OF INTERNET FINANCIAL REPORTING AND COMPANY SIZE ON STOCK TRADING VOLUME AT LQ45 COMPANY IN INDONESIA STOCK EXCHANGE
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Abstract: Purpose of Study: The research aims to determine and study the effect of the application of internet financial reporting and the size of the company to the trading volume of …		 Suryanto .; Humanities & Social Sciences Reviews 2019-01-01
1428 Experiments in High-frequency Trading: Comparing Two Market Institutions
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Abstract: We implement a laboratory financial market where traders can access costly technology that reduces communication latency with a remote exchange. In this environment, we conduct a …		 Eric M. Aldrich; Kristian López Vargas; Experimental Economics 2019-01-01
1429 Deep Robust Reinforcement Learning for Practical Algorithmic Trading
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Abstract: In algorithmic trading, feature extraction and trading strategy design are two prominent challenges to acquire long-term profits. However, the previously proposed methods rely …		 Yang Li; Wanshan Zheng; Zibin Zheng; IEEE Access 2019-01-01
1430 Improving Financial Trading Decisions Using Deep Q-learning: Predicting The Number of Shares, Action Strategies, and Transfer Learning
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 Gyeeun Jeong; Ha Young Kim; Expert Syst. Appl. 2019-01-01
1431 Who Is Successful in Foreign Exchange Margin Trading? New Survey Evidence from Japan
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Abstract: We use a 2018 survey of FX margin traders in Japan to investigate which key factors influence their performance: socio-demographic and economic situation, investment strategy and …		 Bernd Hayo; Kentaro Iwatsubo; International Finance eJournal 2019-01-01
1432 An Empirical Study of Machine Learning Algorithms for Stock Daily Trading Strategy
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Abstract: According to the forecast of stock price trends, investors trade stocks. In recent years, many researchers focus on adopting machine learning (ML) algorithms to predict stock …		 Dongdong Lv; Shuhan Yuan; Meizi Li; Meizi Li; Yang Xiang; Mathematical Problems in Engineering 2019-01-01
1433 Effects of High Frequency Trading on The Malaysian Stock Market
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Abstract: The high-frequency trading (HFT) has changed the world perspective of how the market behaves. HFT is a good system that provides liquidity to markets whereby it increases the …		 Faith Kabanda; Ali Alaali; Yap Hong Keat; Proceedings of the 2019 2nd International Conference on … 2019-01-01
1434 INVESTOR ASING DAN RETURN PASAR: APAKAH INVESTOR ASING MENDESTABILIZE BURSA EFEK INDONESIA
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Abstract: The purpose of this study is to analyze the impact of the presence of foreign investors on market returns on the Indonesia Stock Exchange. To see the impact of foreign investor …		 Ni Ketut Surasni; I Dewa Gede Bisma; Hermanto Hermanto; H Burhanudin; Iwan Kusuma Negara; JMM UNRAM – MASTER OF MANAGEMENT JOURNAL 2019-01-01
1435 Price Discovery, High-Frequency Trading and Jumps in Bitcoin Markets
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Abstract: A later version of this paper has been published in the Journal of Financial Stability (Volume 50, October 2020, Article Number 100776). When trading volumes are high, bitcoin …		 Carol Alexander; Daniel F. Heck; Mutual Funds 2019-01-01
1436 Applying Independent Component Analysis and Predictive Systems for Algorithmic Trading
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Abstract: In this paper, a Nonlinear AutoRegressive network with eXogenous inputs and a support vector machine are proposed for algorithmic trading by predicting the future value of …		 Attila Ceffer; János Levendovszky; Norbert Fogarasi; Computational Economics 2019-01-01
1437 Price Formation in Call Auctions with Insider Information
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Abstract: Purpose This study aims to investigate – theoretically and empirically – if call auctions incorporate asymmetric information into prices. Design/methodology/approach First, this …		 Tobias Brünner; Studies in Economics and Finance 2019-01-01
1438 Exploring Contrarian Degree in The Trading Behavior of China’s Stock Market
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Abstract: We study the contrarian and trend-following trading behavior of market timers in China’s stock market. Using a network model to describe interpersonal relationships, we deploy the …		 Yue Chen; Xiaojian Niu; Yan Zhang; Complex. 2019-01-01
1439 Stock Trading Dynamics and Pedestrian Counterflows: Analogies and Differences
