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Trading and Market Microstructure

Authors and titles for recent submissions

[ total of 5 entries: 1-5 ]
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Wed, 21 Aug 2019

[1]  arXiv:1908.07136 (cross-list from stat.ML) [pdf, ps, other]
Title: A Review of Changepoint Detection Models
Comments: 11 pages
Subjects: Machine Learning (stat.ML); Machine Learning (cs.LG); Trading and Market Microstructure (q-fin.TR)

Thu, 15 Aug 2019

[2]  arXiv:1908.05089 (cross-list from q-fin.ST) [pdf, other]
Title: Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
Journal-ref: Journal of Economic Dynamics and Control, Volume 79, 2017, Pages 154-183
Subjects: Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)

Wed, 14 Aug 2019

[3]  arXiv:1908.04333 [pdf, ps, other]
Title: Random walk model from the point of view of algorithmic trading
Comments: 12 pages, 6 figures
Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Finance (q-fin.ST)

Mon, 12 Aug 2019

[4]  arXiv:1908.03281 [pdf, other]
Title: Latency and Liquidity Risk
Subjects: Trading and Market Microstructure (q-fin.TR); Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)

Fri, 9 Aug 2019

[5]  arXiv:1908.02847 [pdf, ps, other]
Title: An instantaneous market volatility estimation
Comments: 16 pages, 5 figures, 3 tables
Subjects: Trading and Market Microstructure (q-fin.TR)
[ total of 5 entries: 1-5 ]
[ showing up to 25 entries per page: fewer | more ]

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