Evolution of high-frequency systematic trading: a performance-driven gradient boosting model

DOI10.1080/14697688.2015.1032541MaRDI QIDQ4619504zbMATH OpenOpenAlexFDO

Authors Nan Zhou, Wen Cheng, Yichen Qin, Zongcheng Yin

Publication date 6 February 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2015.1032541

zbMATH Keywords

gradient boostinghigh-frequencysystematic tradingtrading performance

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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Cites work

• A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
• A Tale of Two Time Scales
• Additive logistic regression: a statistical view of boosting. (With discussion and a rejoinder by the authors)
• Bagging predictors
• Boosting With theL₂Loss
• Correlated variables in regression: clustering and sparse estimation
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
• Greedy function approximation: A gradient boosting machine.
• High frequency market microstructure noise estimates and liquidity measures
• High-frequency trading in a limit order book
• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 3497315 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Modeling and Forecasting Realized Volatility
• Realized kernels in practise : trades and quotes
• Statistical properties of stock order books: empirical results and models
• Stochastic gradient boosting.
• Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
• Sure independence screening in generalized linear models with NP-dimensionality

Cited in

(2)

• Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
• Low-latency liquidity inefficiency strategies

Describes a project that uses

Uses Software

• rpart
• ElemStatLearn
• AdaBoost.MH

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