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 Zhenpeng Tang; Meng Ran; Yongxiang Zhao; The North American Journal of Economics and Finance 2019-01-01
1440 Financial Reporting Quality, Investment Horizon, and Institutional Investor Trading Strategies
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Abstract: This paper provides evidence that financial reporting quality (FRQ) influences the holding costs of trading strategies. While prior research has focused on the benefits of …		 Brian J. Bushee; Theodore H. Goodman; Shyam Vallabha Josyula Sunder; The Accounting Review 2019-01-01
1441 Data Mining Methods on Time Price Series for Algorithmic Trading Systems
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Abstract: Buy cheap and sell more expensive. This is the main principle to make a profit on capital markets for hundreds of years. The rule is simple but to apply it in practice has become …		 Cristian Pauna; Informatica Economica 2019-01-01
1442 Contemporary Challenges of OTC Trading in Digital Assets
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Abstract: As the world population at large begins to comprehend the depth and prospective impact of blockchain technology, the demand for purchasing cryptocurrency has been steadily …		 Valery N. Nezamaikin; Elena P. Zbirovskaya; Proceedings of the 2nd International Conference on Economy, … 2019-01-01
1443 Trading Behavior of Stock Investors: Black Monday Revisited
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Abstract: Profitability of competing trading strategies on stock markets is one of the often discussed topics in the literature. In this regard, an empirical comparison of the two …		 Jeong-Ryeol Kurz-Kim; Journal of Asset Management 2019-01-01
1444 High Frequency Trading, Price Discovery and Market Efficiency in The FTSE100
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 Vitor Leone; Frank Kwabi; Economics Letters 2019-01-01
1445 Application of Deep Reinforcement Learning on Automated Stock Trading
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Abstract: How to make right decisions in stock trading is a vital and challenging task for investors. Since deep reinforcement learning (DRL) has outperformed human beings in many fields …		 Lin Chen; Qiang Gao; 2019 IEEE 10th International Conference on Software … 2019-01-01
1446 Testing Futures Trading Strategy Assumptions
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Abstract: There is a growing literature examining futures-based trading strategies and the performance of commodity trading advisors (CTAs). In this article, the authors test the validity …		 Mark C. Hutchinson; John O’Brien; 2019-01-01
1447 PENGARUH INTERNET FINANCIAL REPORTING DAN TINGKAT PENGUNGKAPAN INFORMASI MELALUI WEBSITE TERHADAP FREKUENSI PERDAGANGAN SAHAM PERUSAHAAN YANG TERDAFTAR DI INDEKS KOMPAS 100 PERIODE 2013-2017
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Abstract: This study aims to examine the effect of Internet Financial Reporting and the Level of Disclosure of Information Through Websites Against the Frequency of Stock Trading of …		 Hanifa Sri Nuryani; Reza Muhammad Rizqi; Nurul Apriani; Jurnal Manajemen dan Bisnis 2019-01-01
1448 Stylized Algorithmic Trading: Satisfying The Predictive Near-term Demand of Liquidity
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Abstract: Regulatory reform enacted (e.g., the Dodd-Frank Act enforced in the U.S.) requires the financial service industry to consider the “reasonably expected near term demand” (i.e., …		 Edward W. Sun; Timm Kruse; Yi-Ting Chen; Annals of Operations Research 2019-01-01
1449 Modelling Intervalling Effect of High Frequency Trading on Portfolio Volatility
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Abstract: This paper theoretically examines whether reducing the minimum trading interval could affect portfolio volatility. Modelling the underlying de-trended asset price with Ornstein …		 Ki Hoon Hong; Theoretical Economics Letters 2019-01-01
1450 A Machine Learning Framework for Algorithmic Trading with Virtual Bids in Electricity Markets
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Abstract: This paper develops a machine learning framework for algorithmic trading with virtual bids in electricity markets. In the proposed algorithmic trading strategy, a budget and risk …		 Wei Wang; Nanpeng Yu; 2019 IEEE Power & Energy Society General Meeting (PESGM) 2019-01-01
1451 THE IMPACT OF AUTOMATED TRADING SYSTEMS ON FINANCIAL MARKET STABILITY
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Abstract: The way in which financial markets operate has substantially been changed by the development of information technology. Automation of trading systems in financial markets …		 Violeta Todorović; Aleksandra Pešterac; Nenad Tomić; Facta Universitatis. Series: Economics and Organization 2019-01-01
