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Paper Digest: Recent Papers on Algorithmic Trading / High-Frequency Trading

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Paper Digest Team extracted all recent Algorithmic Trading / High-Frequency Trading related papers on our radar, and generated highlight sentences for them. The results are then sorted by relevance & date. In addition to this static page updated bi-weekly, we also provide an online version of this article, which is updated on a daily basis to include the most recent work on this topic.

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TABLE 1: Paper Digest: Recent Papers on Algorithmic Trading / High-Frequency Trading

Paper Author(s) Source Date
1 A Comparative Study of Bitcoin and Ripple Cryptocurrencies Trading Using Deep Reinforcement Learning Algorithms
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Highlight: However, crafting a flawless strategy becomes a formidable task when dealing with assets characterized by intricate and ever-changing price dynamics. To surmount these formidable challenges, this research employs an innovative rule-based strategy approach to train Deep Reinforcement Learning (DRL).		 Dieu-Donne Fangnon; Armandine Sorel Kouyim Meli; Verlon Roel Mbingui; Phanie Dianelle Negho; Regis Konan Marcel Djaha; arxiv-cs.CE 2025-05-12
2 Forecasting Intraday Volume in Equity Markets with Machine Learning
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Highlight: This study focuses on forecasting intraday trading volumes, a crucial component for portfolio implementation, especially in high-frequency (HF) trading environments.		 Mihai Cucuringu; Kang Li; Chao Zhang; arxiv-q-fin.CP 2025-05-12
3 A New DAPO Algorithm for Stock Trading
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Highlight: We design a trading agent that combines an improved Group Relative Policy Optimization (GRPO) algorithm, augmented with ideas from DAPO, with LLM-based risk and sentiment signals extracted from financial news.		 Ruijian Zha; Bojun Liu; arxiv-cs.CE 2025-05-09
4 Trading Under Uncertainty: A Distribution-Based Strategy for Futures Markets Using FutureQuant Transformer
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Highlight: In the complex landscape of traditional futures trading, where vast data and variables like real-time Limit Order Books (LOB) complicate price predictions, we introduce the FutureQuant Transformer model, leveraging attention mechanisms to navigate these challenges.		 Wenhao Guo; Yuda Wang; Zeqiao Huang; Changjiang Zhang; Shumin ma; arxiv-q-fin.TR 2025-05-08
5 Deep Q-Network (DQN) Multi-agent Reinforcement Learning (MARL) for Stock Trading
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Highlight: This project addresses the challenge of automated stock trading, where traditional methods and direct reinforcement learning (RL) struggle with market noise, complexity, and generalization.		 John Christopher Tidwell; John Storm Tidwell; arxiv-cs.LG 2025-05-06
6 Problematic Trading: A Systematic Review of Theoretical Considerations
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Abstract: Recently, the psychological literature increased attention to problematic financial trading, usually adopting the behavioral addiction framework aprioristically. Therefore, we aim …		 Yura Loscalzo; Guyonne Rogier; Patrizia Velotti; Frontiers in psychiatry 2025-04-29
7 ClusterLOB: Enhancing Trading Strategies By Clustering Orders in Limit Order Books
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Highlight: We introduce ClusterLOB as a method to cluster individual market events in a stream of market-by-order (MBO) data into different groups.		 Yichi Zhang; Mihai Cucuringu; Alexander Y. Shestopaloff; Stefan Zohren; arxiv-q-fin.TR 2025-04-28
8 Deep Learning Models Meet Financial Data Modalities
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Highlight: We present a novel approach to incorporating limit order book analysis into algorithmic trading by developing embedding techniques and treating sequential limit order book snapshots as distinct input channels in an image-based representation.		 Kasymkhan Khubiev; Mikhail Semenov; arxiv-cs.LG 2025-04-18
9 Maximizing Battery Storage Profits Via High-Frequency Intraday Trading
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Highlight: This paper introduces and evaluates an automated high-frequency trading strategy for battery energy storage systems trading on the intraday market for power while explicitly considering the dynamics of the limit order book, market rules, and technical parameters.		 David Schaurecker; David Wozabal; Nils Löhndorf; Thorsten Staake; arxiv-q-fin.TR 2025-04-09
10 Informer in Algorithmic Investment Strategies on High Frequency Bitcoin Data
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Highlight: The performance of the model using RMSE loss worsens when used with higher frequency data while the model that uses novel GMADL loss function is benefiting from higher frequency data and when trained on 5 minute interval it beat all the other strategies on most of the testing periods. The primary contribution of this study is the application and assessment of the RMSE, GMADL, and Quantile loss functions with the Informer model to forecast future returns, subsequently using these forecasts to develop automated trading strategies.		 Filip Stefaniuk; Robert Ślepaczuk; arxiv-q-fin.TR 2025-03-23
11 The Trading Decision Model of Joint Power Market Contain Frequency/regulation/reserve
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Highlight: This paper propose a Nash Stackelberg game based trading decision model of joint power market contain frequency/regulation/reserve for day ahead transaction to deal with the challenges brought by the insufficient peak shaving and frequency regulation capacity of a high proportion of renewable energy.		 Hailing Zhao; Weiqing Wang; Xiaozhu Li; Scientific reports 2025-03-14
12 Label Unbalance in High-frequency Trading
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Abstract: In financial trading, return prediction is one of the foundation for a successful trading system. By the fast development of the deep learning in various areas such as graphical …		 Zijian Zhao; Xuming Zhang; Jiayu Wen; Mingwen Liu; Xiaoteng Ma; arxiv-cs.LG 2025-03-12
13 A Deep Reinforcement Learning Approach to Automated Stock Trading, Using XLSTM Networks
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Highlight: Traditional Long Short-Term Memory (LSTM) networks are effective for handling sequential data but have limitations such as gradient vanishing and difficulty in capturing long-term dependencies, which can impact their performance in dynamic and risky environments like stock trading. To address these limitations, this study explores the usage of the newly introduced Extended Long Short Term Memory (xLSTM) network in combination with a deep reinforcement learning (DRL) approach for automated stock trading.		 Faezeh Sarlakifar; Mohammadreza Mohammadzadeh Asl; Sajjad Rezvani Khaledi; Armin Salimi-Badr; arxiv-cs.CE 2025-03-12
14 Liquidity Competition Between Brokers and An Informed Trader
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Highlight: We study a multi-agent setting in which brokers transact with an informed trader.		 Ryan Donnelly; Zi Li; arxiv-q-fin.TR 2025-03-11
15 Risk-aware Trading Portfolio Optimization
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Highlight: We investigate portfolio optimization in financial markets from a trading and risk management perspective. We term this task Risk-Aware Trading Portfolio Optimization (RATPO), formulate the corresponding optimization problem, and propose an efficient Risk-Aware Trading Swarm (RATS) algorithm to solve it.		 MARCO BIANCHETTI et. al. arxiv-q-fin.RM 2025-03-06
16 To Make, or to Take, That Is The Question: Impact of LOB Mechanics on Natural Trading Strategies
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Highlight: For maker orders, we find a negative correlation between fill likelihood and subsequent short-term returns, posing a significant challenge for maker order-based strategies, while the main hurdle with taker orders is overcoming the taker fee.		 Jakob Albers; Mihai Cucuringu; Sam Howison; Alexander Y. Shestopaloff; arxiv-q-fin.TR 2025-02-25
17 FLAG-Trader: Fusion LLM-Agent with Gradient-based Reinforcement Learning for Financial Trading
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Highlight: However, they often struggle with multi-step, goal-oriented scenarios in interactive financial markets, such as trading, where complex agentic approaches are required to improve decision-making. To address this, we propose \textsc{FLAG-Trader}, a unified architecture integrating linguistic processing (via LLMs) with gradient-driven reinforcement learning (RL) policy optimization, in which a partially fine-tuned LLM acts as the policy network, leveraging pre-trained knowledge while adapting to the financial domain through parameter-efficient fine-tuning.		 GUOJUN XIONG et. al. arxiv-cs.AI 2025-02-16
18 Quantum Advantage in Trading: A Game-Theoretic Approach
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Highlight: This paper introduces quantum game-theoretic models applied to trading and demonstrates their implementation on an ion-trap quantum computer.		 Faisal Shah Khan; Norbert M. Linke; Anton Trong Than; Dror Baron; arxiv-quant-ph 2025-01-26
19 Optimizing MACD Trading Strategies A Dance of Finance, Wavelets, and Genetics
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Highlight: This paper begins by screening and cleaning the dataset, establishing a model that adheres to the basic buy and sell rules of the MACD, and calculating key metrics such as the win rate, return, Sharpe ratio, and maximum drawdown for each stock.		 Wangyu Chen; Zhenpeng Zhu; arxiv-cs.CE 2025-01-18
20 A Modern Paradigm for Algorithmic Trading
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Highlight: We introduce a novel framework for developing fully-automated trading model algorithms.		 James B. Glattfelder; Thomas Houweling; Richard B. Olsen; arxiv-q-fin.TR 2025-01-10
21 Risk-averse Policies for Natural Gas Futures Trading Using Distributional Reinforcement Learning
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Highlight: The main contributions of this study are as follows.		 Félicien Hêche; Biagio Nigro; Oussama Barakat; Stephan Robert-Nicoud; arxiv-cs.LG 2025-01-08
22 Position Building in Competition Is A Game with Incomplete Information
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Highlight: This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors’ trading strategies such as target sizes and market impact models.		 Neil A. Chriss; arxiv-q-fin.TR 2025-01-02
23 TradingAgents: Multi-Agents LLM Financial Trading Framework
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Highlight: TradingAgents proposes a novel stock trading framework inspired by trading firms, featuring LLM-powered agents in specialized roles such as fundamental analysts, sentiment analysts, technical analysts, and traders with varied risk profiles.		 Yijia Xiao; Edward Sun; Di Luo; Wei Wang; arxiv-q-fin.TR 2024-12-28
24 Integration of The Indonesian Stock Market with Eight Major Trading Partners’ Stock Markets
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Abstract: This study investigates the integration of the Indonesian stock market with eight major trading partner countries, namely, China, Japan, the United States, Malaysia, India, …		 Endri Endri; Firman Fauzi; Maya Effendi; Economies 2024-12-19
25 Parameters Optimization of Pair Trading Algorithm
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Highlight: This study explores the mathematical foundations of pair trading, focusing on identifying cointegrated pairs, constructing trading signals, and optimizing model parameters to maximize returns.		 Charles Barthelemy; Ruoyu Chen; Edward Lucyszyn; arxiv-cs.CE 2024-12-17
26 A Jump Start to Stock Trading Research for The Uninitiated Control Scientist: A Tutorial
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Abstract: The target audience for the line of research to be described in this tutorial paper is control system researchers with an interest in algorithmic stock trading but without a …		 B. Barmish; S. Formentin; Chung-Han Hsieh; Anton V. Proskurnikov; Sean Warnick; 2024 IEEE 63rd Conference on Decision and Control (CDC) 2024-12-16
27 An Application of The Ornstein-Uhlenbeck Process to Pairs Trading
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Highlight: We conduct a preliminary analysis of a pairs trading strategy using the Ornstein-Uhlenbeck (OU) process to model stock price spreads.		 Jirat Suchato; Sean Wiryadi; Danran Chen; Ava Zhao; Michael Yue; arxiv-q-fin.TR 2024-12-16
28 STORM: A Spatio-Temporal Factor Model Based on Dual Vector Quantized Variational Autoencoders for Financial Trading
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Highlight: As a result, the learned factors are of low quality and lack diversity, reducing their effectiveness and robustness across different trading periods. To address these issues, we propose a Spatio-Temporal factOR Model based on dual vector quantized variational autoencoders, named STORM, which extracts features of stocks from temporal and spatial perspectives, then fuses and aligns these features at the fine-grained and semantic level, and represents the factors as multi-dimensional embeddings.		 YILEI ZHAO et. al. arxiv-cs.LG 2024-12-12
29 An Evolutionary Stability Study of Zero-Carbon Transition for Shipping Enterprises Considering Dynamic Penalty and Carbon Quota Trading Mechanisms
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Abstract: The carbon quota trading mechanism is considered one of the most effective incentives for carbon reduction to address global climate change. Currently, the EU has adopted this …		 ZHIBO HE et. al. Sustainability 2024-12-05
30 Research on Cross-provincial Power Trading Strategy Considering The Medium and Long-term Trading Plan
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Highlight: To accommodate China’s electricity market reforms integrating medium and long-term (MLT) transactions and spot transactions, and to boost renewable energy consumption through the spot market, this paper proposes an optimized cross-provincial electricity trading strategy model based on a two-layer game framework.		 Sizhe Yan; Weiqing Wang; Xiaozhu Li; Hang He; Xin Zhao; Scientific reports 2024-12-03
31 Technology-driven Advancements: Mapping The Landscape of Algorithmic Trading Literature
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 Alexandra Horobeț; Sabri Boubaker; L. Belașcu; C. Negreanu; Zeno Dinca; Technological Forecasting and Social Change 2024-12-01
32 Multi-modal Market Manipulation Detection in High-Frequency Trading Using Graph Neural Networks
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Abstract: This paper proposes a novel multi-modal graph neural network framework for detecting market manipulation in high-frequency trading environments. The framework integrates diverse …		 Yuexing Chen; Maoxi Li; Mengying Shu; Wenyu Bi; Siwei Xia; Journal of Industrial Engineering and Applied Science 2024-12-01
33 Anomaly Pattern Detection in High-Frequency Trading Using Graph Neural Networks
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Abstract: This paper presents a new method for detecting abnormal patterns in high-frequency trading (HFT) using graph neural networks (GNNs). The increasing sophistication of trading …		 Maoxi Li; Mengying Shu; Tianyu Lu; Journal of Industrial Engineering and Applied Science 2024-12-01
34 Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide
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Highlight: We present a series of equations that track the total realized and unrealized profits and losses at any time, incorporating the spread.		 James B. Glattfelder; Thomas Houweling; arxiv-q-fin.TR 2024-11-21
35 A Study of Hybrid Deep Learning Model for Stock Asset Management
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Abstract: Crafting a lucrative stock trading strategy is pivotal in the realm of investments. However, the task of devising such a strategy becomes challenging task the intricate and …		 Yuanzhi Huo; Mengjie Jin; Sicong You; PeerJ. Computer science 2024-11-19
36 Financial News-Driven LLM Reinforcement Learning for Portfolio Management
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Highlight: This study explores the integration of sentiment analysis, derived from large language models (LLMs), into RL frameworks to enhance trading performance.		 Ananya Unnikrishnan; arxiv-q-fin.CP 2024-11-17
37 Deep Recurrent Q-network Algorithm for Carbon Emission Allowance Trading Strategy
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 Chao Wu; Wenjie Bi; Haiying Liu; Journal of environmental management 2024-11-15
38 A Financial Market Simulation Environment for Trading Agents Using Deep Reinforcement Learning
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Abstract: We present PyMarketSim , a financial market simulation environment designed for training and evaluating trading agents using deep reinforcement learning (dRL). Our agent-based …		 Chris Mascioli; Anri Gu; Yongzhao Wang; Mithun Chakraborty; Michael P. Wellman; International Conference on AI in Finance 2024-11-14
39 FinLlama: LLM-Based Financial Sentiment Analysis for Algorithmic Trading
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 Giorgos Iacovides; Thanos Konstantinidis; Mingxue Xu; Danilo P. Mandic; International Conference on AI in Finance 2024-11-14
40 Hybrid Vector Auto Regression and Neural Network Model for Order Flow Imbalance Prediction in High Frequency Trading
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Highlight: This paper introduces a hybrid predictive model that combines Vector Auto Regression (VAR) with a simple feedforward neural network (FNN) to forecast OFI and assess trading intensity.		 Abdul Rahman; Neelesh Upadhye; arxiv-q-fin.CP 2024-11-13
41 Impact of Artificial Intelligence on Financial Markets
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Abstract: Artificial Intelligence (AI) has rapidly transformed financial markets, enhancing efficiency, precision, and scalability in trading, risk management, fraud detection, and …		 Fahad Masood; International Journal of Emerging Multidisciplinaries: … 2024-11-13
42 CryptoTrade: A Reflective LLM-based Agent to Guide Zero-shot Cryptocurrency Trading
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Highlight: This work aims to bridge the gap by developing an LLM-based trading agent, CryptoTrade, which uniquely combines the analysis of on-chain and off-chain data.		 YUAN LI et. al. emnlp 2024-11-11
43 Carbon Trading in Developing Economies: Challenges, Opportunities, and Best Practices
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Abstract: Globally, carbon trading, a market-driven approach to cut greenhouse gas emissions, has become increasingly popular. Developing economies are increasingly looking at carbon …		 Seema Dixit; Swati Bardiya; International Journal For Multidisciplinary Research 2024-11-10
44 Optimization of High-Frequency Trading Strategies Using Deep Reinforcement Learning
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Abstract: This study presents a new method for optimising high-risk trading (HFT) strategies using deep learning (DRL). We propose a multi-time DRL framework integrating advanced neural …		 Guanghe Cao; Yitian Zhang; Qi Lou; Gaike Wang; Journal of Artificial Intelligence General science (JAIGS) … 2024-11-05
45 Utilizing RNN for Real-time Cryptocurrency Price Prediction and Trading Strategy Optimization
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Abstract: This study explores the use of Recurrent Neural Networks (RNN) for real-time cryptocurrency price prediction and optimized trading strategies. Given the high volatility of the …		 Shamima Nasrin Tumpa; K. D. G. Maduranga; ArXiv 2024-11-05
46 Peer-to-Peer Energy Transactions for Prosumers Based on Improved Deep Deterministic Policy Gradient Algorithm
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Abstract: With the evolution of the power market, the active involvement of prosumers in both consuming renewable energy and maximizing financial gains has emerged as a pivotal and …		 Hao Xiao; Xiaowei Pu; Wei Pei; Li Ma; IEEE Transactions on Smart Grid 2024-11-01
47 PENGARUH VOLUME DAN FREKUENSI PERDAGANGAN TERHADAP HARGA SAHAM PADA BANK INDEX LQ45 – PERIODE 2020 – 2024
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Abstract: Abstract: The purpose of this study is to examine and analyze whether there is an effect of the independent variables,  Trading Volume and Frequency Transactions, and the …		 Hartanto Hartanto; Ekonis: Jurnal Ekonomi dan Bisnis 2024-10-31
48 Inferring Option Movements Through Residual Transactions: A Quantitative Model
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Highlight: This research presents a novel approach to predicting option movements by analyzing residual transactions, which are trades that deviate from standard hedging activities.		 Carl von Havighorst; Vincil Bishop III; arxiv-q-fin.CP 2024-10-21
49 Cross-contextual Sequential Optimization Via Deep Reinforcement Learning for Algorithmic Trading
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Highlight: Existing works mainly focus on capturing temporal relations while ignoring deriving essential factors across features. Therefore, we propose a DRL-based cross-contextual sequential optimization (CCSO) method for algorithmic trading.		 KAIMING PAN et. al. cikm 2024-10-21
50 Hierarchical Reinforced Trader (HRT): A Bi-Level Approach for Optimizing Stock Selection and Execution
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Highlight: Leveraging Deep Reinforcement Learning (DRL) in automated stock trading has shown promising results, yet its application faces significant challenges, including the curse of dimensionality, inertia in trading actions, and insufficient portfolio diversification. Addressing these challenges, we introduce the Hierarchical Reinforced Trader (HRT), a novel trading strategy employing a bi-level Hierarchical Reinforcement Learning framework.		 Zijie Zhao; Roy E. Welsch; arxiv-q-fin.TR 2024-10-18
