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Price clustering on the limit-order book : evidence from the stock exchange of Hong Kong

Ahn, Hee-joon; Cai, Jun; Cheung, Stephen Y. L. - In: Journal of financial markets 8 (2005) 4, pp. 421-451

Persistent link: https://www.econbiz.de/10003177625

Algorithmic and High-Frequency Trading in Hong Kong's Equity Market : Adoption, Market Impact and Risk Management

Research, Hong Kong Institute for Monetary and Financial - 2022

The report, after providing an overview of algorithmic trading (AT) and high-frequency trading (HFT) across international financial markets, discusses the results of research analysis and the findings of a survey focusing on Hong Kong’s equity market that have been conducted by HKIMR with the...

Persistent link: https://www.econbiz.de/10014236344

Optimal execution in illiquid market with the absence of price manipulation

Kuno, Seiya; Ohnishi, Masamitsu - In: Journal of mathematical finance 5 (2015) 1, pp. 1-14

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Modelling asset prices for algorithmic and high-frequency trading

Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547

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Modelling optimal execution strategies for algorithmic trading

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The profitability of pairs trading strategies on Hong-Kong stock market : distance, cointegration, and correlation methods

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Algorithmic trading of co-integrated assets

Cartea, Álvaro; Jaimungal, Sebastian - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-18

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Risk metrics and fine tuning of high-frequency trading strategies

Cartea, Álvaro; Jaimungal, Sebastian - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 576-611

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Human vs. machine : disposition effect among algorithmic and human day-traders

Liaudinskas, Karolis - 2019

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Optimal dynamic strategies on Gaussian returns

Firoozye, Nikan B.; Koshiyama, Adriano S. - In: The journal of investment strategies 9 (2020) 1, pp. 23-53

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