1452 DEEP LEARNING FOR STOCK MARKET TRADING: A SUPERIOR TRADING STRATEGY?
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Abstract: Deep-learning initiatives have vastly changed the analysis of data. Complex networks became accessible to anyone in any research area. In this paper we are proposing a …		 Dušan Fister; Johnathan C. Mun; Vita Jagric; Timotej Jagric; Neural Network World 2019-01-01
1453 Quantitative Cryptocurrency Trading: Exploring The Use of Machine Learning Techniques
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Abstract: Machine learning techniques have found application in the study and development of quantitative trading systems. These systems usually exploit supervised models trained on …		 Giuseppe Attanasio; Luca Cagliero; Paolo Garza; Elena Baralis; Proceedings of the 5th Workshop on Data Science for … 2019-01-01
1454 Industry Familiarity and Trading: Evidence from The Personal Portfolios of Industry Insiders
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 Itzhak Ben-David; Justin Birru; Andrea Rossi; Journal of Financial Economics 2019-01-01
1455 Institutional Investors’ Attention to Environmental Information, Trading Strategies, and Market Impacts: Evidence from China
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Abstract: Using a large proprietary database of intraday high‐frequency trading, we investigate the trading strategies of institutional investors in dealing with the negative environmental …		 Ping Wei; Xiaodan Mao; Xiaohong Chen; Business Strategy and the Environment 2019-01-01
1456 Effectiveness of Filter Trading As An Intraday Trading Rule
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Abstract: Purpose Filter trading is a technical trading rule that has been used extensively to test the efficient market hypothesis in the context of long-term trading. In this paper, the …		 Ling Xin; Kin Lam; Philip L. H. Yu; Studies in Economics and Finance 2019-01-01
1457 High-frequency Trading: A Literature Review
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Abstract: The relatively recent phenomenon of high-frequency trading has had a profound impact on the micro-structure of financial markets. Several authors hailed it as a provider of …		 Gianluca Piero Maria Virgilio; Financial Markets and Portfolio Management 2019-01-01
1458 The Causal Relationship Between Returns and Trading Volume in Cryptocurrency Markets: Recursive Evolving Approach
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Abstract: This chapter examines the time-varying causal relationship between trading volume and returns in cryptocurrency markets. The chapter employs a novel Granger causality framework …		 Efe Caglar Cagli; Contributions to Economics 2019-01-01
1459 The Impacts of Minimum Trading Units and Tick Size Changes on Bid-ask Spread, Depth, and Trading Volume: Evidence from The Indonesia Stock Exchange
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Abstract: Purpose – This research aims to analyze the differences in the bid-ask spread, depth, and trading volume after a new tick size and minimum trading unit policy were imposed by the …		 Eddy Junarsin; Enrico Libert; Jordan Kristanto; ERN: Econometric Studies of Government Regulation of … 2019-01-01
1460 Feedback Trading: Strategies During Day and Night with Global Interconnectedness
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 Alex Kusen; Markus Rudolf; Research in International Business and Finance 2019-01-01
1461 Online Long Short-Term Memory Network for Stock Trading
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 Dušan Fister; Timotej Jagric; StuCoSReC. Proceedings of the 2019 6th Student Computer … 2019-01-01