51 TradExpert: Revolutionizing Trading with Mixture of Expert LLMs
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Highlight: This paper presents TradeExpert, a novel framework that employs a mix of experts (MoE) approach, using four specialized LLMs, each analyzing distinct sources of financial data, including news articles, market data, alpha factors, and fundamental data.		 Qianggang Ding; Haochen Shi; Jiadong Guo; Bang Liu; arxiv-cs.AI 2024-10-16
52 TraderTalk: An LLM Behavioural ABM Applied to Simulating Human Bilateral Trading Interactions
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Abstract: We introduce a novel hybrid approach that augments Agent-Based Models (ABMs) with behaviours generated by Large Language Models (LLMs) to simulate human trading interactions. We …		 Alicia Vidler; Toby Walsh; 2024 IEEE International Conference on Agents (ICA) 2024-10-10
53 Technical Indicator Empowered Intelligent Strategies to Predict Stock Trading Signals
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 Arjun Singh Saud; Subarna Shkaya; Journal of Open Innovation: Technology, Market, and … 2024-10-01
54 Integrated Energy System Dispatch Considering Carbon Trading Mechanisms and Refined Demand Response for Electricity, Heat, and Gas
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Abstract: To realize a carbon-efficient and economically optimized dispatch of the integrated energy system (IES), this paper introduces a highly efficient dispatch strategy that integrates …		 Lihui Gao; Shuanghao Yang; Nan Chen; Junheng Gao; Energies 2024-09-21
55 Religious Practices, Fasting, and Individuals’ Trading Behavior: A Natural Experiment
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Abstract: Purpose This study aims to investigate the effect of seasonality caused by fasting as a religious practice on trading activity. Design/methodology/approach The authors use an …		 Abdullah M. Al-Awadhi; Ahmad Bash; B. Algharabali; Mohammad Al-Hashel; Fouad Jamaani; Journal of Islamic Accounting and Business Research 2024-09-20
56 Algorithmic and High-Frequency Trading Problems for Semi-Markov and Hawkes Jump-Diffusion Models
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Highlight: This paper introduces a jump-diffusion pricing model specifically designed for algorithmic trading and high-frequency trading (HFT).		 Luca Lalor; Anatoliy Swishchuk; arxiv-q-fin.MF 2024-09-19
57 Optimal Position-building Strategies in Competition
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Highlight: This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing.		 Neil A. Chriss; arxiv-q-fin.TR 2024-09-05
58 Do Controlling Shareholders’ Equity Pledges Exacerbate The Stock Price Crash Risk? -A Study Based on Margin Trading and Securities Lending Transactions in China’s Securities Market
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 Liang Wang; Ziqiu Cao; Wenyan Cao; Heliyon 2024-09-05
59 High-frequency Trading in The Stock Market and The Costs of Options Market Making
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 M. Nimalendran; Khaladdin Rzayev; Satchit Sagade; Journal of Financial Economics 2024-09-01
60 A Peer-to-Peer Joint Kilowatt and Negawatt Trading Framework Incorporating Battery Cycling Degradation
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Abstract: This paper presents a novel unified peer-to-peer (P2P) framework for both kilowatt (kW) and negawatt (nW) trading. The aim is to coordinate these two transaction types and …		 Chenxi Zhang; Jing Qiu; Yi Yang; IEEE Transactions on Power Systems 2024-09-01
61 Price-Matching-Based Regional Energy Market With Hierarchical Reinforcement Learning Algorithm
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Abstract: This article proposes a multienergy trading market model based on price matching, aiming to foster multienergy collaboration and enhance energy utilization through individual …		 NING ZHANG et. al. IEEE Transactions on Industrial Informatics 2024-09-01
62 Comparison Between Blockchain P2P Energy Trading and Conventional Incentive Mechanisms for Distributed Energy Resources—A Rural Microgrid Use Case Study
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Abstract: Peer-to-Peer (P2P) energy trading is a new financial mechanism that can be adopted to incentivize the development of distributed energy resources (DERs), by promoting the selling …		 Alain Aoun; Mehdi Adda; A. Ilinca; M. Ghandour; Hussein Ibrahim; Applied Sciences 2024-08-28
63 Exposing Stealthy Wash Trading on Automated Market Maker Exchanges
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Abstract: Decentralized Finance (DeFi), a pivotal component of the emerging Web3 landscape, is gaining popularity but remains vulnerable to market manipulations, such as wash trading. Wash …		 Rundong Gan; Le Wang; Liang Xue; Xiaodong Lin; ACM Trans. Internet Techn. 2024-08-23
64 MacroHFT: Memory Augmented Context-aware Reinforcement Learning On High Frequency Trading
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Highlight: However, existing RL methods for HFT still have some defects: 1) standard RL-based trading agents suffer from the overfitting issue, preventing them from making effective policy adjustments based on financial context; 2) due to the rapid changes in market conditions, investment decisions made by an individual agent are usually one-sided and highly biased, which might lead to significant loss in extreme markets. To tackle these problems, we propose a novel Memory Augmented Context-aware Reinforcement learning method On HFT, a.k.a. MacroHFT, which consists of two training phases: 1) we first train multiple types of sub-agents with the market data decomposed according to various financial indicators, specifically market trend and volatility, where each agent owns a conditional adapter to adjust its trading policy according to market conditions; 2) then we train a hyper-agent to mix the decisions from these sub-agents and output a consistently profitable meta-policy to handle rapid market fluctuations, equipped with a memory mechanism to enhance the capability of decision-making		 CHUQIAO ZONG et. al. kdd 2024-08-21
65 A Multimodal Foundation Agent for Financial Trading: Tool-Augmented, Diversified, and Generalist
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Highlight: While advanced AI techniques like deep learning and reinforcement learning are extensively utilized in finance, their application in financial trading tasks often faces challenges due to inadequate handling of multimodal data and limited generalizability across various tasks. To address these challenges, we present FinAgent, a multimodal foundational agent with tool augmentation for financial trading.		 WENTAO ZHANG et. al. kdd 2024-08-21
66 Blockchain with Secure Data Transactions and Energy Trading Model Over The Internet of Electric Vehicles
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Highlight: This study presents a secure data and energy trade paradigm based on Blockchain (BC) in the Internet of EVs (IoEV).		 TAHER AL-SHEHARI et. al. Scientific reports 2024-08-19
67 Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players
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Highlight: Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic trading activities through a game-theoretic perspective, examining market interactions among different types of participants.		 Yufan Chen; Lan Wu; Renyuan Xu; Ruixun Zhang; arxiv-q-fin.MF 2024-08-18
68 High-Frequency Options Trading | With Portfolio Optimization
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Highlight: This paper explores the effectiveness of high-frequency options trading strategies enhanced by advanced portfolio optimization techniques, investigating their ability to consistently generate positive returns compared to traditional long or short positions on options.		 Sid Bhatia; arxiv-q-fin.TR 2024-08-16
69 Enhancement of Price Trend Trading Strategies Via Image-induced Importance Weights
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Highlight: From an extensive empirical analysis on the Chinese stock market, we show that the triple-I weighting scheme can significantly enhance the price trend trading signals for proposing portfolios, with a thoughtful robustness study in terms of network specifications, image structures, and stock sizes.		 Zhoufan Zhu; Ke Zhu; arxiv-q-fin.PM 2024-08-15
70 Algorithmic Trading Using Double Deep Q-Networks and Sentiment Analysis
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Abstract: In this work, we explore the application of deep reinforcement learning (DRL) to algorithmic trading. While algorithmic trading is focused on using computer algorithms to automate …		 LEON TABARO et. al. Inf. 2024-08-09
71 Deep Learning for Bitcoin Price Direction Prediction: Models and Trading Strategies Empirically Compared
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 Oluwadamilare Omole; David Enke; Financial Innovation 2024-08-05
72 Green Gold or Carbon Beast? Assessing The Environmental Implications of Cryptocurrency Trading on Clean Water Management and Carbon Emission SDGs
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 Fairouz Mustafa; Chima Mordi; Ahmed A Elamer; Journal of environmental management 2024-08-03
73 Explainable Machine Learning for High Frequency Trading Dynamics Discovery
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 HENRY HAN et. al. Inf. Sci. 2024-08-01
74 Deep Learning for Options Trading: An End-To-End Approach
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Highlight: We introduce a novel approach to options trading strategies using a highly scalable and data-driven machine learning algorithm.		 Wee Ling Tan; Stephen Roberts; Stefan Zohren; arxiv-q-fin.PM 2024-07-31
75 Large Language Model Agent in Financial Trading: A Survey
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Abstract: Trading is a highly competitive task that requires a combination of strategy, knowledge, and psychological fortitude. With the recent success of large language models(LLMs), it is …		 Han Ding; Yinheng Li; Junhao Wang; Hang Chen; ArXiv 2024-07-26
76 Research on The Synergistic Emission Reduction Effect of Carbon Emission Trading and Green Financial Policy
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 Zhang Xiufan; Fan Decheng; Journal of environmental management 2024-07-25
77 Reinforcement Learning Pair Trading: A Dynamic Scaling Approach
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Highlight: This study investigates whether Reinforcement Learning (RL) can enhance decision-making in cryptocurrency algorithmic trading compared to traditional methods. In order to address this question, we combined reinforcement learning with a statistical arbitrage trading technique, pair trading, which exploits the price difference between statistically correlated assets.		 Hongshen Yang; Avinash Malik; arxiv-q-fin.CP 2024-07-22
78 Study on The Legal Adaptation of Digital Asset Trading and Securities Laws
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Abstract: This thesis discusses the connection between digital asset trading and securities law, and analyzes the role and importance of securities law in digital asset trading. As an …		 Jingwen Miao; International Journal of Social Sciences and Public … 2024-07-21
79 When AI Meets Finance (StockAgent): Large Language Model-based Stock Trading in Simulated Real-world Environments
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Highlight: We evaluate different LLMs under the framework of StockAgent in a stock trading environment that closely resembles real-world conditions.		 CHONG ZHANG et. al. arxiv-q-fin.TR 2024-07-15
80 High-Frequency Quantitative Trading of Digital Currencies Based on Fusion of Deep Reinforcement Learning Models with Evolutionary Strategies
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Abstract: High-frequency quantitative trading in the emerging digital currency market poses unique challenges due to the lack of established methods for extracting trading information. This …		 Yijun He; Bo Xu; Xinpu Su; J. Comput. Inf. Technol. 2024-07-15
81 AI Is Not Careful: Approach To the Stock Market and Preference for AI Advisor
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Abstract: PurposeFinancial institutions actively seek to leverage the capabilities of artificial intelligence (AI) across diverse operations in the field. Especially, the adoption of AI …		 Jieun Koo; International Journal of Bank Marketing 2024-07-15
82 The Real Effect of CDS Trading: Evidence from Corporate Employment
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Abstract: This paper examines whether the inception of credit default swaps (CDS) trading curbs corporate employment. We show that firms with CDS trading have significantly lower employment …		 Shaojie Lai; Shiang Liu; Xiaoling Pu; Jianing Zhang; International Review of Finance 2024-07-10
83 An LSTM-based Optimization Algorithm for Enhancing Quantitative Arbitrage Trading
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Abstract: Arbitrage trading is a common quantitative trading strategy that leverages the long-term cointegration relationships between multiple related assets to conduct spread trading for …		 Guodong Han; Hecheng Li; PeerJ. Computer science 2024-07-08
84 Portfolio Construction Using Explainable Reinforcement Learning
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Abstract: While machine learning’s role in financial trading has advanced considerably, algorithmic transparency and explainability challenges still exist. This research enriches prior …		 D. González-Cortés; Enrique Onieva; I. Pastor; Laura Trinchera; Jian Wu; Expert Syst. J. Knowl. Eng. 2024-07-02
85 Trading Strategies and Financial Performances: A Simulation Approach
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 A. E. Biondo; Laura Mazzarino; A. Pluchino; International Review of Financial Analysis 2024-07-01
86 Exploring Liquidity Pooling and Automated Trading with COREDAOVIP Token in Decentralized Exchanges
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Abstract: The emergence of decentralized finance (DeFi) has transformed traditional financial systems by leveraging blockchain technology to offer decentralized solutions for trading and …		 Ashutosh Singla; Scientific Journal of Metaverse and Blockchain Technologies 2024-07-01
87 Determinants of Public Investment Decision in Forex Robots Trading: Evidence from Indonesia
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Abstract: Manuscript type: Research paper Research aims: This study aims to analyse the factors that influence investment decisions on forex trading robot users in Indonesia by using four …		 U. Husaeni; Dwi Priyatno; Saptaning Ruju Paminto; Hasbu Naim Syaddad; Asian Journal of Business and Accounting 2024-06-30
88 Deep Reinforcement Learning Strategies in Finance: Insights Into Asset Holding, Trading Behavior, and Purchase Diversity
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Abstract: Recent deep reinforcement learning (DRL) methods in finance show promising outcomes. However, there is limited research examining the behavior of these DRL algorithms. This paper …		 Alireza Mohammadshafie; Akram Mirzaeinia; Haseebullah Jumakhan; Amir Mirzaeinia; ArXiv 2024-06-29
89 A Reflective LLM-based Agent to Guide Zero-shot Cryptocurrency Trading
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Abstract: The utilization of Large Language Models (LLMs) in financial trading has primarily been concentrated within the stock market, aiding in economic and financial decisions. Yet, the …		 YUAN LI et. al. ArXiv 2024-06-27
90 Improving Market Efficiency and Profitability in High-Frequency Trading Using Neural Network-Based Deep Learning Techniques
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Abstract: The financial markets have witnessed the rise of High-frequency trading (HFT), which is distinguished by the quick execution of deals encouraged by algorithmic methods and …		 SAMEER YADAV et. al. 2024 15th International Conference on Computing … 2024-06-24
91 Optimizing Quantile-based Trading Strategies in Electricity Arbitrage
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Abstract: Efficiently integrating renewable resources into electricity markets is vital for addressing the challenges of matching real-time supply and demand while reducing the significant …		 Ciaran O’Connor; Joseph Collins; Steven D. Prestwich; Andrea Visentin; ArXiv 2024-06-19
92 Trading Gamification and Investor Behavior
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Abstract: We study the effect of gamification on retail traders’ behavior using a randomized online experiment. Participants with lower financial literacy prefer platforms with hedonic …		 P. Chapkovski; Mariana Khapko; Marius Zoican; Management Science 2024-06-17
93 Social Media, Investment Knowledge, and Meme Stock Trading
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 Ichchha Pandey; Michael Guillemette; Journal of Behavioral Finance 2024-06-17
94 Intraday Electricity Price Forecasting Via LSTM and Trading Strategy for The Power Market: A Case Study of The West Denmark DK1 Grid Region
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Abstract: For several stakeholders, including market players, customers, grid operators, policy-makers, investors, and energy efficiency initiatives, having a precise estimate of power …		 D. Kılıç; Peter Nielsen; Amila Thibbotuwawa; Energies 2024-06-13
95 Deep Reinforcement Learning with Positional Context for Intraday Trading
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Highlight: They neglect the contextual information related to the position of the strategy, which is an important aspect given the sequential nature of intraday trading. In this study, we propose a novel DRL model for intraday trading that introduces positional features encapsulating the contextual information into its sparse state space.		 Sven Goluža; Tomislav Kovačević; Tessa Bauman; Zvonko Kostanjčar; arxiv-q-fin.TR 2024-06-12
96 Application of Black-Litterman Bayesian in Statistical Arbitrage
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Highlight: \begin{abstract} In this paper, we integrated the statistical arbitrage strategy, pairs trading, into the Black-Litterman model and constructed efficient mean-variance portfolios.		 Qiqin Zhou; arxiv-q-fin.CP 2024-06-10
97 MOT: A Mixture of Actors Reinforcement Learning Method By Optimal Transport for Algorithmic Trading
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 Xi Cheng; Jinghao Zhang; Yunan Zeng; Wenfang Xue; European Conference on Principles of Data Mining and … 2024-06-03
98 Speed Vs. Efficiency: A Framework for High-frequency Trading Algorithms on FPGA Using Zynq SoC Platform
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 ABBAS ALI et. al. Alexandria Engineering Journal 2024-06-01
99 Synergizing Quantitative Finance Models and Market Microstructure Analysis for Enhanced Algorithmic Trading Strategies
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 OM MENGSHETTI et. al. Journal of Open Innovation: Technology, Market, and … 2024-06-01
100 Algorithmic Stock Trading Based on Ensemble Deep Neural Networks Trained with Time Graph
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 Muhammed Yilmaz; Mustafa Mert Keskin; A. Ozbayoglu; Appl. Soft Comput. 2024-06-01
101 A Comparative Study of Ensemble Learning Algorithms for High-frequency Trading
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 El Mehdi Ferrouhi; Ibrahim Bouabdallaoui; Scientific African 2024-06-01
102 A Pricing Strategy Based on Bi-level Stochastic Optimization for Virtual Power Plant Trading in Multi-market: Energy, Ancillary Services and Carbon Trading Market
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 Yue Chen; Yuguang Niu; Chenzhi Qu; Ming Du; Pin Liu; Electric Power Systems Research 2024-06-01
103 Robo-Advisors: Revolutionizing Wealth Management Through The Integration of Big Data and Artificial Intelligence in Algorithmic Trading Strategies
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Abstract: This article explores how robo-advisors are transforming wealth management by integrating big data and artificial intelligence into algorithmic trading strategies. It discusses …		 Luby Liu; Jinxin Xu; Qishuo Cheng; Yuqiang Zhong; Lichen Qin; Journal of Knowledge Learning and Science Technology ISSN: … 2024-05-30
104 A Deep Reinforcement Learning Approach for Trading Optimization in The Forex Market with Multi-Agent Asynchronous Distribution
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Highlight: The proposed method employs parallel learning across multiple asynchronous workers, each specialized in trading across multiple currency pairs to explore the potential for nuanced strategies tailored to different market conditions and currency pairs.		 Davoud Sarani; Dr. Parviz Rashidi-Khazaee; arxiv-cs.CE 2024-05-30
105 Decision Trees for Intuitive Intraday Trading Strategies
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Highlight: This research paper aims to investigate the efficacy of decision trees in constructing intraday trading strategies using existing technical indicators for individual equities in the NIFTY50 index.		 Prajwal Naga; Dinesh Balivada; Sharath Chandra Nirmala; Poornoday Tiruveedi; arxiv-q-fin.ST 2024-05-22
106 Revolutionizing Forex Trading: Harnessing AI for Seamless Market Automation
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Abstract: The article explores the integration of AI and automated trading in the Forex market, focusing on the development of a custom Expert Advisor using FXDreema. To improve trading …		 Raswanth S S; Roshan M; Sanjit S; Dr. Suresh P; International Research Journal on Advanced Engineering Hub … 2024-05-21
107 Data-driven Measures of High-frequency Trading
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Highlight: We train machine learning models to predict HFT activity observed in a proprietary dataset using concurrent public intraday data.		 G. Ibikunle; B. Moews; D. Muravyev; K. Rzayev; arxiv-q-fin.CP 2024-05-13
108 Enhancing Renewable Energy Certificate Transactions Through Reinforcement Learning and Smart Contracts Integration
