The rise of the machines in commodities markets: new evidence obtained using strongly typed genetic programming

DOI10.1007/S10479-016-2286-1MaRDI QIDQ1703560zbMATH OpenOpenAlexFDO

Authors Viktor Manahov

Publication date 2 March 2018

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-016-2286-1

zbMATH Keywords

algorithmic tradingcommodities marketsevolutionary algorithmshigh frequency tradingmarket efficiencymarket regulation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Learning and adaptive systems in artificial intelligence (68T05) Applications of mathematical programming (90C90) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• High frequency trading, liquidity, and execution cost
• scientific article; zbMATH DE number 3763259 (Why is no real title available?)
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• scientific article; zbMATH DE number 1084399 (Why is no real title available?)
• scientific article; zbMATH DE number 795587 (Why is no real title available?)
• Optimal trading of algorithmic orders in a liquidity fragmented market place
• The high-frequency trading arms race: frequent batch auctions as a market design response

Cited in

(1)

• Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19

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