1462 The Need for Speed: Does High-Frequency Trading Make or Break Equity Markets?
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Abstract: Advances in technology and introduction of new regulations have transformed the equity market over last few decades, giving rise to a new breed of trading—high-frequency trading …		 Ramu Thiagarajan; Richard F. Lacaille; Hanbin Im; Jingyan Wang; 2019-01-01
1463 A Robust Design Strategy for Stock Trading Via Feedback Control
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Abstract: The main objective of equity traders is to find a trading law leading to a safe profit, whatever the dynamics of the price be. Recenlty, a novel approach based on feedback control …		 Gabriele Maroni; Simone Formentin; Fabio Previdi; 2019 18th European Control Conference (ECC) 2019-01-01
1464 Venezuela: Where Bitcoin Trading Reflects Survival Rather Than Choice
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Abstract: An analyse of bolivar/bitcoin trading activity indicates that Bitcoin trading in Venezuela is more a reflection of a survival technique rather than an investment strategy with the …		 Jackie Johnson; International Finance eJournal 2019-01-01
1465 A Flexible Regime Switching Model with Pairs Trading Application to The S&P 500 High-frequency Stock Returns
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Abstract: This paper develops the regime classification algorithm and applies it within a fully-fledged pairs trading framework on minute-by-minute data of the S&P 500 constituents from …		 Sylvia Endres; Johannes Stübinger; Quantitative Finance 2019-01-01
1466 Intraday Information from S&P 500 Index Futures Options
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 Kian Guan Lim; Ying Chen; Nelson Yap; Journal of Financial Markets 2019-01-01
1467 A State-space Modeling of The Information Content of Trading Volume
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 Khaladdin Rzayev; Gbenga Ibikunle; Journal of Financial Markets 2019-01-01
1468 Generating Trading Strategies Based on Candlestick Chart Pattern Characteristics
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Abstract: Candlestick chart patterns are widely used in stock trading decisions. Patterns of candlestick series are found to provide hints for the price of the next one. This research …		 Siriporn Thammakesorn; Ohm Sornil; Journal of Physics: Conference Series 2019-01-01
1469 Setting Up An Algorithm for Stock Market Trading Strategies
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 G. V. Fedotova; A. A. Ermakova; D. A. Kurazova; Digest Finance 2019-01-01
1470 Speculative Trading of Electricity Contracts in Interconnected Locations
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 Álvaro Cartea; Sebastian Jaimungal; Zhen Qin; Energy Economics 2019-01-01
1471 A General Framework of Optimal Investment
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Abstract: In this paper, we propose a general framework of optimal investment and a collection of trading ideas, which combine probability and statistical theory with, potentially, machine …		 Qing Yang; Tingting Ye; Liangliang Zhang; IRPN: Innovation & Finance (Topic) 2019-01-01
1472 The Development of Electronic Securities Trading As A Means of Increasing The Investment Activity of Citizens
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Abstract: The development trends of electronic stock trading in Ukraine are considered. The low investment activity of the citizens of the country and the insufficient involvement of …		 S. Cherkasova; T. Kalaitan; N. Yaroshevych; Proceedings of the 1st International Scientific Conference … 2019-01-01
1473 Financial Market Data Simulation Using Deep Intelligence Agents
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Abstract: Trading strategies are often assessed against historical financial data in an effort to predict the profits and losses a strategy would generate in future. However, using only …		 Natraj Raman; Jochen L. Leidner; 2019-01-01
1474 An Introduction to Algorithmic Trading: Opportunities & Challenges Within The Systematic Trading Industry
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Abstract: In what follows we present systematic trading and discuss the benefits. We evaluate contemporary trends, the opportunities arising from machine learning and the operational cost …		 Nicholas Burgess; Financial Crises eJournal 2019-01-01
1475 IS THERE STILL ROOM FOR INCREASING SPEED IN ALGORITHMIC AND HIGH-FREQUENCY TRADING? THE CASE OF EUROPEAN OPTIONS PRICED IN THE HESTON MODEL
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Abstract: …		 Arkadiusz Orzechowski; Metody Ilościowe w Badaniach Ekonomicznych 2019-01-01
1476 Pricing of Proactive Hedging European Option with Dynamic Discrete Position Strategy
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Abstract: Proactive hedging European option is an exotic option for hedgers in the options market proposed recently by Wang et al. It extends the classical European option by requiring …		 Meng Li; Xuefeng Wang; Fangfang Sun; Discrete Dynamics in Nature and Society 2019-01-01
1477 Deep Learning and The Cross-Section of Stock Returns: Neural Networks Combining Price and Fundamental Information
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Abstract: Traditional empirical finance research uses hand-engineering and trial-and-error to look for the anomalies in the cross-section of stock returns. In this paper, we take advantage …		 Bo Zhou; Econometric Modeling: Capital Markets – Asset Pricing … 2019-01-01
