Machine learning and speed in high-frequency trading

DOI10.1016/J.JEDC.2022.104438MaRDI QIDQ2152342zbMATH OpenOpenAlexFDO

Authors Jasmina Arifovic, Xue-Zhong He, Lijian Wei

Publication date 8 July 2022

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2022.104438

zbMATH Keywords

machine learninggenetic algorithmhigh-frequency tradinglimit order marketprice efficiency

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 3497315 (Why is no real title available?)
• A simulation analysis of the microstructure of double auction markets
• Empirical properties of asset returns: stylized facts and statistical issues
• Genetic algorithm learning and the cobweb model
• Genetic algorithm learning to choose and use information
• Learning, information processing and order submission in limit order markets
• Limit order books
• On the convergence of genetic learning in a double auction market
• Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models
• Quantifying the high-frequency trading ``arms race
• The high frequency trade off between speed and sophistication
• The high-frequency trading arms race: frequent batch auctions as a market design response
• The impact of heterogeneous trading rules on the limit order book and order flows
• Time series properties of an artificial stock market

Cited in

(8)

• Algorithmic trading efficiency and its impact on market-quality
• Reinforcement learning equilibrium in limit order markets
• AI-driven liquidity provision in OTC financial markets
• High frequency trading and stock index returns: a nonlinear dynamic analysis
• scientific article; zbMATH DE number 7113167 (Why is no real title available?)
• Low-latency liquidity inefficiency strategies
• Absolute vs. relative speed in high-frequency trading
• Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method

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