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Abstract: Given the complexity of issuing, verifying, and trading green power certificates in China, along with the challenges posed by policy changes, ensuring that China’s green …		 Qingsu He; Jinsong Wang; Ruijie Shi; Yifan He; Muqing Wu; Scientific reports 2024-05-12
109 Trading As Gambling: Social Investing and Financial Risks on The R/WallStreetBets Subreddit
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Abstract: Financial trading has become commonplace, involving the purchase and sale of securities such as stocks and bonds. While HCI research has investigated people’s financial literacy …		 Yubo Kou; Sam Moradzadeh; Xinning Gui; Proceedings of the CHI Conference on Human Factors in … 2024-05-11
110 BPET: A Unified Blockchain-Based Framework for Peer-to-Peer Energy Trading
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Abstract: Recent years have witnessed a significant dispersion of renewable energy and the emergence of blockchain-enabled transactive energy systems. These systems facilitate direct energy …		 Caixiang Fan; Hamzeh Khazaei; Petr Musílek; Future Internet 2024-05-07
111 Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from A Multi-Agent Simulation Study
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Highlight: Exploring complex adaptive financial trading environments through multi-agent based simulation methods presents an innovative approach within the realm of quantitative finance.		 Alicia Vidler; Toby Walsh; arxiv-q-fin.CP 2024-05-05
112 Improving Algorithmic Trading Consistency Via Human Alignment and Imitation Learning
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 Yuling Huang; Chujin Zhou; Kai Cui; Xiaoping Lu; Expert Syst. Appl. 2024-05-01
113 Analyzing The Impact of Algorithmic Trading on Stock Market Behavior: A Comprehensive Review
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Abstract: In the ever-evolving tapestry of financial markets, algorithmic trading has emerged as a transformative force, redefining the boundaries of trading strategies and market dynamics. …		 Lawrence Damilare; Lawrence Damilare Oyeniyi; Chinonye Esther Ugochukwu; Noluthando Zamanjomane Mhlongo; World Journal of Advanced Engineering Technology and … 2024-04-30
114 The Role of AI in Financial Markets: Impacts on Trading, Portfolio Management, and Price Prediction
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Abstract: Today artificial intelligence (AI) has become an indispensable assistance for human traders. AI systems provide human traders with numerous advantages, such as the capability to …		 SUNIL KUMAR DAS et. al. Journal of Electrical Systems 2024-04-29
115 On A Fundamental Statistical Edge Principle
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Highlight: This paper establishes that conditioning the probability of execution of new orders on the self-generated historical trading information (HTI) of a trading strategy is a necessary condition for a statistical trading edge.		 Tommaso Gastaldi; arxiv-q-fin.PM 2024-04-22
116 Algorithmic Trading Strategies: Leveraging Machine Learning Models for Enhanced Performance in The US Stock Market
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Abstract: In the recent past, algorithmic trading has become exponentially predominant in the American stock market. The principal objective of this research was to explore the employment …		 N. Gurung; Sumon Gazi; Md zahidul Islam; Md Rokibul Hasan; Journal of Business and Management Studies 2024-04-20
117 Deep Reinforcement Learning Based Optimization and Risk Control of Trading Strategies
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Abstract: Deep reinforcement learning (DRL) based optimization leverages advanced machine learning techniques to solve complex decision-making problems in various domains.  Deep learning in …		 Mengrui Bao; Journal of Electrical Systems 2024-04-13
118 Machine Learning Based Financial Stock Market Trading Strategies with Moving Average, Stochastic Relative Strength Index and Price Volume Actions for Indian and Malaysian Stock Market
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Abstract: The study related to a new and very powerful stock, index and commodities trading strategy based on machine learning with Moving Average (MA), Stochastic Relative Strength Index …		 Rajesh Dey, Salina Kassim, Sudhanshu Maurya, Rupali Atul Mahajan, Arup Kadia, Monika Singh; Journal of Electrical Systems 2024-04-04
119 A Review of Peer-to-Peer Energy Trading Markets: Enabling Models and Technologies
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Abstract: This paper presents a detailed review of the existing literature on peer-to-peer (P2P) energy trading considering market architectures, trading strategies, and enabling …		 S. Islam; Energies 2024-04-02
120 Blockchain and Digital Asset Transactions- Based Carbon Emissions Trading Scheme for Industrial Internet of Things
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Abstract: Carbon emissions trading has become an increasingly hot topic nowadays, due to the fact that how to reduce carbon emissions has been a common effort of different countries. …		 Fan Yang; Yanan Qiao; Junge Bo; Lvyang Ye; Mohammad Zoynul Abedin; IEEE Transactions on Industrial Informatics 2024-04-01
121 Continuance Adoption of Online Stock Trading Among Investors of Kathmandu Valley
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Abstract: Purpose: This paper investigates the continuance adoption of online stock trading among investors in Kathmandu Valley. Methodology: Using self-administered questionnaires, this …		 Laxman Pokhrel; Sunita Sapkota; Nepalese Journal of Insurance and Social Security 2024-03-31
122 Research on Finance Credit Risk Quantification Model Based on Machine Learning Algorithm
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Abstract:  Machine learning is a branch of artificial intelligence (AI) technology that enables systems to learn and make predictions and decisions without the need for explicit …		 Junliang Wang; Jiahao Xu; Qishuo Cheng; Rathna Kumar; Academic Journal of Science and Technology 2024-03-26
123 Blockchain-Enabled Integrated Energy System Trading Model for CCS-P2G-Coupled Operation: Enhancing Energy Trading Efficiency and Carbon Emission Reduction
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Abstract: The need for sustainable integrated energy systems to mitigate environmental impact is hindered by challenges in fluctuating demand, trading reliability, and trustworthiness. This …		 Meizhen Gao; International Journal of Energy Research 2024-03-20
124 Advanced Statistical Arbitrage with Reinforcement Learning
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Highlight: In this study, we introduce an innovative model-free and reinforcement learning based framework for statistical arbitrage.		 Boming Ning; Kiseop Lee; arxiv-q-fin.ST 2024-03-18
125 Volatility Spillover from Carbon Prices to Stock Prices: Evidence from China’s Carbon Emission Trading Markets
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Abstract: The carbon emission trading markets represent an emerging domain within China. The primary objective of this study is to explore whether carbon price volatility influences stock …		 Jinwang Ma; Jingran Feng; Jun Chen; Jianing Zhang; Journal of Risk and Financial Management 2024-03-18
126 Fear of Missing Out on Financial Gains: Associations Between Fear of Missing Out, Problem Gambling, and Speculative Trading in College Students
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Abstract: In recent years a fear of missing out (FOMO) on short-term monetary gains through speculative trading has been highlighted as a driving force of financial behaviors. Additionally, …		 Frank Song; S. Graupensperger; T. Lostutter; M. Larimer; Emerging Adulthood 2024-03-09
127 A Short-term Price Prediction-based Trading Strategy
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Highlight: In this paper, we proposed a short-term prediction-based trading strategy, which can equiponderate between return and risk, considerations while accounting for investor risk preferences.		 Weijia Fan; Ru Zhang; Hao He; Siyu Hou; Yongbo Tan; PloS one 2024-03-07
128 Enhanced Genetic-Algorithm-Driven Triple Barrier Labeling Method and Machine Learning Approach for Pair Trading Strategy in Cryptocurrency Markets
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Abstract: In the dynamic world of finance, the application of Artificial Intelligence (AI) in pair trading strategies is gaining significant interest among scholars. Current AI research …		 Ning Fu; Mingu Kang; Joongi Hong; Suntae Kim; Mathematics 2024-03-06
129 A Study on The Impact of Pilot Carbon Emission Trading Policies on Corporate Performance
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Abstract: This paper uses the carbon emission trading policy as a quasi-natural experiment to comprehensively investigate its impact on the financial and market performance of firms. The …		 Guihuan Yan; Zhilei Shi; Sustainability 2024-03-06
130 Impact of Night Trading Sessions on Volatility of USD Futures Market in Thailand
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Abstract: Prior to September 2021, USD Futures could only be traded during the regular hours in Thailand Futures Exchange (TFEX). An additional trading session at night, while trading in …		 W. Jongadsayakul; JOURNAL OF INTERNATIONAL STUDIES 2024-03-01
131 Leveraged Trading and Stock Returns: Evidence from International Stock Markets
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 Zhuo Chen; Pengfei Li; Zhengwei Wang; Bohui Zhang; Journal of Financial Markets 2024-03-01
132 Navigating The Technical Analysis in Stock Markets: Insights from Bibliometric and Topic Modeling Approaches
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Abstract: In stock markets, technical analysis plays a vital role by offering valuable insights into price trends, patterns, and anticipated market movements, aiding investors in making …		 Sarveshwar Kumar Inani; H. Pradhan; Surender Kumar; Baidyanath Biswas; Investment Management and Financial Innovations 2024-02-28
133 Optimization of Traditional Stock Market Strategies Using The LSTM Hybrid Approach
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Abstract: Investment decision-makers increasingly rely on modern digital technologies to enhance their strategies in today’s rapidly changing and complex market environment. This paper …		 Ive Botunac; Jurica Bosna; M. Matetić; Inf. 2024-02-28
134 Machine Learning in Financial Markets: A Critical Review of Algorithmic Trading and Risk Management
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Abstract: The integration of machine learning (ML) techniques in financial markets has revolutionized traditional trading and risk management strategies, offering unprecedented …		 WILHELMINA AFUA ADDY et. al. International Journal of Science and Research Archive 2024-02-28
135 Artificial Intelligence in Stock Broking: A Systematic Review of Strategies and Outcomes
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Abstract: Artificial Intelligence (AI) has emerged as a transformative force in the field of stock broking, revolutionizing traditional trading strategies and reshaping financial markets. …		 ANDREW IFESINACHI et. al. World Journal of Advanced Research and Reviews 2024-02-28
136 Algorithmic Trading and AI: A Review of Strategies and Market Impact
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Abstract: This review explores the dynamic intersection of algorithmic trading and artificial intelligence (AI) within financial markets. It delves into the evolution, strategies, and …		 WILHELMINA AFUA ADDY et. al. World Journal of Advanced Engineering Technology and … 2024-02-28
137 A Study on The Dynamic Impact of Carbon Emission Trading on Green and High-quality Development
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Abstract: As a pivotal element in market mechanisms, carbon trading is increasingly recognized as crucial for achieving China’s Carbon Peaking and Carbon Neutrality Goals. This study …		 Qinghao Yang; Bingbing Zhang; Zhijun Yan; Tingqiang Chen; Environmental science and pollution research international 2024-02-28
138 Review of Recent Research Directions and Practical Implementation of Low-Frequency Algorithmic Trading
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Abstract: Financial trading has undergone substantial technological evolution, with automation taking center stage, leading to approximately 80% of US market trades being executed by …		 Talal Al-Sulaiman; American Journal of Financial Technology and Innovation 2024-02-26
139 Practical Aspects of Applying Moving Averages to Develop A Trading Strategy in The Stock Market
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Abstract: Статья посвящена разработке и количественному обоснованию торговой стратегии, основанной на оптимальных значениях размеров окон скользящих средних для краткосрочного и …		 О.С. Чудинова; Л.А. Первицкая; Industrial Economics 2024-02-24
140 EarnHFT: Efficient Hierarchical Reinforcement Learning for High Frequency Trading
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Highlight: Second, the dramatic price fluctuations and market trend changes of Crypto make existing algorithms fail to maintain satisfactory performances. To tackle these challenges, we propose an Efficient hieArchical Reinforcement learNing method for High Frequency Trading (EarnHFT), a novel three-stage hierarchical RL framework for HFT.		 MOLEI QIN et. al. aaai 2024-02-20
141 Algorithm-Based Low-Frequency Trading Using A Stochastic Oscillator and William%R: A Case Study on The U.S. and Korean Indices
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Abstract: Using stochastics in stock market analysis is widely accepted for index estimation and ultra-high-frequency trading. However, previous studies linking index estimation to actual …		 C. Paik; Jinhee Choi; Ivan Ureta Vaquero; Journal of Risk and Financial Management 2024-02-20
142 Mispricing and Algorithm Trading
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Abstract: This study relaxes the efficient market hypothesis by introducing a model that accounts for initial mispricing and explores the effects of algorithmic trading. The research finds …		 Lihong Zhang; X. Zhang; Information Systems Research 2024-02-19
143 Towards The Net Zero Carbon Future: A Review of Blockchain‐enabled Peer‐to‐peer Carbon Trading
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Abstract: The increasing trend of energy generation and management systems towards decentralized structures such as using renewable energy resources makes it necessary to use digital and …		 Mohammad Parhamfar; I. Sadeghkhani; Amir Mohammad Adeli; Energy Science & Engineering 2024-02-14
144 End-to-End Policy Learning of A Statistical Arbitrage Autoencoder Architecture
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Highlight: As a first approach, we employ a standard Autoencoder trained on US stock returns to derive trading strategies based on the Ornstein-Uhlenbeck (OU) process.		 Fabian Krause; Jan-Peter Calliess; arxiv-q-fin.TR 2024-02-13
145 Applying News and Media Sentiment Analysis for Generating Forex Trading Signals
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Abstract: The objective of this research is to examine how sentiment analysis can be employed to generate trading signals for the Foreign Exchange (Forex) market.The author assessed …		 O. F. Olaiyapo; ArXiv 2024-02-12
146 Learning The Market: Sentiment-Based Ensemble Trading Agents
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Highlight: We propose and study the integration of sentiment analysis and deep reinforcement learning ensemble algorithms for stock trading by evaluating strategies capable of dynamically altering their active agent given the concurrent market environment.		 ANDREW YE et. al. arxiv-q-fin.TR 2024-02-02
147 An EM/MCMC Markov-Switching GARCH Behavioral Algorithm for Random-Length Lumber Futures Trading
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Abstract: This paper tests using two-regime Markov-switching models with asymmetric, time-varying exponential generalized autoregressive conditional heteroskedasticity (MS-EGARCH) variances …		 O. V. de la Torre-Torres; J. Álvarez‐García; María del Río-Rama; Mathematics 2024-02-02
148 Developing and Testing A Custom Algorithmic Trading Strategy Using Exponential Moving Average, Relative Strength Index, and Sentiment Analysis
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Abstract: Stock trading is a popular and important profession that requires near-to-perfect data analytical skills, mathematical and statistical knowledge, and a broad understanding of …		 Sstuti D. Mehra; S. Shetty; Journal of Autonomous Intelligence 2024-01-29
149 ESG Driven Pairs Algorithm for Sustainable Trading: Analysis from The Indian Market
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Highlight: This paper proposes an algorithmic trading framework integrating Environmental, Social, and Governance (ESG) ratings with a pairs trading strategy.		 Eeshaan Dutta; Sarthak Diwan; Siddhartha P. Chakrabarty; arxiv-q-fin.TR 2024-01-26
150 The Flash Crash: The Impact of High-Frequency Trading on The Stability of Financial Market
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Abstract: The growing prevalence of High-Frequency Trading (HFT) in financial markets has sparked intense debate over its impact on market stability. This paper aims to research the adverse …		 Pengfei Gu; Highlights in Business, Economics and Management 2024-01-22
151 A Novel Window Analysis and Its Application to Evaluating High-Frequency Trading Strategies
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 Ha Che-Ngoc; Thach Nguyen-Ngoc; Thao Nguyen-Trang; Computational Economics 2024-01-13
152 Quantum Probability Theoretic Asset Return Modeling: A Novel Schrödinger-Like Trading Equation and Multimodal Distribution
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Abstract: Quantum theory provides a comprehensive framework for quantifying uncertainty, often applied in quantum finance to explore the stochastic nature of asset returns. This perspective …		 Li Lin; SSRN Electronic Journal 2024-01-11
153 The Symmetric and Asymmetric Algorithmic Trading Strategies for The Stablecoins
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 Mahmut Bağcı; Pınar Kaya Soylu; Selçuk Kıran; Computational Economics 2024-01-10
154 Multi-level Deep Q-networks for Bitcoin Trading Strategies
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Highlight: In this study, we propose a multi-level deep Q-network (M-DQN) that leverages historical Bitcoin price data and Twitter sentiment analysis.		 Sattarov Otabek; Jaeyoung Choi; Scientific reports 2024-01-08
155 Blue Carbon Development in China: Realistic Foundation, Internal Demands, and The Construction of Blue Carbon Market Trading Mode
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Abstract: Promoting the inclusion of blue carbon in market trading is crucial for recognizing its value and protecting the marine ecological environment. However, China currently does not …		 PING LI et. al. Frontiers in Marine Science 2024-01-04
156 Deep Reinforcement Learning Robots for Algorithmic Trading: Considering Stock Market Conditions and U.S. Interest Rates
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Abstract: With the development of artificial intelligence, there have been many attempts to incorporate artificial intelligence into algorithmic trading. In particular, reinforcement …		 Ji-Heon Park; Jae-Hwan Kim; Jun-Ho Huh; IEEE Access 2024-01-01
157 Enhancing Trading Decision in Financial Markets: An Algorithmic Trading Framework With Continual Mean-Variance Optimization, Window Presetting, and Controlled Early-Stopping
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Abstract: This study introduces a trading decision support system (DSS) enhanced by an optimized mean-variance model for algorithmic trading (AT), crucial in modern financial markets for …		 C. Tudor; Robert Sova; IEEE Access 2024-01-01
158 From Prediction to Profit: A Comprehensive Review of Cryptocurrency Trading Strategies and Price Forecasting Techniques
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Abstract: The rapid evolution of cryptocurrency markets and the increasing complexity of trading strategies necessitate a comprehensive understanding of price-prediction models and their …		 Sattarov Otabek; Jaeyoung Choi; IEEE Access 2024-01-01
159 A Novel Stock Trading Utilizing Long Short Term Memory Prediction and Evolutionary Operating-weights Strategy
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 Xiaoman Huang; Chang Wu; Xiaoqi Du; Hong Wang; Ming Ye; Expert Syst. Appl. 2024-01-01
160 Evaluating LLMs in Financial Tasks – Code Generation in Trading Strategies
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 Miquel Noguer i Alonso; Hanane Dupouy; SSRN Electronic Journal 2024-01-01
161 AI-Driven Intraday Trading: Applying Machine Learning and Market Activity for Enhanced Decision Support in Financial Markets
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Abstract: In response to the unpredictable fluctuations in the global economic landscape, and with the aim of mitigating overnight risks, the stock market has seen a substantial increase in …		 Min-Chih Hung; An-Pin Chen; Wan-Ting Yu; IEEE Access 2024-01-01
162 A Review on High-Frequency Trading Forecasting Methods: Opportunity and Challenges for Quantum Based Method
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Abstract: High frequency trading, often known as HFT, is a subset of algorithmic trading, which is one of the most significant improvements to the trading environment in recent years. …		 Visalakshi Palaniappan; I. Ishak; Hamidah Ibrahim; F. Sidi; Z. Zukarnain; IEEE Access 2024-01-01
163 Accelerating Machine Learning for Trading Using Programmable Switches
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Abstract: . High-frequency trading (HFT) employs cutting-edge hardware for rapid decision-making and order execution but often relies on simpler algorithms that may miss deeper market …		 Xinpeng Hong; Changgang Zheng; Stefan Zohren; Noa Zilberman; European Conference on Artificial Intelligence 2024-01-01
164 Bidirectional Privacy-Preserving Network- Constrained Peer-to-Peer Energy Trading Based on Secure Multiparty Computation and Blockchain
