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

DOI10.1007/s10479-016-2286-1zbMath1404.91258OpenAlexW2518085851MaRDI QIDQ1703560

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

evolutionary algorithmsmarket efficiencyalgorithmic tradinghigh frequency tradingcommodities marketsmarket regulation

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

• Optimal trading of algorithmic orders in a liquidity fragmented market place
• High frequency trading, liquidity, and execution cost
• The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *
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