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An ensemble of LSTM neural networks for high‐frequency stock market classification

Journal of forecasting, 2019-09, Vol.38 (6), p.600-619

2019

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COMPETING ON SPEED

Econometrica, 2018-05, Vol.86 (3), p.1067-1115

2018

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Competition among high-frequency traders and market quality

Journal of economic dynamics & control, 2024-09, Vol.166, p.104922, Article 104922

Breckenfelder, Johannes

2024

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Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods

Journal of forecasting, 2018-12, Vol.37 (8), p.852-866

2018

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Superkurtosis

Journal of money, credit and banking, 2023-12, Vol.55 (8), p.2061-2091

2023

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Run EDGAR Run: SEC Dissemination in a High-Frequency World

Journal of accounting research, 2017-05, Vol.55 (2), p.459-505

2017

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RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES

Mathematical finance, 2015-07, Vol.25 (3), p.576-611

2015

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Understanding intraday momentum strategies

The journal of futures markets, 2022-12, Vol.42 (12), p.2218-2234

Rosa, Carlo

2022

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Disclosure "Scriptability"

Journal of accounting research, 2018-05, Vol.56 (2), p.363-430

2018

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Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market

The journal of futures markets, 2020-02, Vol.40 (2), p.164-191

2020

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The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth

The journal of futures markets, 2021-08, Vol.41 (8), p.1301-1314

2021

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Unravelling the JPMorgan spoofing case using particle physics visualization methods

European financial management : the journal of the European Financial Management Association, 2023-01, Vol.29 (1), p.288-326

2023

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How Slow Is the NBBO? A Comparison with Direct Exchange Feeds

The Financial review (Buffalo, N.Y.), 2014-05, Vol.49 (2), p.313-332

2014

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High‐frequency trading from an evolutionary perspective: Financial markets as adaptive systems

International journal of finance and economics, 2019-04, Vol.24 (2), p.943-962

2019

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The profitability of trading on large Lévy jumps

International review of finance, 2021-06, Vol.21 (2), p.627-635

2021

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Trade signing in fast markets

The Financial review (Buffalo, N.Y.), 2020-08, Vol.55 (3), p.385-404

2020

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When Finance Meets Physics: The Impact of the Speed of Light on Financial Markets and Their Regulation

The Financial review (Buffalo, N.Y.), 2014-05, Vol.49 (2), p.271-281

Angel, James J.

2014

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Explainable machine learning for high frequency trading dynamics discovery

Information sciences, 2024-12, Vol.684, p.121286, Article 121286

2024

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Fast construction of nanosecond level snapshots of financial markets

Concurrency and computation, 2014-09, Vol.26 (13), p.2149-2156

2014

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A Dynamic Fuzzy Money Management Approach for Controlling the Intraday Risk-Adjusted Performance of AI Trading Algorithms

Intelligent systems in accounting, finance & management, 2015-04, Vol.22 (2), p.153-178

2015

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Equilibrium fast trading

Journal of financial economics, 2015-05, Vol.116 (2), p.292-313

2015

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High-frequency trading in the stock market and the costs of options market making

Journal of financial economics, 2024-09, Vol.159, p.103900, Article 103900

2024

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Fast learning and predicting of stock returns with virtual generalized random access memory weightless neural networks

Concurrency and computation, 2012-06, Vol.24 (8), p.921-933

2012

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Low-latency trading

Journal of financial markets (Amsterdam, Netherlands), 2013-11, Vol.16 (4), p.646-679

2013

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How Algorithms Interact: Goffman's ‘Interaction Order’ in Automated Trading

Theory, culture & society, 2019-03, Vol.36 (2), p.39-59

MacKenzie, Donald

2019

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An ensemble of LSTM neural networks for high‐frequency stock market classification

COMPETING ON SPEED

Competition among high-frequency traders and market quality

Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods

Superkurtosis

Run EDGAR Run: SEC Dissemination in a High-Frequency World

RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES

Understanding intraday momentum strategies

Disclosure "Scriptability"

Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market

The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth

Unravelling the JPMorgan spoofing case using particle physics visualization methods

How Slow Is the NBBO? A Comparison with Direct Exchange Feeds

High‐frequency trading from an evolutionary perspective: Financial markets as adaptive systems

The profitability of trading on large Lévy jumps

Trade signing in fast markets

When Finance Meets Physics: The Impact of the Speed of Light on Financial Markets and Their Regulation

Explainable machine learning for high frequency trading dynamics discovery

Fast construction of nanosecond level snapshots of financial markets

A Dynamic Fuzzy Money Management Approach for Controlling the Intraday Risk-Adjusted Performance of AI Trading Algorithms

Equilibrium fast trading

High-frequency trading in the stock market and the costs of options market making

Fast learning and predicting of stock returns with virtual generalized random access memory weightless neural networks

Low-latency trading

How Algorithms Interact: Goffman's ‘Interaction Order’ in Automated Trading

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