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Abstract: The increasing integration of distributed energy resources has led to a network-constrained peer-to-peer (NCP2P) energy trading. Compared with conventional peer-to-peer trading …		 XIN ZHOU et. al. IEEE Transactions on Power Systems 2024-01-01
165 A Real-Time Simulation for P2P Energy Trading Using A Distributed Algorithm
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Abstract: Increasing the deployment of Renewable Energy Resources (RES), along with innovations in Information and Communication Technologies (ICT), would allow prosumers to engage in the …		 Younes Zahraoui; Tarmo Korõtko; A. Rosin; T. E. K. Zidane; Saad Mekhilef; IEEE Access 2024-01-01
166 Intraday Trading Algorithm for Predicting Cryptocurrency Price Movements Using Twitter Big Data Analysis
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Highlight: To accomplish this objective, we conduct a conditional examination of return and excess return rates within the 15 minutes following tweet publication.		 Vahidin Jeleskovic; Stephen Mackay; arxiv-q-fin.CP 2023-12-31
167 Prediction Model for Stock Trading Using Combined Long Short Term Memory and Neural Prophet with Regressors
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 International Journal of Intelligent Engineering and Systems 2023-12-31
168 How Do Carbon Emissions Trading Impact The Financialization of Non-financial Companies? Evidence from A Quasi-natural Experiment in China
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Highlight: We find that the carbon trading policy exerts a substantial and enduring inhibitory effect on corporate financialization.		 Wenhao Ma; Xuwen Yan; PloS one 2023-12-27
169 Deep Reinforcement Learning for Quantitative Trading
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Highlight: Striking a balance between exploration and exploitation poses another challenge for AI-driven trading agents. To surmount these hurdles, our proposed solution, QTNet, introduces an adaptive trading model that autonomously formulates QT strategies through an intelligent trading agent.		 Maochun Xu; Zixun Lan; Zheng Tao; Jiawei Du; Zongao Ye; arxiv-q-fin.TR 2023-12-25
170 Using Big Data Analytics and Heatmap Matrix Visualization to Enhance Cryptocurrency Trading Decisions
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Abstract: Using the Bollinger Bands trading strategy (BBTS), investors are advised to buy (and then sell) Bitcoin and Ethereum spot prices in response to BBTS’s oversold (overbought) …		 Yensen Ni; Pinhui Chiang; Min-Yuh Day; Yuhsin Chen; Applied Sciences 2023-12-23
171 The Scripless Trading of Share Transfer: Analysing The Role of Information Technology in Paperless Trading in Indonesian and Malaysian Stock Exchange
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Abstract: This research aims to find out the influences of information technology development on the concept of share ownership transfer in scripless trading and how this scripless trading …		 Suratman S; Muhammad Umar Abdul Razak; Wan Zulhafiz Wan Zahari; Azlan Roni; Conference on Mathematical and Statistical Physics, … 2023-12-19
172 A Novel Approach for Deep Learning-Powered Forecasting of Market Bottoms in Cryptocurrency and Stock Trading
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Abstract: The cryptocurrency and stock markets are dynamic environments that attract traders, seeking to enhance their investment returns. In cryptocurrency trading, there is a pullback in …		 D.M.D.K. Dasanayake; H.Y. Dilshan; H.D.K.Y. Rathnaweera; S. Ahangama; Indika Perera; 2023 IEEE International Conference on Big Data (BigData) 2023-12-15
173 From ML-Infused Algorithms to Financial Agents, Transforming Algorithmic Trading Excellence: A Comprehensive Study
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Abstract: Algorithmic trading has become a crucial component of modern financial markets, using advanced computational methods to execute trades quickly and accurately. This study explores …		 Tanaya Patil; 2023 IEEE/ACIS 8th International Conference on Big Data, … 2023-12-14
174 Analyzing Deep Reinforcement Learning Strategies for Enhanced Profit Generation and Risk Mitigation in Algorithm Stock Trading
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Abstract: Stock trading holds a pivotal role for investors seeking to navigate the intricate world of financial markets with the dual objectives of maximizing profits and minimizing risks. …		 PRASANNA KUMAR et. al. 2023 6th International Conference on Recent Trends in … 2023-12-14
175 Machine Learning Applications in Algorithmic Trading: A Comprehensive Systematic Review
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Abstract: : This paper reviews recent advancements in machine learning (ML) driven automated trading systems (ATS). ATS has progressed from simple rule-based systems to sophisticated ML …		 Arash Salehpour; Karim Samadzamini; International Journal of Education and Management … 2023-12-08
176 Reinforcement Learning for Stock Option Trading
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Abstract: This work focuses on reinforcement learning and its importance in trading stock options. It is based on stock options analysis of the American expiration style, considered more …		 James Garza; 2023 31st Irish Conference on Artificial Intelligence and … 2023-12-07
177 Consumer Protection in Commodity Futures Trading Transactions in The Physical Crypto Asset Market
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Abstract: In 2014, cryptocurrencies entered Indonesia, introduced by a trading company named Indodax. Cryptocurrencies are distributed on the blockchain and have fluctuating prices. Since …		 Stefanus Gilmore Soputro; Ali Imron; Kasuwi Saiban; International Journal of Social Science Research and Review 2023-12-06
178 High Frequency Trading with Deep Reinforcement Learning Agents Under A Directional Changes Sampling Framework
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Abstract: High frequency trading strategies in the foreign exchange (FX) market often attempt to extract the latent signals in extremely noisy price moves to help inform trading decisions. …		 George Rayment; Michael Kampouridis; 2023 IEEE Symposium Series on Computational Intelligence … 2023-12-05
179 An Integrated Approach of TAM and TPB with Financial Literacy and Perceived Risk for Influence on Online Trading Intention
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Abstract: Purpose This paper aims to propose a decision-making framework by investigating the impact of perceived risk and computer self-efficacy on the intention to use online stock …		 R. Raut; Santosh Kumar; Digital Policy, Regulation and Governance 2023-12-04
180 High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets
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 D. Alaminos; M. B. Salas; M. A. Fernández-Gámez; Computational Economics 2023-12-02
181 Exploiting The Potential of A Directional Changes-based Trading Algorithm in Stock Market
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 Han Ao; Munan Li; Finance Research Letters 2023-12-01
182 AUQ–ADMM Algorithm-Based Peer-to-Peer Trading Strategy in Large-Scale Interconnected Microgrid Systems Considering Carbon Trading
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Abstract: In the context of dual carbon target, this article proposes an optimal dispatch strategy for peer-to-peer (P2P) trading of large-scale interconnected microgrid (MG) systems …		 CHUN WEI et. al. IEEE Systems Journal 2023-12-01
183 Research on Carbon Asset Trading Strategy Based on PSO-VMD and Deep Reinforcement Learning
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 Jiayang Zhang; Kaijie Chen; Journal of Cleaner Production 2023-12-01
184 Empirical Analysis of The Relationship Between Carbon Trading Price and Stock Price of High Carbon Emitting Firms Based on VAR Model – Evidence from Chinese Listed Companies
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Abstract: At the United Nations General Assembly, the Chinese government promised to reach the peak of carbon dioxide emissions by 2030 and achieve a relative balance between carbon dioxide …		 Yukun Song; Yang Liu; Environmental science and pollution research international 2023-12-01
185 Gambling, Cryptocurrency, and Financial Trading App Marketing in English Premier League Football: A Frequency Analysis of In-game Logos
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Abstract: The gamblification of UK football has resulted in a proliferation of in-game marketing associated with gambling and gambling-like products such as cryptocurrencies and financial …		 Jamie Torrance; Conor Heath; Maira Andrade; Philip Newall; Journal of behavioral addictions 2023-11-27
186 Margin Trader: A Reinforcement Learning Framework for Portfolio Management with Margin and Constraints
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Abstract: In the field of portfolio management using reinforcement learning, existing approaches have mainly focused on cash-only trading, overlooking the potential benefits and risks of …		 Jingyi Gu; Wenlu Du; A. M. M. Rahman; Guiling Wang; Proceedings of the Fourth ACM International Conference on … 2023-11-25
187 Mbt-gym: Reinforcement Learning for Model-based Limit Order Book Trading
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Abstract: Within the mathematical finance literature there is a rich catalogue of mathematical models for studying algorithmic trading problems such as market making and optimal execution. …		 Joseph Jerome; Leandro Sánchez-Betancourt; Rahul Savani; Martin Herdegen; Proceedings of the Fourth ACM International Conference on … 2023-11-25
188 Automated Stock Trading Using Reinforcement Learning
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Abstract: Trading stocks requires effective methodologies to succeed in the business process. Automated stock trading involves utilizing computer algorithms and software programs to execute …		 I. VARSHINI DEVI et. al. 2023 International Conference on Integrated Intelligence … 2023-11-24
189 FinMem: A Performance-Enhanced LLM Trading Agent with Layered Memory and Character Design
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Highlight: While LLMs are efficient in decoding human instructions and deriving solutions by holistically processing historical inputs, transitioning to purpose-driven agents requires a supplementary rational architecture to process multi-source information, establish reasoning chains, and prioritize critical tasks. Addressing this, we introduce \textsc{FinMem}, a novel LLM-based agent framework devised for financial decision-making.		 YANGYANG YU et. al. arxiv-q-fin.CP 2023-11-22
190 Do Technical Trading Rules Outperform The Simple Buy-and-hold Strategy in The Cryptocurrency Market?
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Abstract: The authors test the weak-form efficiency in cryptocurrency markets using the most recent and comprehensive data as of 2021. The authors apply various technical indicators to take …		 JunHyeong Jin; JiHoon Jung; Kyojik Song; Journal of Derivatives and Quantitative Studies: 선물연구 2023-11-22
191 Regulating Carbon Assets Insider Trading: A US-EU Comparison to Protect Carbon Market Integrity
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Abstract: Given that policy information significantly affects the supply and demand of carbon assets, that the major factor impacting carbon asset market price is the size of supply and …		 Seokjin Oh; Journal for European Environmental and Planning Law 2023-11-16
192 Predicting Risk/reward Ratio in Financial Markets for Asset Management Using Machine Learning
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Highlight: In this study, we introduce a novel algorithm specifically designed for forecasting the profit and loss outcomes of trading activities.		 Reza Yarbakhsh; Mahdieh Soleymani Baghshah; Hamidreza Karimaghaie; arxiv-q-fin.CP 2023-11-15
193 Toward Green and Efficient Blockchain for Energy Trading: A Noncooperative Game Approach
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Abstract: Blockchain has gained significant adoption in energy trading, offering benefits for both economy and environment. Consensus, in particular, is a decisive factor for …		 ZHENG BAO et. al. IEEE Internet of Things Journal 2023-11-15
194 The Application of Deep Reinforcement Learning in Stock Trading Models
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Abstract: Deep Reinforcement Learning (DRL), which integrates the perceptual strength of Deep Learning (DL) with the determination strength of Reinforcement Learning (RL), has emerged as an …		 Jinshimo Aken; Dengke Liang; Zifei Lin; Chuyi Wang; Advances in Economics, Management and Political Sciences 2023-11-10
195 A Verifiable Secure Multi-party Computation Scheme Based on Zero-Knowledge Proof for Energy Trading
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Abstract: Driven by the wide adoption of distributed renewable energy sources (RES), peer-to-peer (P2P) regional energy trading models have emerged as a major service offering, where …		 JINSONG HOU et. al. 2023 International Conference on Intelligent Communication … 2023-11-10
196 Advancing Algorithmic Trading: A Multi-Technique Enhancement of Deep Q-Network Models
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Highlight: This study enhances a Deep Q-Network (DQN) trading model by incorporating advanced techniques like Prioritized Experience Replay, Regularized Q-Learning, Noisy Networks, Dueling, and Double DQN.		 Gang Hu; arxiv-q-fin.CP 2023-11-09
197 A Multi-Agent Integrated Energy Trading Strategy Based on Carbon Emission/Green Certificate Equivalence Interaction
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Abstract: To meet the demand for constructing a market mechanism that adapts to the integrated energy system and promotes market-oriented reforms in the energy sector, in-depth research on …		 JIAQI TIAN et. al. Sustainability 2023-11-09
198 Fractal Geometry in High-Frequency Trading: Modeling Market Microstructure and Price Dynamics
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Abstract: This theoretical article delves into the intricate world of high-frequency trading (HFT) without empirical testing of real-world data, focusing on the incorporation of fractal …		 ABDULGAFFAR MUHAMMAD et. al. Saudi Journal of Economics and Finance 2023-11-05
199 An Exploration of Sex Trading for Compensation and LGBTQ+ Inclusive Screening Practices: Perspectives of Young People Who Have Experienced Sex Trading And/or Homelessness
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 Lara B Gerassi; Caro Cruys; Nicole Hendry; Maria Del Carmen Rosales; Children and youth services review 2023-11-04
200 Peer-to-peer Energy Trading in A Community Based on Deep Reinforcement Learning
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Abstract: With the massive access to distributed energy resources, an increasing number of users have transformed into prosumers with the functions of producing, storing, and consuming …		 Yiqun Wang; Qingyu Yang; Donghe Li; Journal of Renewable and Sustainable Energy 2023-11-01
201 A Novel Deep Reinforcement Learning Framework with BiLSTM-Attention Networks for Algorithmic Trading
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 Yuling Huang; Xiaoxiao Wan; Lin Zhang; Xiaoping Lu; Expert Syst. Appl. 2023-11-01
202 Hybrid ARMA-GARCH-Neural Networks for Intraday Strategy Exploration in High-frequency Trading
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 D. Alaminos; M. B. Salas; Antonio Partal-Ureña; Pattern Recognit. 2023-11-01
203 Consortium Blockchain-Based Security and Efficient Resource Trading in V2V-Assisted Intelligent Transport Systems
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Abstract: As an effective method to increase the computing capability of vehicles, vehicle-to-vehicle (V2V) assisted vehicular edge computing (VEC) has great potential to reduce …		 Peng Liu; Weipeng Jing; Xinyu Fu; Yang Xiao; Lili Jia; IEEE Transactions on Intelligent Transportation Systems 2023-11-01
204 Internal and External Determinants of Bank Syariah Indonesia Capital Gain During The Pandemic
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Abstract: This paper seeks to confirm and explain the relationship between internal factors of stock-lagged return and trading volume and external factors of composite price on returns of …		 Resi Ariyasa Qadri; Etty Murwaningsari; Journal of Governance Risk Management Compliance and … 2023-10-31
205 A Framework for Enhancing Stock Investment Performance By Predicting Important Trading Points with Return-Adaptive Piecewise Linear Representation and Batch Attention Multi-Scale Convolutional Recurrent Neural Network
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Abstract: Efficient stock status analysis and forecasting are important for stock market participants to be able to improve returns and reduce associated risks. However, stock market data …		 Yu Lin; Ben Liu; Entropy (Basel, Switzerland) 2023-10-30
206 Capacity Configuration in Integrated Energy Production Unit Considering Ladder-Type Trading Under CCER Quota
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Abstract: As the issues of renewable energy utilization and environmental pollution become increasingly prominent, to further improve renewable energy efficiency and achieve low carbon …		 Muyao He; Zhenyuan Zhang; Qi Huang; Xiaotian Tang; Wei-Jen Lee; 2023 IEEE Industry Applications Society Annual Meeting (IAS) 2023-10-29
207 Combining Deep Learning on Order Books with Reinforcement Learning for Profitable Trading
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Abstract: High-frequency trading is prevalent, where automated decisions must be made quickly to take advantage of price imbalances and patterns in price action that forecast near-future …		 Koti S. Jaddu; P. Bilokon; ArXiv 2023-10-24
208 Optimal Strategies for Round-Trip Pairs Trading Under Geometric Brownian Motions
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Highlight: This paper is concerned with an optimal strategy for simultaneously trading a pair of stocks.		 Emily Crawford Das; Jingzhi Tie; Qing Zhang; arxiv-math.OC 2023-10-24
209 Natural Language Coding (NLC) for Autonomous Stock Trading: A New Dimension in No-Code/Low-Code (NCLC) AI
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Abstract: In the evolving field of AI, the advent of Large Language Models (LLMs) and Natural Language Coding (NLC) represents a revolutionary step in programming and computational …		 Yulia Kumar; Wenxiao Li; Kuan Huang; Michael Thompson; B. Hannon; 2023 IEEE 23rd International Conference on Software … 2023-10-22
210 Visualizing Profitability: A Heatmap Approach to Evaluate Bitcoin Futures Trading Using VMA Trading Rules
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 Min-Yuh Day; Yensen Ni; Chinning Hsu; Paoyu Huang; Heliyon 2023-10-21
211 E‐trading and Services Quality Effects on Stock Exchange in A Developing Country: A Study of Dhaka Stock Exchange
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Abstract: In a developing country like Bangladesh, Members’ satisfaction with stock exchanges was examined in this study based on the quality of e‐trading services. Five specific objectives …		 Shah Md. Safiul Hoque; H. Magd; M. Ashraf; Abu Rashed Osman; Shah Mohammed Mazeedul Hoque; The Electronic Journal of Information Systems in Developing … 2023-10-21
212 Cryptocurrency Algorithmic Trading with Price Forecasting Analysis Using PowerBI
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Abstract: As an alternate form of trade money, cryptocurrencies are now widely accepted and have been integrated into all financial activities. Trading cryptocurrencies is one of the most …		 LALIT SHROTRIYA et. al. 2023 First International Conference on Advances in … 2023-10-19
213 Stock Liquidity, Future Investment and Future Investment Efficiency in An Emerging Economy: Investigating The Moderator Role of Financial Constraints
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Abstract: Purpose This study aims to investigate the relationship between stock liquidity, future investment, future investment efficiency and the moderating effect of financial …		 Arash Arianpoor; Nahid Mohammadbeikzade; Journal of Islamic Accounting and Business Research 2023-10-19
214 Algorithmic Trading Strategies: Real-Time Data Analytics with Machine Learning
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Abstract: Machine learning algorithms have emerged as potent tools for risk control in algorithmic trading, empowering traders to scrutinize vast volumes of market data, discern patterns, …		 Munivel Devan; Kumaran Thirunavukkarasu; Lavanya Shanmugam; Journal of Knowledge Learning and Science Technology ISSN: … 2023-10-16
215 Profitability and Data-Snooping Tests of Four Technical Trade Strategies for Cryptocurrency Pair BTC/USDT and ETH/USDT in Cryptocurrency Markets During 2022–2023
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Abstract: We provide a comprehensive investigation into the profitability of technical trading methods applied to the cryptocurrency pairs BTC/USDT and ETH/USDT. By employing rigorous …		 Wei Li; Xinwan Wang; Zigan Wang; Mengxin Yang; Journal of Accounting and Finance 2023-10-13
216 A Framework for Empowering Reinforcement Learning Agents with Causal Analysis: Enhancing Automated Cryptocurrency Trading
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Highlight: To this end, we present CausalReinforceNet, a framework framed as a decision support system.		 Rasoul Amirzadeh; Dhananjay Thiruvady; Asef Nazari; Mong Shan Ee; arxiv-cs.AI 2023-10-13
217 Beating The Market with A Simple Proposed Portfolio and Technical Trading Rules
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Abstract: This study presents evidence that well-known technical trading rules (TTRs) applied to a proposed simple exchange-traded fund (ETF) portfolio provide better risk-adjusted …		 Massoud Metghalchi; Peggy Cloninger; F. Niroomand; International Journal of Financial Engineering 2023-10-12
218 Study on Distributed Hydrogen Block Chain Trading Mechanism Based on Game Strategy