1478 Are Margin Traders Informed?
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Abstract: The literature offers contradictory views on the informativeness of margin trading using various measures of information content. Utilising data from a Chinese margin‐trading …		 Dayong Lv; Wenfeng Wu; Managerial Accounting eJournal 2019-01-01
1479 ANALISIS PEMECAHAN SAHAM (STOCK SPLIT): DAMPAKNYA TERHADAP LIKUIDITAS PERDAGANGAN SAHAM DAN PENDAPATAN PERUSAHAAN PUBLIK DI INDONESIA
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Abstract: This research is designed to examine the stock split in Indonesia Capital Market. We want to get empirical evidence the relationship and the effect of stock market price and …		 Susi Dwimulyani; JURNAL INFORMASI, PERPAJAKAN, AKUNTANSI, DAN KEUANGAN PUBLIK 2019-01-01
1480 Stock Trading Bot Using Deep Reinforcement Learning
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Abstract: This paper proposes automating swing trading using deep reinforcement learning. The deep deterministic policy gradient-based neural network model trains to choose an action to …		 Akhil Raj Azhikodan; Anvitha G. K. Bhat; Mamatha V. Jadhav; 2019-01-01
1481 Reconsidering The Affirmative Obligations of Designated Market Makers in A High-Frequency Trading Environment
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 Tae-Hun Kang; 2019-01-01
1482 Empirical Investigation of An Equity Pairs Trading Strategy
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Abstract: We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that this return is not driven purely by the short-term reversal of …		 Huafeng Chen; Shaojun Chen; Zhuo Chen; Feng Li; Manag. Sci. 2019-01-01
1483 Destabilizing Momentum Trading and Counterbalancing Contrarian Strategy By Large Trader Groups
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Abstract: Purpose The purpose of this paper is to assess trading strategies adopted by each large trader group and examine their effects on the volatility in the interest rate futures …		 Jang Hyung Cho; Robert Daigler; YoungHa Ki; Janis K. Zaima; Review of Accounting and Finance 2019-01-01
1484 Developing A AI Algorithm for Trading The SiH8 Futures Contract at MoEx on The Basis of Big Data Quantization
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Abstract: Solving the problem of sustainable regional development by using a neural-network stock trading algorithm is of importance. Analysis has shown many businesses successfully use the …		 N. I. Lomakin; S. P. Sazonov; Y. G. Onoprienko; Proceedings of the International Scientific Conference Far … 2019-01-01
1485 Order or Chaos: The Case of Cryptocurrency Platform
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Abstract: The purpose of this study is to explore the market maturity of cryptocurrency trading platforms based on the information transmission perspective of financial market price …		 Tsung-Han Ke; Hung-Chun Huang; Hsin-Yu Shih; 2019 Portland International Conference on Management of … 2019-01-01
1486 The Early Bird and The Late Bird: Which Catches More Worms in Australia?
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Abstract: Purpose The purpose of this paper is to examine what the optimal time is in a typical trading day for investors to buy/sell stocks in the Australian stock market. …		 Nirodha I. Jayawardena; Akihiro Omura; Bin Li; International Journal of Managerial Finance 2019-01-01
