Cartea, Álvaro; Jaimungal, Sebastian - In: Applied Mathematical Finance 20 (2013) 6, pp. 512-547
Algorithmic trading (AT) and high-frequency (HF) trading, which are responsible for over 70% of US stocks trading volume, have greatly changed the microstructure dynamics of tick-by-tick stock data. In this article, we employ a hidden Markov model to examine how the intraday dynamics of the...