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Abstract: The hydrogen market trading mechanism has problems such as high transaction costs and a small market scale, making it difficult to meet the demand for large-scale renewable energy …		 Chongshi Wang; Yuede Hu; Nan Li; Hao Yang; Conference on Computer Science and Communication Technology 2023-10-11
219 Opponent Modeling Based Dynamic Resource Trading for UAV-Assisted Edge Computing
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Abstract: This paper proposes a dynamic resource trading scheme in unmanned aerial vehicle (UAV)-assisted mobile edge computing (MEC) network. A UAV-assisted MEC server adaptively adjusts …		 JINXIANG BAI et. al. 2023 IEEE 98th Vehicular Technology Conference … 2023-10-10
220 Logic-Q: Improving Deep Reinforcement Learning-based Quantitative Trading Via Program Sketch-based Tuning
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Highlight: In order to effectively leverage abstract human expert knowledge, in this paper, we propose a universal logic-guided deep reinforcement learning framework for Q-trading, called Logic-Q.		 ZHIMING LI et. al. arxiv-cs.CE 2023-10-09
221 Market Crowds’ Trading Behaviors, Agreement Prices, and The Implications of Trading Volume
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Highlight: Here we show that trading volume probability represents the frequency of market crowd’s trading action in terms of behavior analysis, and test two adaptive hypotheses relevant to the volume uncertainty associated with price in China stock market.		 LEILEI SHI et. al. arxiv-q-fin.GN 2023-10-08
222 A Reinforcement Learning Algorithm for Trading Commodities
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Abstract: We propose a reinforcement learning (RL) algorithm for generating a trading strategy in a realistic setting, that includes transaction costs and factors driving the asset …		 Federico Giorgi; S. Herzel; P. Pigato; SSRN Electronic Journal 2023-10-03
223 Assessing The Level of Competence in Automated Trading Among Malaysian Traders
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Abstract: In today’s technology world, financial trading instrument such as stock, currencies, futures, and acts is now done electronically via the internet due to technological …		 ZARITH SOFIA ZULKIFLI et. al. Journal of Soft Computing and Data Mining 2023-10-03
224 CAD: Clustering And Deep Reinforcement Learning Based Multi-Period Portfolio Management Strategy
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Highlight: In this paper, we present a novel trading strategy that integrates reinforcement learning methods with clustering techniques for portfolio management in multi-period trading.		 Zhengyong Jiang; Jeyan Thiayagalingam; Jionglong Su; Jinjun Liang; arxiv-q-fin.PM 2023-10-02
225 Multiple Large Shareholders and Abnormal Stock Trading Halts
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Abstract: Using a sample of Chinese A-share listed firms on Shanghai and Shenzhen stock exchanges from year 2003–2019, this paper examines the impact of multiple large shareholders (MLS) on …		 Wen Wen; Xiaoqing Feng; China Journal of Accounting Studies 2023-10-02
226 A Novel Crude Oil Futures Trading Strategy Based on Volume-price Time-frequency Decomposition with Ensemble Deep Reinforcement Learning
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 Xiao-xu Du; Zhen-peng Tang; Kai-jie Chen; Energy 2023-10-01
227 NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading
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Highlight: We introduce NoxTrader, a sophisticated system designed for portfolio construction and trading execution with the primary objective of achieving profitable outcomes in the stock market, specifically aiming to generate moderate to long-term profits.		 Hsiang-Hui Liu; Han-Jay Shu; Wei-Ning Chiu; arxiv-q-fin.PM 2023-10-01
228 COMPARISON OF SYSTEMS OF FORECASTING THE DIRECTION OF CHANGES IN THE EXCHANGE RATE OF A FINANCIAL INSTRUMENT USING SIMPLE, EXPONENTIAL AND LINEAR WEIGHTED MOVING AVERAGES
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Abstract: Several modern scientific studies point to the fact that technical analysis indicators have a predictive power of various types. Accordingly, trading systems for working in …		 Vadym Savchenko; Scientific notes of the UniversityKROK 2023-09-30
229 EVALUATION OF SUPPORT VECTOR MACHINE BASED STOCK PRICE PREDICTION
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Abstract: In recent years with the advent of computational power, Machine Learning has become a popular approach in financial forecasting, particularly for stock price analysis. In this …		 Tilla Izsák; László Marák; M. Ormos; Applied Computer Science 2023-09-30
230 Gray-box Adversarial Attack of Deep Reinforcement Learning-based Trading Agents*
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Abstract: In recent years, deep reinforcement learning (Deep RL) has been successfully implemented as a smart agent in many systems such as complex games, self-driving cars, and chat-bots. …		 Foozhan Ataiefard; H. Hemmati; 2023 International Conference on Machine Learning and … 2023-09-26
231 Prediction of US 30‐years‐treasury‐bonds Movement and Trading Entry Point Using The Robust 1DCNN‐BiLSTM‐XGBoost Algorithm
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Abstract: This article presents a novel algorithm that accurately predicts market trends and identifies trading entry points for US 30‐year Treasury bonds. The proposed method employs a …		 Abdellah El Zaar; Nabil Benaya; Toufik Bakir; Amine Mansouri; A. Allati; Expert Systems 2023-09-26
232 Asynchronous Deep Double Dueling Q-learning for Trading-signal Execution in Limit Order Book Markets
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Abstract: We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders. …		 Peer Nagy; Jan-Peter Calliess; Stefan Zohren; Frontiers in artificial intelligence 2023-09-25
233 Gray-box Adversarial Attack of Deep Reinforcement Learning-based Trading Agents
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Highlight: In this research, we demonstrate that a gray-box approach for attacking a Deep RL-based trading agent is possible by trading in the same stock market, with no extra access to the trading agent.		 Foozhan Ataiefard; Hadi Hemmati; arxiv-cs.LG 2023-09-25
234 Literature Review on Algorithmic Trading in Financial Markets
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Abstract: The financial market has drastically changed because of technological development. One of the most critical developments in this area is algorithmic trading, which refers to using …		 Vaibhav Aggarwal; Shallu Batra; Mahender Yadav; Pankaj Kumar; 2023 International Conference on Sustainable Islamic … 2023-09-24
235 Stock Market Sentiment Classification and Backtesting Via Fine-tuned BERT
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Highlight: And for non-strongly efficient trading markets, human emotions and expectations always dominate market trends and trading decisions. Therefore, this paper starts from the theory of emotion, taking East Money as an example, crawling user comment titles data from its corresponding stock bar and performing data cleaning.		 Jiashu Lou; arxiv-q-fin.CP 2023-09-21
236 AI-Infused Algorithmic Trading: Genetic Algorithms and Machine Learning in High-Frequency Trading
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Abstract: In this research we explore the transformative impact of Artificial Intelligence (AI) and Genetic Algorithms (GAs) in the context of algorithmic trading, with a specific focus on …		 Rahul Ramesh Patil; International Journal For Multidisciplinary Research 2023-09-17
237 Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis
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Highlight: The paper investigates different models of sizing in financial trading and backtest to high volatility situations to understand how sizing models can lower the models of VaR during crisis events.		 S. M. Masrur Ahmed; arxiv-q-fin.CP 2023-09-16
238 Six-Segment Strategy for Prosumers’ Financial Benefit Maximization in Local Peer-to-Peer Energy Trading
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Abstract: The notion of prosumers, people who create and consume energy, has emerged in the energy sector as a result of the fast integration of renewable energy sources and advances in …		 P. Mochi; Kartiki Pandya; Ricardo Faia; João Soares; Mathematics 2023-09-15
239 Analysis of Frequent Trading Effects of Various Machine Learning Models
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Abstract: In recent years, high-frequency trading has emerged as a crucial strategy in stock trading. This study aims to develop an advanced high-frequency trading algorithm and compare the …		 Jiahao Chen; Xiaofei Li; ArXiv 2023-09-14
240 Harnessing Deep Q-Learning for Enhanced Statistical Arbitrage in High-Frequency Trading: A Comprehensive Exploration
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Abstract: The realm of High-Frequency Trading (HFT) is characterized by rapid decision-making processes that capitalize on fleeting market inefficiencies. As the financial markets become …		 Soumyadip Sarkar; ArXiv 2023-09-13
241 A Broader Perspective On cryptocurrency Trading: Consumer-driven Value, Online Communities and Heuristics Are Drivers for Consumer Behaviour
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Abstract: PurposeThis review aims to provide an overview of research from different academic disciplines to chart some of the key developments in retail cryptocurrency trading against the …		 Paul McGivern; Journal of Money and Business 2023-09-12
242 C++ Design Patterns for Low-latency Applications Including High-frequency Trading
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Highlight: This work aims to bridge the existing knowledge gap in the optimisation of latency-critical code, specifically focusing on high-frequency trading (HFT) systems.		 Paul Bilokon; Burak Gunduz; arxiv-cs.PF 2023-09-08
243 Extending The Omega Model with Momentum and Reversal Strategies to Intraday Trading
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Highlight: This study develops the Omega model integrated with momentum and reversal strategies using high-frequency data on the component stocks of the S&P 500 Index and the NASDAQ 100.		 Jing-Rung Yu; Chieh-Hui Wei; Chi-Ju Lai; Wen-Yi Lee; PloS one 2023-09-08
244 TradingGPT: Multi-Agent System with Layered Memory and Distinct Characters for Enhanced Financial Trading Performance
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Highlight: This can result in LLMs struggling to prioritize immediate and critical tasks efficiently. To bridge this gap, we introduce an innovative LLM multi-agent framework endowed with layered memories.		 Yang Li; Yangyang Yu; Haohang Li; Zhi Chen; Khaldoun Khashanah; arxiv-q-fin.PM 2023-09-07
245 Comparative Analysis of Peer-to-Peer PV Trading Strategies Under The Influence of Network Constraints with Prosumer Sensitivity Towards Network Coefficients
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Abstract: With the increase in rooftop photovoltaic (PV) systems at the residential level, customers owning such renewable resources can act as a source of generation for other consumers in …		 SHEROZE LIAQUAT et. al. Applied Sciences 2023-09-06
246 Exploiting Unfair Advantages: Investigating Opportunistic Trading in The NFT Market
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Abstract: As cryptocurrency evolved, new financial instruments, such as lending and borrowing protocols, currency exchanges, fungible and non-fungible tokens (NFT), staking and mining …		 PRIYANKA BOSE et. al. ArXiv 2023-09-05
247 ATMS: Algorithmic Trading-Guided Market Simulation
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Abstract: The effective construction of an Algorithmic Trading (AT) strategy often relies on market simulators, which remains challenging due to existing methods’ inability to adapt to the …		 Song Wei; Andrea Coletta; Svitlana Vyetrenko; T. Balch; ArXiv 2023-09-04
248 The Profitability of Lead-Lag Arbitrage at High-Frequency
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Abstract: Any lead-lag effect in an asset pair implies the future returns on the lagging asset have the potential to be predicted from past and present prices of the leader, thus creating …		 Cédric Poutré; G. Dionne; Gabriel Yergeau; SSRN Electronic Journal 2023-09-01
249 Algorithmic Trading Using Combinational Rule Vector and Deep Reinforcement Learning
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 Zhen Huang; Ning Li; Wenliang Mei; Wenyong Gong; Appl. Soft Comput. 2023-09-01
250 Algorithmic Trading: Intraday Profitability and Trading Behavior
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 Devi Arumugam; Economic Modelling 2023-09-01
251 A Deep Q-learning Based Algorithmic Trading System for Commodity Futures Markets
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 Mahdi Massahi Kh.; Masoud Mahootchi; Expert Syst. Appl. 2023-09-01
252 Stochastic Optimal Scheduling Strategy of Cross-regional Carbon Emissions Trading and Green Certificate Trading Market Based on Stackelberg Game
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 SIZHE YAN et. al. Renewable Energy 2023-09-01
253 The Intraday High-Frequency Trading with Different Data Ranges: A Comparative Study with Artificial Neural Network and Vector Autoregressive Models
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Abstract: With the High-Frequency Trading process, which is a subclass of algorithmic trading transactions, intraday information has increasing importance. Traditional statistical methods …		 Ayben Koy; A. B. Çolak; Archives of Advanced Engineering Science 2023-08-31
254 On A Data-Driven Optimization Approach to The PID-Based Algorithmic Trading
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Abstract: This paper proposes an optimal trading algorithm based on a novel application of conventional control engineering (CE). We consider a fundamental CE concept, namely, the feedback …		 V. Azhmyakov; I. Shirokov; Yuri Dernov; Luz Adriana Guzman Trujillo; Journal of Risk and Financial Management 2023-08-30
255 Signature Trading: A Path-Dependent Extension of The Mean-Variance Framework with Exogenous Signals
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Highlight: In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies in the joint signal-asset dynamics, naturally extending traditional factor models, while keeping the resulting formulas lightweight and easily interpretable.		 Owen Futter; Blanka Horvath; Magnus Wiese; arxiv-q-fin.PM 2023-08-29
256 Genetic Algorithm Based Approach for Algorithmic Trading in Financial Markets
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Abstract: Software that enables realtime buy and sell transactions in financial markets according to predetermined conditions is called algorithmic trading. When developing algorithmic …		 Yunus Santur; M. Ulaş; M. Karabatak; International Journal of Innovative Engineering Applications 2023-08-28
257 DADE-DQN: Dual Action and Dual Environment Deep Q-Network for Enhancing Stock Trading Strategy
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Abstract: Deep reinforcement learning (DRL) has attracted strong interest since AlphaGo beat human professionals, and its applications in stock trading are widespread. In this paper, an …		 Yuling Huang; Xiaoping Lu; Chujin Zhou; Yunlin Song; Mathematics 2023-08-22
258 How Do Carbon Trading Price and Carbon Tax Rate Affect Power Project Portfolio Investment and Carbon Emission: An Analysis Based on Uncertainty Theory
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 Xiaoxia Huang; Jang Su Kim; Kwon Ryong Hong; Nam Hyok Kim; Journal of environmental management 2023-08-22
259 PET-Exchange: A Privacy Enhanced Trading Exchange Using Homomorphic Encryption
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Abstract: The underlying trading mechanisms of electronic securities exchanges have mostly stayed the same over the years with some additions and improvements. However, over the recent …		 David Hasselquist; Jacob Wahlman; Niklas Carlsson; 2023 20th Annual International Conference on Privacy, … 2023-08-21
260 Commodities Trading Through Deep Policy Gradient Methods
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Abstract: Algorithmic trading has gained attention due to its potential for generating superior returns. This paper investigates the effectiveness of deep reinforcement learning (DRL) …		 Jonas Hanetho; ArXiv 2023-08-10
261 A Memetic-based Technical Indicator Portfolio and Parameters Optimization Approach for Finding Trading Signals to Construct Transaction Robot in Smart City Era
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Abstract: With the development of smart cities, the demand for personal financial services is becoming more and more importance, and personal investment suggestion is one of them. A common …		 C. H. Chen; S. T. Hung; P. T. Chen; C. S. Wang; R. D. Chiang; Intell. Data Anal. 2023-08-10
262 Risk Perception and Adoption of Digital Innovation in Mobile Stock Trading
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Abstract: An increase in retail investors, trading platforms, and smartphones is facilitating digital transformation in stock trading. Investments in mobile‐centered digitalization by …		 Sunil Gupta; D. Dey; Journal of Consumer Behaviour 2023-08-04
263 A Comparison of Machine Learning and Econometric Models for Pricing Perpetual Bitcoin Futures and Their Application to Algorithmic Trading
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Abstract: Bitcoin (BTC) perpetual futures contracts are highly leveraged speculative trading instruments with daily market trading of $45 Billion. BTC perpetual futures are derivative …		 Avinash Malik; Expert Systems 2023-08-04
264 Mastering Stock Markets with Efficient Mixture of Diversified Trading Experts
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Highlight: One major limitation of existing works is that investment decisions are made based on one individual neural network predictor with high uncertainty, which is inconsistent with the workflow in real-world trading firms. To tackle this limitation, we propose AlphaMix, a novel three-stage mixture-of-experts (MoE) framework for quantitative investment to mimic the efficient bottom-up hierarchical trading strategy design workflow of successful trading companies.		 Shuo Sun; Xinrun Wang; Wanqi Xue; Xiaoxuan Lou; Bo An; kdd 2023-08-04
265 A Multi-model Approach to The Development of Algorithmic Trading Systems for The Forex Market
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 Pavel V. Sevastjanov; Krzysztof Kaczmarek; L. Rutkowski; Expert Syst. Appl. 2023-08-01
266 Identification of High-frequency Trading: A Machine Learning Approach
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 M. Goudarzi; F. Bazzana; Research in International Business and Finance 2023-08-01
267 Optimized Operation of Integrated Energy System with Carbon Trading Mechanism Based on IGDT
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Abstract: With the proposal of the carbon peak and neutrality goals goal, integrated energy systems (IES) have become a research hotspot. In order to give consideration to the economy and …		 LIUZHU ZHU et. al. 2023 3rd International Conference on Energy Engineering and … 2023-07-28
268 Unleashing The Algorithmic Frontier: Navigating The Impact of Algo Trading on Investor Portfolios
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Abstract: In the ever-evolving landscape of financial markets, algo trading has emerged as a powerful force, revolutionizing the way investors execute trades. With the speed and precision …		 Madhava Priya Dananjayan; Sridevi Gopakumar; Parthasarathi Narayanasamy; Journal of Information Technology Teaching Cases 2023-07-26
269 VolTS: A Volatility-based Trading System to Forecast Stock Markets Trend Using Statistics and Machine Learning
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Highlight: In this article, we propose a new volatility-based trading strategy that combines statistical analysis with machine learning techniques to forecast stock markets trend.		 Ivan Letteri; arxiv-q-fin.TR 2023-07-25
270 EMD-BiLSTM Stock Price Trend Forecasting Model Based on Investor Sentiment
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Abstract: The movement of stock prices is the focus of investors’ attention in the stock market, so stock price trend prediction has always been a hot topic in quantitative investment …		 Tianyu Xu; Xiaoling He; Frontiers in Computing and Intelligent Systems 2023-07-20
271 Data Cross-Segmentation for Improved Generalization in Reinforcement Learning Based Algorithmic Trading
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Highlight: In these markets, the trading strategy must consider the long-term effects of taking positions that are relatively more difficult to change. In this work, we propose a Reinforcement Learning (RL) algorithm that trades based on signals from a learned predictive model and addresses these challenges.		 VIKRAM DUVVUR et. al. arxiv-cs.LG 2023-07-18
272 Optimizing Advantage Actor-Critic with Policy Gradient and Deep Q-learning to Maximize Profit in Forex Trading Prediction
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Abstract: Financial markets, such as forex markets, are inherently complex, with high volatility, noise, trends, and market shocks. Therefore, designing effective trading strategies is …		 Abdillah Baradja; R. Gernowo; Adi Wibowo; 2023 1st IEEE International Conference on Smart Technology … 2023-07-17
273 Feedback Trading, Investor Sentiment and The Volatility Puzzle: An Infinite Theoretical Framework
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Abstract: This article constructs a behavioral financial model that provides feedback on both historical prices and company fundamentals without considering asset liquidation to discuss the …		 Cong Chen; Changsheng Hu; Liang Wu; Mathematics 2023-07-17
274 Pairs-trading System Using Quantum-inspired Combinatorial Optimization Accelerator for Optimal Path Search in Market Graphs