1487 How Did Order-Flow Impact Bond Prices During The European Sovereign Debt Crisis?
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Abstract: The impact of trades on price dynamics in the European sovereign debt markets is of significant importance to policy makers and market participants. This paper uses high-frequency …		 Zhongguo Lin; Youwei Li; Philip Anthony Hamill; Zhuowei Sun; James Waterworth; Capital Markets: Asset Pricing & Valuation eJournal 2019-01-01
1488 Safety Culture in Financial Trading: An Analysis of Trading Misconduct Investigations
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Abstract: High-profile failures in financial trading have led to interest in how the culture of the industry produces risky and unethical behaviours among traders. Yet, there is no …		 Meghan Leaver; Tom W. Reader; Journal of Business Ethics 2019-01-01
1489 Forecasting Financial Markets Using High-Frequency Trading Data: Examination with Strongly Typed Genetic Programming
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Abstract: Market regulators around the world are still debating whether high-frequency trading (HFT) plays a positive or negative role in market quality. We develop an artificial futures …		 Viktor Manahov; Hanxiong Zhang; International Journal of Electronic Commerce 2019-01-01
1490 Bitcoin’s P2P Trading: Evidence From 23 Fiat Currencies, 2017-18
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Abstract: A study of Bitcoin P2P trading in 23 fiat currencies finds trading on LocalBitcoins without considering any other issues does not have any consistent impact of the price paid for …		 Jackie Johnson; International Finance eJournal 2019-01-01
1491 Some Models of Exchange Trading in High-Risk Financial Markets
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Abstract: High-risk financial markets are considered in which transactions with financial instruments without reservation are conducted. The following risk-free trading strategies with a …		 O. V. Smirnova; V. Yu. Kotlyar; Cybernetics and Systems Analysis 2019-01-01
1492 Agricultural Commodity Futures Trading Based on Cross-country Rolling Quantile Return Signals
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Abstract: This paper formulates and examines a new type of bivariate time series trading strategy based on signals generated from cross-country quantiles of return distributions. We conduct …		 Huayun Jiang; Neda Todorova; Eduardo Roca; Jen-Je Su; Quantitative Finance 2019-01-01
1493 Exhaustive Testing of Trader-agents in Realistically Dynamic Continuous Double Auction Markets: AA Does Not Dominate
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Abstract: We analyse results from over 3.4million detailed market-trading simulation sessions which collectively confirm an unexpected result: in markets with dynamically varying supply and …		 Dave Cliff; 2019-01-01
1494 Deep LSTM with Reinforcement Learning Layer for Financial Trend Prediction in FX High Frequency Trading Systems
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Abstract: High-frequency trading is a method of intervention on the financial markets that uses sophisticated software tools, and sometimes also hardware, with which to implement …		 Francesco Rundo; Applied Sciences 2019-01-01
1495 Predicting Nigerian Stock Returns Using Technical Analysis and Machine Learning
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Abstract: Models of stock price prediction have customarily utilized technical indicators alone to produce trading signals. In this paper, we construct trading techniques by applying …		 D. O. Oyewola; Emmanuel Gbenga Gbenga Dada; Omole Ezekiel Olaoluwa; K.A. Al-Mustapha; European Journal of Electrical Engineering and Computer … 2019-01-01
1496 An Intraday Trend-Following Trading Strategy on Equity Derivatives in India
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Abstract: In this article, we will present a trend-following based investment strategy on single-stock futures. Using the price movement of the recent past we are able to achieve a Sharpe …		 Nishit Bhandari; Gaurav Chakravorty; Econometric Modeling: Capital Markets – Portfolio Theory … 2019-01-01
1497 The Quick and The Informed: Insider Trading and Algorithmic Trading
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Abstract: We examine the effect of algorithmic trading (AT) on insider trading profits. Using insider filings to the SEC and AT, computed from the limit order book, we find that AT reduces …		 Yuyun Huang; Millicent Chang; Sirimon Treepongkaruna; Joey Yang; 2019-01-01
1498 Are Foreign Investors Smarter Than Domestic Investors? Empirical Evidence from Indonesia
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Abstract: The existence of different views on the superiority and dominance of foreign investor to domestic investor has been an interesting issue in behavioral finance. This study is aims …		 A. Sakir; Zaida Rizqi Zainul; Proceedings of the 1st Aceh Global Conference (AGC 2018) 2019-01-01
1499 Impact of Relative Advantage, Subjective Norm, and Trading Behaviour and Customer Satisfaction on Use of Mobile Trading System
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Abstract: Smartphone with application software is capable of stock trading and has changed the way stock exchange transactions are done. Though online share trading has made people to trade …		 P. Syamsundar; 2019-01-01
1500 Impact of E-Service Quality, Design Quality and Self-Efficacy on Satisfaction Use of Mobile Trading System
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Abstract: Mobile Trading Systems are poised to change the way how stock trading is done in the stock exchanges. The earlier method of online share trading requires computer and internet …		 P. Syamsundar; 2019-01-01