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Big data algorithmic trading systems based on investors' mood

Martínez, Raúl Gómez; Prado Román, Miguel; Casado, … - In: The journal of behavioral finance : a publication of … 20 (2019) 2, pp. 227-238

Persistent link: https://www.econbiz.de/10012180505

Ultra-fast activity and intraday market quality

Cartea, Álvaro; Payne, Richard; Penalva, José; Tapia, … - In: Journal of banking & finance 99 (2019), pp. 157-181

Persistent link: https://www.econbiz.de/10012162376

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

High frequency trading strategies, market fragility and price spikes : an agent based model perspective

McGroarty, Frank; Booth, Ash; Gerding, Enrico; … - In: Application of operations research to financial markets, (pp. 217-244). 2019

Persistent link: https://www.econbiz.de/10012157446

Trades, quotes and prices : financial markets under the microscope

Bouchaud, Jean-Philippe; Bonart, Julius; Donier, Jonathan; … - 2018

liquidity, and even the reasons why people trade at all." … Liquidity Provision: 15. The Kyle model; 16. The determinants of the bid-ask spread; 17. The profitability of market making …; Part VIII. Market Dynamics at the Meso-scale: 18. Latent liquidity and Walrasian auctions; 19. Impact dynamics in a …