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Highlight: Here we report a stock pairs-trading system that finds trading opportunities for any two stocks in an $N$-stock universe using a combinatorial optimization accelerator based on a quantum-inspired algorithm called simulated bifurcation.		 Kosuke Tatsumura; Ryo Hidaka; Jun Nakayama; Tomoya Kashimata; Masaya Yamasaki; arxiv-cs.ET 2023-07-12
275 Beware of Extreme Investor Sentiments! Indian Evidence on The Performance of Neuro-specific Options Volatility Trading Strategies on The Facets of COVID-19
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Abstract: This study investigates the dynamic relationship between noise trader sentiment and excessive volatility in the Indian financial market during the COVID-19 outbreak. It proposes …		 Ansu Royit; Babu Jose; James Varghese; Journal of Emerging Market Finance 2023-07-12
276 Real-Time Trading System Based on Selections of Potentially Profitable, Uncorrelated, and Balanced Stocks By NP-Hard Combinatorial Optimization
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Abstract: Financial portfolio construction problems are often formulated as quadratic and discrete (combinatorial) optimization that belong to the nondeterministic polynomial time (NP)-hard …		 Kosuke Tatsumura; Ryo Hidaka; Jun Nakayama; Tomoya Kashimata; Masaya Yamasaki; IEEE Access 2023-07-12
277 Enhanced Strongly Typed Genetic Programming for Algorithmic Trading
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Abstract: This paper proposes a novel strongly typed Genetic Programming (STGP) algorithm that combines Technical (TA) and Sentiment analysis (SA) indicators to produce trading strategies. …		 Eva Christodoulaki; Michael Kampouridis; M. Kyropoulou; Proceedings of the Genetic and Evolutionary Computation … 2023-07-12
278 A Game Theory Approach (VCG-PSO) for Optimal P2P Energy Trading in Blockchain-Enabled Microgrids
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Abstract: The management of energy flow in peer-to-peer (P2P) microgrid trading is presented in this work utilizing a novel strategy that combines game theory, particle swarm …		 OUSSAMA LAAYATI et. al. IEEE EUROCON 2023 – 20th International Conference on Smart … 2023-07-06
279 Is Carbon Emission Trading A Green Blessing or A Curse for Firm Performance in China? A Quasi-experiment Design and Exploring The Spatial Spillover Effect
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Abstract: This paper conducts quasi-experiment design with Chinese listed companies microdata to investigate the effect and mechanism of corporate participation in carbon emission trading …		 Shaopeng Zhang; Huanhui Gan; Environmental science and pollution research international 2023-07-03
280 Overview Analysis of The Regulation of Insider Trading in Zimbabwe During The Corona Virus Pandemic
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Abstract: Purpose It is important to note that insider trading is currently outlawed under the Securities Act 17 of 2004 (Chapter 24: 25) as amended (Securities Act) in Zimbabwe. This Act …		 Howard Chitimira; Journal of Financial Crime 2023-07-03
281 Bi-Level Carbon Trading Model on Demand Side for Integrated Electricity-Gas System
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Abstract: With the exploration of deep decarbonization around the world, it has become a broad consensus that the carbon trading mechanism can promote the low-carbon operation of the energy …		 ZHICHAO YAN et. al. IEEE Transactions on Smart Grid 2023-07-01
282 A Novel Recurrent Neural Network Based Online Portfolio Analysis for High Frequency Trading
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 XINWEI CAO et. al. Expert Syst. Appl. 2023-07-01
283 MENGUJI EFEK MERGER TERHADAP KINERJA SAHAM PT BANK SYARIAH INDONESIA TBK
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Abstract: The objective of this research was to examine the impact of the merger of three national Islamic banks, specifically PT Bank Syariah Mandiri Tbk, PT Bank BRI Syariah Tbk, and PT …		 Rakhmat Hadi Sucipto; Journal of Management : Small and Medium Enterprises (SMEs) 2023-07-01
284 Shared Trading Strategy of Multiple Microgrids Considering Joint Carbon and Green Certificate Mechanism
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Abstract: With a background of carbon peak and neutrality, the economic and environmental requirements are increasing for microgrids. In view of the problem of energy wastage and conflicts …		 PENG CHEN et. al. Sustainability 2023-06-29
285 P2P Energy Trading Through Prospect Theory, Differential Evolution, and Reinforcement Learning
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Abstract: Peer-to-peer (P2P) energy trading is a decentralized energy market where local energy prosumers act as peers, trading energy among each other. Existing works in this area largely …		 Ashutosh Timilsina; Simone Silvestri; ACM Transactions on Evolutionary Learning 2023-06-10
286 Insights Into UK Investment Firms’ Efforts to Comply with MiFID II RTS 6 That Governs The Conduct of Algorithmic Trading
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Abstract: Purpose The purpose of this paper is to examine the effectiveness of UK investment firms’ implementation of the requirements in Commission Delegated Regulation 2017/589 (more …		 Alexander Conrad Culley; Journal of Financial Regulation and Compliance 2023-06-06
287 Agent Performing Autonomous Stock Trading Under Good and Bad Situations
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Highlight: In this project, we have developed a pipeline that simulates the stock trading environment and have trained an agent to automate the stock trading process with deep reinforcement learning methods, including deep Q-learning, deep SARSA, and the policy gradient method.		 Yunfei Luo; Zhangqi Duan; arxiv-cs.LG 2023-06-06
288 Cryptosentiment: A Dataset and Baseline for Sentiment-Aware Deep Reinforcement Learning for Financial Trading
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Abstract: Deep Learning (DL) models have been applied in several studies to solve financial trading problems. Most approaches handle these problems as classification or reinforcement …		 Loukia Avramelou; Paraskevi Nousi; N. Passalis; S. Doropoulos; A. Tefas; 2023 IEEE International Conference on Acoustics, Speech, … 2023-06-04
289 A Study of Trade Strategies Based on The Markov Regime Switching Model
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Abstract: Market traders often buy and sell stocks to maximize their total return. For each purchase and sale, there is often a return commission. Having trading technology plays an …		 Zhijie Shen; Zicheng Wei; Yang Zhang; Advances in Economics and Management Research 2023-06-01
290 A Survey on Machine Learning Algorithms for Risk-Controlled Algorithmic Trading
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Abstract: Machine learning algorithms have emerged as powerful tools for risk control in algorithmic trading, enabling traders to analyze vast amounts of market data, detect patterns, and …		 Soham Pathak; Antara Pawar; Shruti Taware; Sarthak Kulkarni; Afsha Akkalkot; International Journal of Scientific Research in Science and … 2023-06-01
291 A Novel Fading-Memory Filter Multiple Trading Strategy with Data-Driven Innovation Volatility
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Abstract: A profitable data-driven algorithmic trading algorithm will benefit from a dynamic system that can produce accurate hedge ratio estimates and short-term innovation volatility …		 You Liang; A. Thavaneswaran; Alex Paseka; Sulalitha Bowala; Juan Liyau; 2023 IEEE 47th Annual Computers, Software, and Applications … 2023-06-01
292 On Theoretical Foundations of Mostly Model-free Cross-coupled Simultaneously Long-short Stock Trading Controllers
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 M. Baumann; Eur. J. Control 2023-06-01
293 Quantitative Trading Strategy Based on Simplified DPG
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Abstract: In recent years, investment has become more and more popular, and asset management has also received more and more attention. At the same time, with the development of computer …		 Linpei Huang; Tengwei Cai; Shuai Feng; Zhecheng Xie; Highlights in Business, Economics and Management 2023-05-29
294 Intraday Stock Trading Strategy Based on Analysis Using Bidirectional Long Short-Term Memory Networks
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Abstract: The issuance of stocks constitutes a means by which ownership in a company is represented, and its distribution may vary depending on whether the company is limited or public. The …		 Phurinut Pholsri; Pittipol Kantavat; 2023 6th International Conference on Artificial … 2023-05-26
295 Trading Strategy Based on Dynamic Programming
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Abstract: In order to obtain more stable profit expectations, this article established an index enhancement strategy. With the continuous development of China’s financial market, an index …		 MENGYUAN HU et. al. Conference on Machine Learning and Computer Application 2023-05-25
296 Social Informedness and Investor Sentiment in The GameStop Short Squeeze
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Abstract: We examine investor behavior on social media platforms related to the GameStop (GME) short squeeze in early 2021. Individual investors stimulated the stock market via Reddit …		 Kwansoo Kim; Sang-Yong Tom Lee; Robert J Kauffman; Electronic markets 2023-05-23
297 A New Hybrid Method of Recurrent Reinforcement Learning and BiLSTM for Algorithmic Trading
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Abstract: Recently, the algorithmic trading of financial assets is rapidly developing with the rise of deep learning. In particular, deep reinforcement learning, as a combination of deep …		 Yuling Huang; Yunlin Song; J. Intell. Fuzzy Syst. 2023-05-20
298 Intraday Algorithmic Trading Strategies for Cryptocurrencies
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 Gil Cohen; Review of Quantitative Finance and Accounting 2023-05-19
299 Online Hybrid Neural Network for Stock Price Prediction: A Case Study of High-Frequency Stock Trading in The Chinese Market
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Abstract: Time-series data, which exhibit a low signal-to-noise ratio, non-stationarity, and non-linearity, are commonly seen in high-frequency stock trading, where the objective is to …		 Chengyu Li; Luyi W. Shen; G. Qian; Econometrics 2023-05-18
300 Application of Machine Learning With News Sentiment in Stock Trading Strategies
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Abstract: This study empirically tested the feasibility of machine learning in trading strategies using technical indicators and news information as the feature variables for machine …		 Tse-Mao Lin; J. Yu; Jhih-Wei Chen; Chin-Sheng Huang; International Journal of Financial Research 2023-05-18
301 Feedback Trading in The Cryptocurrency Market
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Abstract: Purpose This paper aims to investigate feedback trading and autocorrelation behavior in the cryptocurrency market. Design/methodology/approach It uses the GJR-GARCH model to …		 Mohamed Shaker Ahmed; Adel Alsamman; Kaouther Chebbi; Studies in Economics and Finance 2023-05-17
302 Multiple Game Trading Strategy of Multiple Virtual Power Plants Considering Carbon Trading
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Abstract: The large-scale access of distributed energy resources has a certain impact on the power grid, so distributed energy resources cannot participate in the power market transactions …		 Tianfeng Chu; Xingchen An; Yu Zhu; Xueying Wang; Limin Deng; Frontiers in Energy Research 2023-05-16
303 Copula-Based Trading of Cointegrated Cryptocurrency Pairs
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Highlight: This research introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies.		 Masood Tadi; Jiří Witzany; arxiv-q-fin.TR 2023-05-11
304 Research on Quantitative Trading Strategies Based on The Turtle Trading Rule
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Abstract: Quantitative investment is a newer investment method than traditional investment methods, with features such as being free from emotions and being able to access and process large …		 Jiaxin Liu; Highlights in Business, Economics and Management 2023-05-09
305 Retail Broker Trading Restrictions and Market Liquidity: An Examination of GameStop
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Abstract: We examine changes in market liquidity when several popular U.S. retail brokers restrict client trading in GameStop stock over a six-day period in early 2021 due to higher …		 Ryan Garvey; Jingbin He; Fei Wu; Applied Economics 2023-05-08
306 Peer-to-Peer Transactive Energy Trading of A Reconfigurable Multi-Energy Network
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Abstract: This paper proposes a bi-level peer-to-peer (P2P) multi-energy trading framework for a coupled distribution network (DN) and district heating network (DHN). At the lower level, …		 Yuexian Zou; Yan Xu; X. Feng; H. Nguyen; IEEE Transactions on Smart Grid 2023-05-01
307 Trading Strategy Hyper-parameter Optimization Using Genetic Algorithm
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Abstract: This paper presents the application of a genetic algorithm (GA) for optimizing a simple moving average convergence divergence (MACD) crossover trading strategy and an ensemble …		 George-Antoniu Deac; David-Traian Iancu; 2023 24th International Conference on Control Systems and … 2023-05-01
308 Lux Industries Limited: A Case of Insider Trading
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Abstract: Learning outcomes After reading the case, the students shall be able to explain the concept of insider trading and differentiate between illegal insider trading and legal insider …		 S. Dhamija; Reena Nayyar; Emerald Emerging Markets Case Studies 2023-05-01
309 Algorithmic Trading Strategy Using Technical Indicators
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Abstract: The stock market holds great importance for the economic progress of any country, despite its inherently unpredictable and volatile nature. Factors such as political …		 Pranay D. Kumbhare; Lokendra Kolhe; Sakshi Dani; Pooja Fandade; Dipti Theng; 2023 11th International Conference on Emerging Trends in … 2023-04-28
310 Is Attention All You Need for Intraday Forex Trading?
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Abstract: The main objective of this paper is to analyse whether the Transformer neural network, which has become one of the most influential algorithms in Artificial Intelligence over the …		 Przemysław Grądzki; Piotr Wójcik; Expert Systems 2023-04-25
311 Optimum Output Long Short-Term Memory Cell for High-Frequency Trading Forecasting
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Highlight: This type of neural network is formed based on cells that perform sequential and stale calculations via gates and states without knowing whether their order, within the cell, is optimal. In this paper, we propose a revised and real-time adjusted long short-term memory cell that selects the best gate or state as its final output.		 Adamantios Ntakaris; Moncef Gabbouj; Juho Kanniainen; arxiv-cs.LG 2023-04-17
312 The Roles of Carbon Trading System and Sustainable Energy Strategies in Reducing Carbon Emissions-An Empirical Study in China with Panel Data
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Abstract: Carbon emission reduction is now a vital element in urban development. This study explores the effectiveness of the two emerging methods to reduce carbon emission, which are …		 Yue Yu; Yishuang Xu; International journal of environmental research and public … 2023-04-17
313 Virtual Currency Trading Strategy Based on ARIMA and AHP-PSO
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Abstract: As the price of virtual currency fluctuates greatly, precise prediction and appropriate trading strategies can bring investors best returns. This paper predicted the price of …		 Hongru Song; Zijie Zhang; Highlights in Business, Economics and Management 2023-04-11
314 Gambling on The Stock Market: The Behavior of At-risk Online Traders
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Abstract: PurposeOnline investment platforms offer an environment that may lead some traders into excessive behaviors akin to gambling. Over the last decade, gambling behaviors associated …		 P. GRÉGOIRE et. al. Review of Behavioral Finance 2023-04-06
315 Do Investors’ Personalities Predict Market Winners? Experimental Setting and Machine Learning Analysis
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 Huan Huu Nguyen; Vu Minh Ngo; Thao Thi Phuong Le; Phuc Van Nguyen; Heliyon 2023-04-05
316 Intraday Trend Prediction of Stock Indices with Machine Learning Approaches
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Abstract: In recent years, as research at the intersection of machine learning and finance has grown, predicting stock price movements has become a particularly intriguing issue. Current …		 Pan Tang; Xin Tang; Wentao Yu; The Engineering Economist 2023-04-03
317 Quantitative Trading Using Deep Q Learning
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Highlight: This paper presents the use of RL for quantitative trading and reports a case study based on an RL-based trading algorithm.		 Soumyadip Sarkar; arxiv-q-fin.TR 2023-04-03
318 Quantitative Trading Using Deep Q Learning
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Abstract: Abstract: Reinforcement learning (RL) is a branch of machine learning that has been used in a variety of applications such as robotics, game playing, and autonomous systems. In …		 Soumya Sarkar; ArXiv 2023-04-03
319 Peer-to-Peer Energy Trading Considering Low-Carbon Preference
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Abstract: The acceleration of renewable energy resources prompts transition to the low-carbon networks. However, the intermittent output of RES causes severe operational problems. To cope …		 HAOTIAN YAO et. al. 2023 Panda Forum on Power and Energy (PandaFPE) 2023-04-01
320 A High-frequency Trading Volume Prediction Model Using Neural Networks
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 Xiaojie Xu; Yun Zhang; Decision Analytics Journal 2023-04-01
321 The Roles of Carbon Trading System and Sustainable Energy Strategies in Reducing Carbon Emissions—An Empirical Study in China with Panel Data
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Abstract: Carbon emission reduction is now a vital element in urban development. This study explores the effectiveness of the two emerging methods to reduce carbon emission, which are …		 Yue Yu; Yishuang Xu; International Journal of Environmental Research and Public … 2023-04-01
322 Research on Day-Ahead Optimal Scheduling Considering Carbon Emission Allowance and Carbon Trading
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Abstract: In the context of the marketization of carbon trading in the power system, it is of great theoretical and practical significance to study a scientific and effective carbon …		 Jiangnan Li; Tian Mao; Guanglei Huang; Wenmeng Zhao; Tao Wang; Sustainability 2023-04-01
323 OG-CAT: A Novel Algorithmic Trading Alternative to Investment in Crypto Market
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 Surinder Singh Khurana; Parvinder Singh; N. Garg; Computational Economics 2023-03-28
324 Research on Stock Trading Prediction Based on MAD and Q-learning
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Abstract: The accuracy of traditional stock trading prediction is lacking, and stock trading is risky, so this study tries to use machine learning models for stock trading change prediction …		 YIKAI SUN et. al. Fifth International Conference on Computer Information … 2023-03-28
325 The Impact and Profitability of Day Trading Following The Relaxation of Day Trading Restrictions in Taiwan
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 Wan-Hsiu Cheng; Yuhsin Chen; Paoyu Huang; Yensen Ni; Mei-Chu Liang; Heliyon 2023-03-27
326 Optimal Operation of A Regional Integrated Energy System Considering P2G and Stepped Carbon Trading
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Abstract: To solve the problems of low energy utilization and carbon pollution of RIES under the background of double carbon, a strategy is proposed to optimize the operation of the …		 Mingguang Zhang; Hongyi Li; Yi Zhu; 2023 5th Asia Energy and Electrical Engineering Symposium … 2023-03-23
327 An Intelligent System for Trading Signal of Cryptocurrency Based on Market Tweets Sentiments
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Abstract: The purpose of this study is to examine the efficacy of an online stock trading platform in enhancing the financial literacy of those with limited financial knowledge. To this …		 MAN-FAI LEUNG et. al. FinTech 2023-03-16
328 Stock Portfolio Management By Using Fuzzy Ensemble Deep Reinforcement Learning Algorithm
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Abstract: The research objective of this article is to train a computer (agent) with market information data so it can learn trading strategies and beat the market index in stock trading …		 Zheng Hao; Haowei Zhang; Yipu Zhang; Journal of Risk and Financial Management 2023-03-15
329 Optimizing Trading Strategies in Quantitative Markets Using Multi-Agent Reinforcement Learning
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Highlight: As a result, we introduce two novel multi-agent RL (MARL) methods, CPPI-MADDPG and TIPP-MADDPG, tailored for probing strategic trading within quantitative markets.		 HENGXI ZHANG et. al. arxiv-q-fin.TR 2023-03-15
330 Impact of COVID-19 Lockdowns on Retail Stock Trading Patterns
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Abstract: The purpose of this paper is to explore the impact of the first wave of COVID-19 lockdowns on retail stock trading patterns, at a transnational level. Cross-sectional empirical …		 Christos Sigalas; Cogent Economics & Finance 2023-03-13
331 Improving CNN-base Stock Trading By Considering Data Heterogeneity and Burst
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Abstract: In recent years, there have been quite a few attempts to apply intelligent techniques to financial trading, i.e., constructing automatic and intelligent trading framework based on …		 KEER YANG et. al. ArXiv 2023-03-11
