Showing 1 - 10 of 11,064
Persistent link: https://www.econbiz.de/10011580705
Persistent link: https://www.econbiz.de/10010391735
The explosion of algorithmic trading has been one of the most prominent recent trends in the financial industry. Algorithmic trading consists of automated trading strategies that attempt to minimize transaction costs by optimally placing orders. The key ingredient of many of these strategies are...
Persistent link: https://www.econbiz.de/10013152911
Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...
Persistent link: https://www.econbiz.de/10012837206
-known framework of PDE used for those financial assets, is not suitable to express Bitcoin's dynamics. In this article, an algorithm …
Persistent link: https://www.econbiz.de/10012943381
Persistent link: https://www.econbiz.de/10012816706
We assume that the drift in the returns of asset prices consists of an idiosyncratic component and a common component given by a co-integration factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of wealth by dynamically trading in these assets. The...
Persistent link: https://www.econbiz.de/10013004099
. It is a bedrock assumption in theory that securities prices reveal how effectively public companies utilize capital. This …
Persistent link: https://www.econbiz.de/10013005016
economy.Theory and regulation have failed to keep pace with markets where traders rely on pre-programmed algorithms to execute … fully control the operation of the algorithm. Algorithms can execute many thousands of trades in milliseconds, crunching … for a trader to fully predict how an algorithm might behave ex ante and near-impossible for her to track and control its …
Persistent link: https://www.econbiz.de/10013006693
technique—Antlion Algorithm (ALO). ALO mimics the hunting mechanism of antlions in nature and can be used as an optimization … results obtained using ALO have been compared with those obtained using conventional Genetic Algorithm (GA) and it has been …
Persistent link: https://www.econbiz.de/10012921823