This study examines how algorithmic trading (AT) affects forward-looking disclosures in Management Discussion and …

This study investigates the impact of algorithmic trading strategies on asset price mispricing and relative payoffs of …

-effects of High-Frequency Trading (HFT) systems which trade at super-human speeds. In this paper we report on simulation studies … of automated trading in FBA-based financial markets: we have extended a long-established open-source simulation model of … a CDA market to also allow FBA-based trading; after that, we adapted existing automated trading algorithms initially …

layer is an optimal trading schedule that encodes the trader's objective, her tolerance to risk, and the impact of her own … trading horizon. On the other hand, the speculative layer relies on unsupervised learning from market features and on a set of … trading decisions to optimise the execution of each child order of the strategic layer. Specifically, the speculative layer …

It is an important task to make predictions of trading volumes of financial indices to market participants. In the … period witnessing expanding trading activities. As the trading volume series is rather irregular, the neural network is … considered to tackle the prediction problem. Several questions are pursued, including whether the trading volume could be …

of a solution. As an application, we solve two algorithmic trading problems in which the agent adopts a constant absolute … maker uses an external trading venue to hedge risk. Second, we derive an optimal trading strategy that uses prices and …