332 Peer-to-Peer Energy Trading: Energy Pricing Using Game Theory Models
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Abstract: Peer-to-peer (P2P) energy trading facilitates the trading of a prosumer’s surplus generated energy from the Distributed Energy Resource (DER) to the neighbouring prosumer having …		 Ravi Rakeshkumar Trivedi; Chandra Prakash Barala; Parul Mathuria; R. Bhakar; Satish Sharma; 2023 IEEE IAS Global Conference on Renewable Energy and … 2023-03-11
333 Recommendation Algorithm of Industry Stock Trading Model with TODIM
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 D. Lv; Yingli Gong; Jianting Chen; Yang Xiang; Int. J. Inf. Technol. Decis. Mak. 2023-03-10
334 Money Management for Trading Strategies
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Abstract: Investors generally focus primarily on trading algorithms and not on money management, causing their portfolios to be seriously damaged when things go wrong. In this research, …		 Kritthanit Malathong; J. Konpang; A. Sirikham; 2023 International Electrical Engineering Congress (iEECON) 2023-03-08
335 Algorithm Trading Strategy Based on GARCH and LSTM Models
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Abstract: The prediction of the volatility of stock has been a topic of great interest in the financial realm. In this paper, we aim to create new trading strategies based on the volatility …		 Z. Wei; Jingyi Cui; International Conference on Green Communication, Network, … 2023-03-08
336 Where Will Corporate Capital Flow To? Revisiting The Impact of China’s Pilot Carbon Emission Trading System on Investment
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 Yong Qi; Mingsheng Yuan; Tingting Bai; Journal of environmental management 2023-03-08
337 A Futures Quantitative Trading Strategy Based on A Deep Reinforcement Learning Algorithm
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Abstract: Deep reinforcement learning (DRL) is a type of machine learning algorithm that has gained a lot of attention for its application in the financial field. Based on the proximal …		 Xuemei Chen; Haoran Guo; 2023 IEEE 8th International Conference on Big Data … 2023-03-03
338 Turn-of-the-candle Effect in Bitcoin Returns
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 Savva Shanaev; Mikhail Vasenin; Roman Stepanov; Heliyon 2023-03-02
339 Heterogeneously Informed Trading and The Stock Market Efficiency During The COVID-19 Pandemic
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 Liao Xu; Mingqi Xue; Xuan Zhang; Yang Zhao; International review of financial analysis 2023-03-02
340 An Algorithmic Trading System Based on A Stacked Generalization Model and Hidden Markov Model in The Foreign Exchange Market
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 Alireza Fereydooni; M. Mahootchi; Global Finance Journal 2023-03-01
341 Application of Traditional Machine Learning Models for Quantitative Trading of Bitcoin
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Abstract: Bitcoin, the most popular cryptocurrency around the world, has had frequent and dramatic price changes in recent years. The price of bitcoin reached a new peak, nearly $65,000 in …		 Yimeng Wang; Keyue Yan; Artificial Intelligence Evolution 2023-03-01
342 Exploring Arbitrage Opportunities Between China’s Carbon Markets Based on Statistical Arbitrage Pairs Trading Strategy
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 Boqiang Lin; Zhizhou Tan; Environmental Impact Assessment Review 2023-03-01
343 Peer-to-Peer Energy Trading, Independence Aspirations and Financial Benefits Among Nigerian Households
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Abstract: This paper demonstrates how preferences for energy trading are influenced by autarky aspirations and possible financial benefits from energy trading in the form of lower energy …		 A. Adewole; M. Shipworth; Xavier Lemaire; Danielle Sanderson; SSRN Electronic Journal 2023-03-01
344 A Privacy-Preserving Blockchain-Based Method to Optimize Energy Trading
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Abstract: It is always desired for optimizing energy trading to disable manipulation and preserve individual privacy. These two features become increasingly appealing for an energy market …		 J. Ping; Zheng Yan; Sijie Chen; IEEE Transactions on Smart Grid 2023-03-01
345 Exploring The Advantages of Transformers for High-Frequency Trading
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Abstract: This paper explores the novel deep learning Transformers architectures for high-frequency Bitcoin-USDT log-return forecasting and compares them to the traditional Long Short-Term …		 Fazl Barez; Paul Bilokon; Arthur Gervais; Nikita Lisitsyn; ArXiv 2023-02-20
346 Co-trading Networks for Modeling Dynamic Interdependency Structures and Estimating High-dimensional Covariances in US Equity Markets
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Highlight: By leveraging a co-trading-based pairwise similarity measure, we propose a novel method to construct dynamic networks of stocks.		 Yutong Lu; Gesine Reinert; Mihai Cucuringu; arxiv-q-fin.TR 2023-02-18
347 Research on Multistage Dynamic Trading Model Based on Gray Model and Auto-Regressive Integrated Moving Average Model
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Abstract: Quantitative portfolio investment mainly depends on historical data analysis and market trend prediction to make appropriate decisions, which is an important mean to reduce risks …		 Zishan Xu; Chuang-Yuang Lin; Zhe Zhuang; Lidong Wang; Discrete Dynamics in Nature and Society 2023-02-16
348 Heterogeneity of Beliefs and Trading Behavior: A Reexamination
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Abstract: Combining experimental data sets from seven individual studies, including 255 asset markets with 2,031 participants, and 36,326 short-term price forecasts, we analyze the role of …		 Sascha C. Füllbrunn; C. Huber; Catherine C. Eckel; Utz Weitzel; Journal of Financial and Quantitative Analysis 2023-02-14
349 Designing Fairness in Autonomous Peer-to-peer Energy Trading
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Abstract: Several autonomous energy management and peer-to-peer trading mechanisms for future energy markets have been recently proposed based on optimization and game theory. In this …		 VARSHA BEHRUNANI et. al. ArXiv 2023-02-09
350 Empirical Analysis in Limit Order Book Modeling for Nikkei 225 Stocks with Cox-type Intensities
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Highlight: In this paper, we build on the analysis of Muni Toke and Yoshida (2020) and conduct several empirical studies using high-frequency financial data.		 Shunya Chomei; arxiv-q-fin.TR 2023-02-03
351 An IPSO-FW-WSVM Method for Stock Trading Signal Forecasting
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Abstract: Trading signal detection is a very popular yet challenging research topic in the financial investment area. This paper develops a novel method integrating piecewise linear …		 Yingjun Chen; Zhigang Zhu; Entropy (Basel, Switzerland) 2023-02-02
352 LightTrader: A Standalone High-Frequency Trading System with Deep Learning Inference Accelerators and Proactive Scheduler
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Abstract: Recent research shows that artificial intelligence (AI) algorithms can dramatically improve the profitability of high-frequency trading (HFT) with accurate market prediction, …		 SUNGYEOB YOO et. al. 2023 IEEE International Symposium on High-Performance … 2023-02-01
353 Pairs Trading Strategy Optimization Using Proximal Policy Optimization Algorithms
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Abstract: Pairs trading is a market-neutral quantitative trading strategy which exploits historically correlated stock prices by forming pairs with weighted long and short positions. A pair …		 Yi-Feng Chen; Wen-Yueh Shih; Hsu-Chao Lai; Hao-Chun Chang; Jiun-Long Huang; 2023 IEEE International Conference on Big Data and Smart … 2023-02-01
354 The Impact of The Russia-Ukraine War on The Cryptocurrency Market
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Abstract: This research provides the very first empirical investigation of the impact of the Russia-Ukraine war on the cryptocurrency market (Bitcoin trading volume, and returns). The …		 Isaac Appiah‐Otoo; Asian Economics Letters 2023-01-31
355 Association Between Gambling and Financial Trading: A Systemic Review
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Abstract: Background: Financial trading is often categorized separately from traditional forms of gambling (e.g., blackjack, poker, lottery, slot machines), as it is often viewed from an …		 Uibin Lee; Lauren E. Lewis; Devin J. Mills; F1000Research 2023-01-30
356 Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets
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Highlight: We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders.		 Peer Nagy; Jan-Peter Calliess; Stefan Zohren; arxiv-q-fin.TR 2023-01-20
357 Optimization Trading Strategy Model for Gold and Bitcoin Based on Market Fluctuation
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Abstract: As a new type of digital currency, Bitcoin is considered as “future gold” by various scholars. Therefore, this study considers Bitcoin and gold as a group of hedging assets to …		 Hong-Xia Xie; Yan Feng; Xueyong Yu; Yuning Hu; J. Adv. Comput. Intell. Intell. Informatics 2023-01-20
358 Acceleration of Trading System Back End with FPGAs Using High-Level Synthesis Flow
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Abstract: FPGA technology is widely used in the finance domain. We describe the design of a financial trading system order processing component using FPGAs, implemented with high-level …		 Sunil Puranik; Mahesh Barve; Swapnil Rodi; R. Patrikar; Electronics 2023-01-19
359 Domain-adapted Learning and Interpretability: DRL for Gas Trading
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Highlight: In this paper, we present a practical implementation of Deep RL for trading natural gas futures contracts.		 Yuanrong Wang; Yinsen Miao; Alexander CY Wong; Nikita P Granger; Christian Michler; arxiv-q-fin.TR 2023-01-19
360 A Deep Reinforcement Learning-based Bidding Strategy for Participants in A Peer-to-peer Energy Trading Scenario
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Abstract: An efficient energy trading strategy is proven to have a vital role in reducing participants’ payment in the energy trading process of the power grid, which can greatly improve …		 Feiye Zhang; Qingyu Yang; Donghe Li; Frontiers in Energy Research 2023-01-16
361 PENERAPAN APLIKASI “ VIRTUAL TRADING ” STOCKBIT PADA MATA KULIAH PRAKTIKUM PASAR MODAL
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Abstract: This research examined the use of the Stockbit virtual trading application as a teaching tool in a practical capital market course for Accounting Education students of Universtas …		 A. Baskara; Purba Andy Wijaya; PEKA 2023-01-14
362 Enhanced Bollinger Band Stock Quantitative Trading Strategy Based on Random Forest
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Abstract: Constructing applicable automated stock trading strategies has become one of the best ways that people can earn profits from their underlying assets’ investments now. Automated …		 Keyue Yan; Yimeng Wang; Y. Li; Artificial Intelligence Evolution 2023-01-11
363 Trade Filtering Method for Trend Following Strategy Based on LSTM-extracted Feature and Machine Learning
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Abstract: Trend following strategies have a wide-ranging role in quantitative trading fields, which can capture important unilateral market trends for large gains, while this is vulnerable …		 Jun Liang; Keyi Huang; Shaojian Qiu; Hai Lin; Keng Lian; J. Intell. Fuzzy Syst. 2023-01-11
364 Design and Implementation of Algorithmic Stock Trading
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Abstract: The act of trading in the financial markets from a discretionary standpoint comes with a vast number of pitfalls that lead to participants achieving poor returns on their …		 Piers Blackmun; Sahar Al-Sudani; D. Al-Jumeily; 2023 15th International Conference on Developments in … 2023-01-09
365 Empirical Analysis of Automated Stock Trading Using Deep Reinforcement Learning
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Abstract: There are several automated stock trading programs using reinforcement learning, one of which is an ensemble strategy. The main idea of the ensemble strategy is to train DRL …		 Minseok Kong; Jungmin So; Applied Sciences 2023-01-03
366 Intraday High-frequency Pairs Trading Strategies for Energy Futures: Evidence from China
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Abstract: We investigate the performance of pairs trading strategies based on Ornstein-Uhlenbeck (OU) process with jump-diffusion and regime-switching using minute-level data for five …		 Jing Luo; YuCheng Lin; Sijia Wang; Applied Economics 2023-01-01
367 Bandits for Algorithmic Trading with Signals
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 Á. Cartea; Fayçal Drissi; Pierre Osselin; SSRN Electronic Journal 2023-01-01
368 Deep Reinforcement Learning for Stock Trading with Behavioral Finance Strategy
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 Shilong Deng; Zetao Zheng; Hongcai He; Jie Shao; International Conference on Advanced Data Mining and … 2023-01-01
369 Blockchain-Enabled Fintech Innovation: A Case of Reengineering Stock Trading Services
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Abstract: As it plays a key role in industrial and commercial development, the stock market has significant impacts on a country’s economic growth; the stability of the stock market is …		 S. Chang; Meng-Hsuan Wang; IEEE Access 2023-01-01
370 Integrating Piecewise Linear Representation and Deep Learning for Trading Signals Forecasting
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Abstract: Trading signals forecasting is an interesting but challenging research topic in the field of financial investment, since the financial market is a nonlinearity and high volatility …		 Yingjun Chen; Zhigang Zhu; IEEE Access 2023-01-01
371 A Three-Stage Multi-Energy Trading Strategy Based on P2P Trading Mode
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Abstract: This paper proposes a three-stage multi-energy sharing strategy for a gas-electricity integrated energy system (IES). It aims to solve the multi-energy imbalance problem among …		 Jie Yang; Wenya Xu; K. Ma; Conghui Li; IEEE Transactions on Sustainable Energy 2023-01-01
372 Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach
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 Brice Corgnet; Mark Desantis; Christoph Siemroth; SSRN Electronic Journal 2023-01-01
373 Can Day Trading Really Be Profitable? Evidence of Sustainable Long-term Profits from Opening Range Breakout (ORB) Day Trading Strategy Vs. Benchmark in The US Stock Market
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 Carlo Zarattini; Andrew R. Aziz; SSRN Electronic Journal 2023-01-01
374 Reinforcement Learning for Stock Prediction and High-Frequency Trading With T+1 Rules
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Abstract: The high-frequency trading framework for the price trend prediction model and trading strategy has been a popular approach for T+0 trading in the stock market. The prediction …		 Weipeng Zhang; Tao Yin; Yunan Zhao; Bing Han; Huanxi Liu; IEEE Access 2023-01-01
375 Asset Flow Model for A Homogeneous Group of Investors: High-frequency Trading Limit
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 D. Swigon; Discrete and Continuous Dynamical Systems – S 2023-01-01
376 C Design Patterns for Low-Latency Applications Including High-Frequency Trading
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 Paul Bilokon; Burak Gunduz; SSRN Electronic Journal 2023-01-01
377 Stock Market Price Prediction Using Machine Learning
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Abstract: The stock market is known for its high volatility, fast changes, and nonlinear behaviour; investors should be prepared for all three. It is highly challenging to precisely …		 SHARIQ MOHAMMED et. al. 2023 5th International Conference on Smart Systems and … 2023-01-01
378 Does Algorithmic Trading Improve Liquidity Around Dividend Announcement? Evidence from The Stock Exchange of Thailand
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Abstract: This study investigates the impact of the entry of algorithmic trading on Thailand’s stock market liquidity around dividend announcement during 2001 – 2016. We find some evidence …		 Chotika Chatchawanwanit; 2023-01-01
379 A Novel Convolutional Neural Networks for Stock Trading Based on DDQN Algorithm
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Abstract: In deep learning based stock trading strategy models, most of the research just use simple convolutional neural networks (CNN) to process stock data. But task-specific neural …		 Kai Cui; Ruizhe Hao; Yuling Huang; Jianqing Li; Yunlin Song; IEEE Access 2023-01-01
380 Intraday Trading of Cryptocurrencies Using Polynomial Auto Regression
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Abstract: This research attempts to fit a polynomial auto regression (PAR) model to intraday price data of four major cryptocurrencies and convert the model into a real-time profitable …		 Gil Cohen; AIMS Mathematics 2023-01-01
381 Stock-Crypto-App – Recommendation System for Stock and Cryptocurrency Market Using Cutting Edge Machine Learning Technology
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Abstract: – In the dynamic world of financial markets, the prediction of stock performance and bitcoin trading is undergoing a significant transformation due to the integration of advanced …		 THUSHANTHA SANJU et. al. International Research Journal of Innovations in … 2023-01-01
382 Multi-Feature Supervised Reinforcement Learning for Stock Trading
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Abstract: Deep reinforcement learning (DRL) algorithm is often used to find the best trading strategy in algorithmic trading. However, the classical DRL model is difficult to achieve rapid …		 Kui Fu; Yidong Yu; Bing Li; IEEE Access 2023-01-01
383 CBITS: Crypto BERT Incorporated Trading System
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Abstract: Most textual analysis-based trading approaches in cryptocurrency (crypto) involve lexical, rule-based methods for extracting news sentiments. Furthermore, language models (LMs) …		 Gyeongmin Kim; Minsuk Kim; B. Kim; Heu-Jeoung Lim; IEEE Access 2023-01-01
384 Algorithm Trading and Its Application in Stock Broking Services
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Abstract: Purpose: Algorithmic trading provides a more systematic approach to active trading than methods based on trader intuition or instinct. The aim of the study is to examine the level …		 R. VEDAPRADHA et. al. E3S Web of Conferences 2023-01-01
385 Trade Ease With Machine Learning and AWS
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Abstract: Global trading is undergoing significant changes, necessitating modifications to the trading strategies. This study presents a newly developed cloud-based trading strategy that …		 Kamurthi Ravi Teja; Chuan-Ming Liu; IEEE Access 2023-01-01
386 Does High-frequency Trading Actually Improve Market Liquidity? A Comparative Study for Selected Models and Measures
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 Renata Karkowska; A. Palczewski; Research in International Business and Finance 2023-01-01
387 Algorithmic Trading, What If It Is Just An Illusion? Evidence from Experimental Asset Markets
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 Sandrine Jacob Leal; Nobuyuki Hanaki; SSRN Electronic Journal 2023-01-01
388 ALGORITHMIC TRADING: A COMPREHENSIVE REVIEW OF TECHNOLOGICAL ADVANCEMENTS AND MARKET IMPLICATIONS
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Abstract: Algorithmic trading has experienced significant growth in recent years, revolutionizing the way trading is conducted. Hence, it is crucial to understand the implications of this …		 Ikshvaku Garg; International Journal of Social Science & Economic … 2023-01-01
389 Bitcoin Optimized Signal Allocation Strategies Using Decomposition
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Abstract: —Bitcoin is the first and most famous cryptocurrency. It is a virtual currency that is operated in a decentralized form using cryptographic strategies called blockchains. Although …		 Sherin M. Omran; Wessam H. El-Behaidy; A. Youssif; International Journal of Advanced Computer Science and … 2023-01-01
390 Deep Reinforcement Learning Based End-to-End Stock Trading Strategy
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 Yonghao Wang; Qinke Peng; Tian Han; Haozhou Li; Yiqing Shen; SSRN Electronic Journal 2023-01-01
391 A Mean-VaR Based Deep Reinforcement Learning Framework for Practical Algorithmic Trading
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Abstract: It is difficult to automatically produce trading signals based on previous transaction data and the financial status of assets because of the significant noise and …		 Boyi Jin; IEEE Access 2023-01-01
392 A Study of BOS Investment Strategy Based on BP Neural Network Prediction
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Abstract: : As a new type of trading method, quantitative trading has been developing rapidly in recent years in developed countries such as the United States. By building BP neural network …		 Jialei Liu; Shuhan Yang; Qianjie Wang; Academic Journal of Business & Management 2023-01-01
393 Optimizing Automated Trading Systems with Deep Reinforcement Learning
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Abstract: In this paper, we propose a novel approach to optimize parameters for strategies in automated trading systems. Based on the framework of Reinforcement learning, our work includes …		 Minh Tran; Duc Pham-Hi; M. Bui; Algorithms 2023-01-01
394 Algorithmic Trading System Based on Technical Indicators in Artificial Intelligence: A Review
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 ZARITH SOFIA ZULKIFLI et. al. 1ST INTERNATIONAL POSTGRADUATE CONFERENCE ON OCEAN … 2023-01-01
