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Gaussian process-based algorithmic trading strategy identification
16 references·3 citing·41 second hop
Gaussian process-based algorithmic trading strategy identification (2015)Gaussian process-based algorithmic tradin…Algorithmic Trading and Market Quality: International Evidence (2020)Algorithmic Trading and Marke…Algorithmic Trading and the Market for Liquidity (2013)Algorithmic Trading and the M…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…High Frequency Trading and Market Quality (2011)High Frequency Trading and Ma…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…No-dynamic-arbitrage and market impact (2010)No-dynamic-arbitrage and mark…Middlemen in Limit Order Markets (2010)Middlemen in Limit Order Mark…High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems (2009)High-Frequency Trading: A Pra…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Mutual Fund Performance (1966)Mutual Fund PerformanceAnalyzing the impact of algorithmic trading on stock market behavior: A comprehensive review (2024)Analyzing the impact of algor…Ensemble of supervised and unsupervised deep neural networks for stock price manipulation detection (2023)Ensemble of supervised and un…An investor sentiment reward-based trading system using Gaussian inverse reinforcement learning algorithm (2018)An investor sentiment reward-…On estimating the expected return on the market (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market Liquidity and Funding Liquidity (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)High frequency market microstructure (2015)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Continuous Auctions and Insider Trading (1985)Why Does Stock Market Volatility Change Over Time? (1989)Order Flow and Exchange Rate Dynamics (1999)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Human behavior and the principle of least effort (1949)The variation of certain speculative prices (1997)The Cross‐Section of Volatility and Expected Returns (2006)Modelling the scaling properties of human mobility (2010)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Low-Latency Trading (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)High-Frequency Trading and Price Discovery (2014)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Asset pricing and the bid-ask spread (1986)The Relation Between Price Changes and Trading Volume: A Survey (1987)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Market Efficiency (2007)Essays in Positive Economics. (1954)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The Diversity of High Frequency Traders (2012)Very fast money: High-frequency trading on the NASDAQ (2013)The relationship between return and market value of common stocks (1981)Market liquidity as a sentiment indicator (2004)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1966Mutual Fund Performance3,932 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2013Algorithmic Trading and the Market for Liquidity418 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 2009High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems345 cited
  • 2020Algorithmic Trading and Market Quality: International Evidence323 cited
  • 2010Middlemen in Limit Order Markets229 cited
  • 2011High Frequency Trading and Market Quality

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204 cited

Cited by

  • 2018An investor sentiment reward-based trading system using Gaussian inverse reinforcement learning algorithm42 cited
  • 2023Ensemble of supervised and unsupervised deep neural networks for stock price manipulation detection27 cited
  • 2024Analyzing the impact of algorithmic trading on stock market behavior: A comprehensive review18 cited