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Fourier analysis for stock price forecasting : assumption and evidence

Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380

Persistent link: https://www.econbiz.de/10011517950

A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market

Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014229238

High-speed technology trading innovations and capital market performance in Bulgaria

Stefanova, Julia - In: Financial studies 22 (2018) 2, pp. 6-37

, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …

Persistent link: https://www.econbiz.de/10011964945

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

Profitability of trading in the direction of asset price jumps : analysis of multiple assets and frequencies

Fičura, Milan - In: Prague economic papers : a bimonthly journal of … 28 (2019) 4, pp. 385-401

Persistent link: https://www.econbiz.de/10012130976

Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 15-41

Persistent link: https://www.econbiz.de/10012138458

The impact of algorithmic trading in a simulated asset market

Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11

In this work we simulate algorithmic trading (AT) in asset markets to clarify its impact. Our markets consist of human and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage strategies. Our specific contributions are: (1)...

Persistent link: https://www.econbiz.de/10012022150

Rock around the clock : an agent-based model of low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - In: Journal of evolutionary economics : JEE 26 (2016) 1, pp. 49-76

Persistent link: https://www.econbiz.de/10011606699

High frequency traders in a simulated market

Hanson, Thomas A. - In: Review of accounting & finance 15 (2016) 3, pp. 329-351

Persistent link: https://www.econbiz.de/10011607960

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