Li, Chengyu; Shen, Luyi; Qian, Guoqi - In: Econometrics : open access journal 11 (2023) 2, pp. 1-19
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 increase the likelihood of profit by taking advantage of tiny discrepancies in prices and trading on them quickly and in...