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~isPartOf:"International finance discussion papers"
~isPartOf:"Quantitative finance"
~isPartOf:"Working papers"
~subject:"Algorithmus"
~subject:"Electronic trading"
~subject:"Securities trading"
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Algorithmus
Electronic trading
Securities trading
Elektronisches Handelssystem
35
Börsenkurs
18
Share price
18
Wertpapierhandel
17
Theorie
15
Theory
15
High-frequency trading
10
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7
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Ślepaczuk, Robert
5
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3
Abergel, Frédéric
2
Bellia, Mario
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Dionne, Georges
2
Pelizzon, Loriana
2
Poutré, Cédric
2
Subrahmanyam, Marti G.
2
Uno, Jun
2
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2
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1
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1
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1
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1
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1
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1
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International finance discussion papers
Quantitative finance
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The journal of trading
41
Journal of financial markets
39
Journal of financial economics
32
The journal of futures markets
30
Journal of banking & finance
25
The review of financial studies
21
Wiley trading series
21
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19
Finance research letters
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ECONIS (ZBW)
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1
A generative model of a limit order book using recurrent neural networks
Hultin, Hanna
;
Hult, Henrik
;
Proutiere, Alexandre
; …
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 931-958
Persistent link: https://www.econbiz.de/10014304400
Saved in:
2
Ensembled LSTM with walk forward optimization in algorithmic trading
Chojnacki, Karol
;
Ślepaczuk, Robert
-
2023
Persistent link: https://www.econbiz.de/10014308890
Saved in:
3
The profitability of pairs trading strategies on Hong-Kong stock market : distance, cointegration, and correlation methods
Ma, Baiquan
;
Ślepaczuk, Robert
-
2022
Persistent link: https://www.econbiz.de/10012816711
Saved in:
4
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
5
The profitability of lead-lag arbitrage at high-frequency
Poutré, Cédric
;
Dionne, Georges
;
Yergeau, Gabriel
-
2022
Persistent link: https://www.econbiz.de/10013380798
Saved in:
6
A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy
Baranochnikov, Illia
;
Ślepaczuk, Robert
-
2022
Persistent link: https://www.econbiz.de/10013473692
Saved in:
7
Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index
Kryńska, Katarzyna
;
Ślepaczuk, Robert
-
2022
Persistent link: https://www.econbiz.de/10013473995
Saved in:
8
International high-frequency arbitrage for cross-listed stocks
Poutré, Cédric
;
Dionne, Georges
;
Yergeau, Gabriel
-
2021
Persistent link: https://www.econbiz.de/10012592176
Saved in:
9
A data-driven deep learning approach for options market making
Lai, Qianhui
;
Gao, Xuefeng
;
Li, Lingfei
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 777-797
Persistent link: https://www.econbiz.de/10014304348
Saved in:
10
Deep limit order book events dynamics
Bilodeau, Yann
-
2020
Persistent link: https://www.econbiz.de/10012384636
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