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present an applied study of the profitability and the impact on market quality of an individual high-frequency trader acting …-frequency trader to extract a constant annuity from the market but its profitability is insufficient to cover the costs of market …
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order book slope, consistently and significantly predict future price volatility, trade prices, and speed of trading. The … trade size is the driving force in the standard volume-volatility relationship …
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volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and more …
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The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the...
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