395 Learning from DeFi: Would Automated Market Makers Improve Equity Trading?
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Abstract: We investigate the potential for automated market makers (AMMs) to be economically viable in and improve traditional financial markets. AMMs are a new type of trading institution …		 Katya Malinova; A. Park; SSRN Electronic Journal 2023-01-01
396 Portfolio Research Based on SVM-GARCH and Dynamic Weighted Multi-Objective Planning Models—An Example of Gold and Bitcoin
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Abstract: : The question of how to benefit from an organic combination of gold and bitcoin has become a prominent topic in the contemporary society. Hence, we’ve built the time series …		 Yue Wu; Financial Engineering and Risk Management 2023-01-01
397 A Retail Investor in A Cobweb of Social Networks
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Abstract: In this study, using AI, we empirically examine the irrational behaviour, specifically attention-driven trading and emotion-driven trading such as consensus trading, of retail …		 Tamara Teplova; Aleksandr Tomtosov; Tatiana Sokolova; PloS one 2022-12-30
398 Prediction of Stock Price Direction with Trading Indicators Using Machine Learning Techniques
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Abstract: Stock market provides a platform where people can engage in trading. Such tradings contribute to the growth of economy. It is a very intriguing research topic to predict the …		 Md. Siam Ansary; Amina Brinto; 2022 IEEE International Women in Engineering (WIE) … 2022-12-30
399 DEVELOPMENT OF EXCHANGE TRADING: CURRENT STATE AND PROSPECTS
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Abstract: The article analyzes the main trends in the development of global and domestic stock exchange trade. The development trends of the international stock market are considered and …		 O. Nikolaichuk; Herald of Khmelnytskyi National University. Economic … 2022-12-29
400 Dampak Peristiwa Stock Split Terhadap Performa Saham Di Bursa Efek Indonesia
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Abstract: This study aims to determine and calculate differences in the level of stock liquidity proxied by the company’s trading volume activity (TVA) before and after the stock split, the …		 Muhammad Taufiq Abadi; Sains Manajemen 2022-12-21
401 Deep Reinforcement Learning Methods for Automation Forex Trading
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Abstract: In Forex market, designing effective strategies are a critical role in investment. However, it is a challenging task due to its inherent characteristics, which include high …		 Tan Chau; Minh-Tri Nguyen; Duc-Vu Ngo; Anh-Duc T. Nguyen; Trong-Hop Do; 2022 RIVF International Conference on Computing and … 2022-12-20
402 Supervised Actor-critic Reinforcement Learning with Action Feedback for Algorithmic Trading
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 Qizhou Sun; Yain-Whar Si; Applied Intelligence 2022-12-17
403 To Study The Reaction of The Investors in Trading Behaviour in Bursa Malaysia Based on KLSE Market Index Performance
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Abstract: The investor’s behaviour had always raised eyebrows on the behaviour towards the trading activities within the stock market exchange. As the major secondary market of the trading …		 Wee Win Yeoh; Journal of Social Sciences and Management Studies 2022-12-13
404 A Prediction Model of Stock Market Trading Actions Using Generative Adversarial Network and Piecewise Linear Representation Approaches
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Abstract: Supervised learning applied stock prediction tasks and obtained satisfactory performance. The trading strategies are very complex and diverse but supervised learning is only …		 Jheng-Long Wu; Xian-Rong Tang; Chin-Hsiung Hsu; Soft computing 2022-12-09
405 The Effects of Index Futures Trading Volume on Spot Market Volatility in A Frontier Market: Evidence from Ho Chi Minh Stock Exchange
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Abstract: This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for the Ho Chi Minh Stock Exchange (HOSE). The data utilized in …		 L. Truong; H. Friday; Anh T. H. Nguyen; Risks 2022-12-08
406 Deployment of A Smart Trading System for Intelligent Stock Trading
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Abstract: In this article we evaluate the deployment of a smart trading system that exploits the features of different technical indicators for intelligent stock trading. Depending on their …		 I. Ali; S. Z. Mahfooz; N.Q. Mehmood; M.N. Mehmood; The Nucleus 2022-12-07
407 Kelly-based Stock Trading Via Feedback Control
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Abstract: In stock trading, Kelly betting has recently gained much popularity as a methodologically sound approach to the computation of optimal investment fractions. In this work, by …		 Federico Dettù; F. Abbracciavento; S. Formentin; 2022 IEEE 61st Conference on Decision and Control (CDC) 2022-12-06
408 A Novel Deep Reinforcement Learning Based Automated Stock Trading System Using Cascaded LSTM Networks
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Highlight: In this paper, to capture the hidden information, we propose a DRL based stock trading system using cascaded LSTM, which first uses LSTM to extract the time-series features from stock daily data, and then the features extracted are fed to the agent for training, while the strategy functions in reinforcement learning also use another LSTM for training.		 Jie Zou; Jiashu Lou; Baohua Wang; Sixue Liu; arxiv-q-fin.CP 2022-12-05
409 LSTM Based Algorithmic Trading Model for Bitcoin
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Abstract: Cryptocurrencies have emerged as an alternative financial asset in the last decade, with their market growing exponentially in recent years. The price of cryptocurrencies is …		 Japjeet Singh; R. Thulasiram; A. Thavaneswaran; 2022 IEEE Symposium Series on Computational Intelligence … 2022-12-04
410 Low-carbon Economic Optimal Dispatch Strategy of Integrated Energy System Considering Electric-heat Flexible Load and Carbon Trading
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Abstract: In order to improve the consumption of renewable energy, stabilize load fluctuations and control total carbon emissions, this paper proposes a low-carbon economic optimal dispatch …		 Xinfeng Jiang; Q. Ai; Yun Chen; Jiayu Wang; 2022 IEEE Sustainable Power and Energy Conference (iSPEC) 2022-12-04
411 A Pathway Towards The Development and Evolution of Consumer Behavior: Policy Directions for Sustainable Development and Improvement of Nutrition
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Abstract: The virtuality, concealment, uncertainty and complexity of online trading make the online food trading market have security risks, while the lack of information, information …		 Fang Su; Jiangbo Chang; Xing Zhang; Shah Fahad; Shimza Bint Aslam; Frontiers in nutrition 2022-12-02
412 Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal
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Abstract: A key issue for decentralised markets like FX is how the market responds to extreme situations. Using data on FX transactions with a precise identi fi cation of Algorithmic trading …		 Francis Breedon; Louisa Chen; A. Ranaldo; Nicholas Vause; SSRN Electronic Journal 2022-12-01
413 From Decision Optimization to Satisficing: Regulation of Automated Trading in The US Financial Markets
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 W. Currie; J. Seddon; Ben Van Vliet; Inf. Manag. 2022-12-01
414 How Machine Learning Can Drive High Frequency Algorithmic Trading for Technology Stocks
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Abstract: The objective of this paper is to present an innovative method, based on deep machine learning (DRL), to resolve the algorithmic trading issue of figuring out the perfect trading …		 M. Sazu; International Journal of Data Science and Advanced Analytics 2022-11-30
415 Using Crypto-Asset Pricing Methods to Build Technical Oscillators for Short-Term Bitcoin Trading
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Abstract: This paper examines the trading performances of several technical oscillators created using crypto-asset pricing methods for short-term bitcoin trading. Seven pricing models …		 Zixiu Yang; Dean Fantazzini; Inf. 2022-11-29
416 Time Series Artificial Neural Network Based Classification Model for Asset Trading Strategy
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Abstract: Best daily trading strategy is meaningful to investors to obtain the maximum return. Financial market plays a key role in the social development. Sufficient funds are of great …		 Mingyuan Zhang; Highlights in Business, Economics and Management 2022-11-28
417 Optimizing Stock Option Forecasting with The Assembly of Machine Learning Models and Improved Trading Strategies
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Highlight: This paper introduced key aspects of applying Machine Learning (ML) models, improved trading strategies, and the Quasi-Reversibility Method (QRM) to optimize stock option forecasting and trading results.		 Zheng Cao; Raymond Guo; Wenyu Du; Jiayi Gao; Kirill V. Golubnichiy; arxiv-q-fin.CP 2022-11-28
418 Financial Technical Indicator and Algorithmic Trading Strategy Based on Machine Learning and Alternative Data
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Abstract: The aim of this paper is to introduce a two-step trading algorithm, named TI-SiSS. In the first step, using some technical analysis indicators and the two NLP-based metrics …		 Andrea Frattini; Ilaria Bianchini; Alessio Garzonio; L. Mercuri; Risks 2022-11-25
419 An Algorithm for Organizing Long Volatility Trading Based on A Delta-neutral Strategy
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Abstract: The article is devoted to the problem of automation of long volatility trading in the financial market using delta-neutral trading strategies. Most operations on them, as a rule, …		 A. Plotnikov; R. A. Shishlov; Vladimir V. Arsenov; Vestnik of Samara University. Economics and Management 2022-11-22
420 Can Investors Profit from Utilizing Technical Trading Rules During The COVID-19 Pandemic?
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Abstract: In the past, it was believed that investors may generate abnormal returns (AR) for trading stocks by employing technical trading rules. However, since the COVID-19 pandemic broke …		 Min-Yuh Day; Paoyu Huang; Yirung Cheng; Yensen Ni; Int. J. Inf. Technol. Decis. Mak. 2022-11-22
421 Analysis of Trading Volume Activity Before And After The Announcement Of Covid-19 at PT Indosat
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Abstract: This study aims to determine the effect of stock trading volume due to the impact before and after the Covid-19 event through an official announcement by the president. The …		 Adityo Leonardo Rahayaan; Ngurah Pandji Mertha Agung Durya; International Journal of Economics, Social Science, … 2022-11-18
422 Changes to The Trading Calendar and The Day of The Week Affect in Returns and Volatility of The Saudi Stock Exchange
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Abstract: Until June 29, 2013, the trading days of the Saudi Stock Exchange (TADAWUL) were from Sunday to Wednesday. From June 29, 2013, TADAWUL changed trading days and started trading …		 Abdulelah Alsayari; G. Wickremasinghe; Investment Management and Financial Innovations 2022-11-15
423 Designing Efficient Pair-Trading Strategies Using Cointegration for The Indian Stock Market
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Highlight: This paper presents a cointegration-based approach that identifies stocks listed in the five sectors of the National Stock Exchange (NSE) of India for designing efficient pair-trading portfolios.		 Jaydip Sen; arxiv-q-fin.PM 2022-11-13
424 Are Large Traders Harmed By Front-running HFTs?
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Highlight: This paper studies the influences of a high-frequency trader (HFT) on a large trader whose future trading is predicted by the former.		 Ziyi Xu; Xue Cheng; arxiv-q-fin.TR 2022-11-11
425 Researches Advanced in Financial Trading Systems Based on Reinforcement Learning
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Abstract: The financial trading system has always been a hot application field in the reinforcement learning community, which aims to predict market trends and maximize profits. However, …		 Hengyue Zhu; Other Conferences 2022-11-10
426 Algorithmic Trading and Short-term Forecast for Financial Time Series with Machine Learning Models; State of The Art and Perspectives
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Abstract: Stock price prediction with machine learning is an oft-studied area where numerous unsolved problems still abound owing to the high complexity and volatility that …		 Dakota Joiner; Amy Vezeau; Albert Wong; Gaétan Hains; Y. Khmelevsky; 2022 IEEE International Conference on Recent Advances in … 2022-11-07
427 Algorithmic Trading with Directional Changes
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 Adesola Adegboye; Michael Kampouridis; F. E. B. Otero; Artificial Intelligence Review 2022-11-07
428 A Novel Deep Reinforcement Learning-based Automatic Stock Trading Method and A Case Study
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Abstract: As the most important capital market, how formulating a reasonable stock trading strategy to improve capital return and reduce trading risk has always been the focus of people’s …		 Youzhang He; Yuchen Yang; Yihe Li; Peng Sun; 2022 IEEE 1st Global Emerging Technology Blockchain Forum: … 2022-11-07
429 The Optimal Blockchain Asset Trading Settlement Based on PoS Protocol
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 Chao Li; Li Wang; Haijun Yang; Decision Support Systems 2022-11-01
430 Visceral Emotions and Bitcoin Trading
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 Yongkil Ahn; Dongyeon Kim; Finance Research Letters 2022-11-01
431 Algorithmic Trading and Block Ownership Initiation: An Information Perspective
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 Jiayi Zheng; Yushu Zhu; The British Accounting Review 2022-11-01
432 Peer-to-Peer Local Energy Trading With Voltage Management Under Asynchronous Communication
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Abstract: This paper presents a peer-to-peer (P2P) local energy trading strategy in distribution networks with a novel decentralized voltage management scheme based on voltage sensitivity …		 Md Habib Ullah; Jae-Do Park; IEEE Transactions on Smart Grid 2022-11-01
433 Pengaruh Profitabilitas Dan Nilai Perusahaan Terhadap Volume Perdagangan Saham Pada LQ45
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Abstract: Companies tend to have the main focus on seeking maximum profits to attract potential investors. Companies that have the ability to earn profits and have good corporate value can …		 Ell Bryan Timothy; Francis M. Hutabarat; Jurnal Ilmiah Universitas Batanghari Jambi 2022-10-31
434 Examining The Relationship Between Borsa Istanbul Trading Volumes and Bitcoin Trading Volumes with The Toda Yamamoto Approach 2017:01 – 2021:12
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 Gazi Journal of Economics and Business 2022-10-30
435 DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunities
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Highlight: However, a vast majority of existing RL methods focus on the relatively low frequency trading scenarios (e.g., day-level) and fail to capture the fleeting intraday investment opportunities due to two major challenges: 1) how to effectively train profitable RL agents for intraday investment decision-making, which involves high-dimensional fine-grained action space; 2) how to learn meaningful multi-modality market representation to understand the intraday behaviors of the financial market at tick-level. Motivated by the efficient workflow of professional human intraday traders, we propose DeepScalper, a deep reinforcement learning framework for intraday trading to tackle the above challenges.		 SHUO SUN et. al. cikm 2022-10-29
436 Optimal Action Space Search: An Effective Deep Reinforcement Learning Method for Algorithmic Trading
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Highlight: In this paper, we propose an end-to-end DRL method that explores solutions on the whole graph via a probabilistic dynamic programming algorithm.		 Zhongjie Duan; Cen Chen; Dawei Cheng; Yuqi Liang; Weining Qian; cikm 2022-10-29
437 Smart Portfolio Trading Strategy Based on Random Forest Model with Limited Information
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Abstract: Quantitative trading refers to using advanced mathematical models instead of people’s subjective judgment and the use of computer technology and big data to formulate trading …		 Wenhao Qiao; 2022 IEEE 2nd International Conference on Data Science and … 2022-10-28
438 DNN-ForwardTesting: A New Trading Strategy Validation Using Statistical Timeseries Analysis and Deep Neural Networks
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Highlight: In this paper, we propose a new trading strategy, called DNN-forwardtesting, that determines the strategy to apply by testing it on the possible future predicted by a deep neural network that has been designed to perform stock price forecasts and trained with the market historical data.		 Ivan Letteri; Giuseppe Della Penna; Giovanni De Gasperis; Abeer Dyoub; arxiv-q-fin.TR 2022-10-20
439 Robust Emission Reduction Strategies Under Cap-and-Trade and Demand Uncertainty
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Abstract: In this study, we consider robust emission reduction strategies for a monopolistic manufacturer facing demand uncertainty under governments’ cap-and-trade regulations. We model …		 Chao Li; Tianyi Guo; Yan Chen; Sustainability 2022-10-18
440 Algorithmic Trading and Quantitative Analysis of Stocks Using Data Science: A Study
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Abstract: Algorithmic Trading and Quantitative Analysis of Stock is a system that uses complex algorithms created with the use of mathematical models and technical indicators to completely …		 KUSH VISHWAMBHARI et. al. 2022 IEEE 2nd Mysore Sub Section International Conference … 2022-10-16
441 Distributed Supervision Model for Enterprise Data Asset Trading Based on Blockchain Multi-Channel in Industry Alliance
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Abstract: Compared with traditional physical commodities, data are intangible and easy to leak, and the related trading process has problems, such as complex participating roles, lengthy …		 Jianxiong Zhang; Bing Guo; Xuefeng Ding; Dasha Hu; Yuming Jiang; Sensors (Basel, Switzerland) 2022-10-15
442 A Dilemma of Self-interest Vs. Ethical Responsibilities in Political Insider Trading
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Abstract: Political insider trading has brought substantial attention to ethical considerations in the academic literature. While the Stop Trading on Congressional Knowledge (STOCK) Act …		 Jan Hanousek; Hoje Jo; Christos Pantzalis; Jung Chul Park; Journal of business ethics : JBE 2022-10-14
443 Stock Trading Strategy of Reinforcement Learning Driven By Turning Point Classification
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 Jujie Wang; Feng Jing; Maolin He; Neural Processing Letters 2022-10-12
444 Algorithmic Trading Using Continuous Action Space Deep Reinforcement Learning
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Highlight: This paper aims to offer an approach using Twin-Delayed DDPG (TD3) and the daily close price in order to achieve a trading strategy in the stock and cryptocurrency markets.		 Naseh Majidi; Mahdi Shamsi; Farokh Marvasti; arxiv-cs.LG 2022-10-07
445 Fast and Slow Optimal Trading with Exogenous Information
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Highlight: We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic control problems, in which the high-frequency trader exploits the available information on a price predicting signal more frequently, but is also subject to periodic end of day inventory constraints.		 Rama Cont; Alessandro Micheli; Eyal Neuman; arxiv-q-fin.TR 2022-10-04
446 The Relationship Between Institutional Investors, Securities Margin Trading, and Stock Price Collapse
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Abstract: Under the strategic guidance of unconventional development of institutional investors, institutional investors in China gradually show the characteristics of various and large …		 Yanping Liu; Sisi Wang; Tianqi Yang; Xiu Cheng; 2022 6th Annual International Conference on Data Science … 2022-10-01
447 Financial Playthings: Interrogating Gamification in Retail Trading Interfaces
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Abstract: This paper critically interrogates the claims of game-like elements in online brokerages through an interface analysis of three platforms, eToro, Plus500 and DeGiro. The 2021 …		 Agustin Ferrari Braun; A. Gekker; Journal of Gaming & Virtual Worlds 2022-10-01
448 The Impact of Bitcoin Halving Day on Stock Market in Indonesia
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Abstract: This study aims to determine the impact of the bitcoin halving day phenomenon that occurred on May 11, 2020, on abnormal return and trading volume activity on listed firms of …		 Muhammad Harits Zidni Khatib Ramadhani; Journal of International Conference Proceedings 2022-09-29
449 The Effect of Technological Developments on The Stock Market: Evidence from Emerging Market
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Abstract: This study investigates the effect of High-Frequency Trading on stock liquidity and volatility in Borsa Istanbul, Turkey which is one of the largest emerging markets where …		 Mehmet Sinan Celik; M. Ozturk; Ozkan Haykir; Applied Economics Letters 2022-09-27
450 A Near-Optimal Truthful Online Auction for Efficient Crowdsourced Data Trading with Dynamic Data Owners and Dynamic Data Requests
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Abstract: Data is an extremely important asset in a modern scientific and commercial society. The life force behind powerful artificial intelligence (AI) or machine learning (ML) algorithms …		 Zhenni Feng; Chen Zhang; Junchang Chen; Tong Liu; Wireless Communications and Mobile Computing 2022-09-27
451 On Robustness of Double Linear Trading with Transaction Costs
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Highlight: In this paper, we propose a new class of trading policies called the {double linear policy} in an asset trading scenario when the transaction costs are involved.		 Chung-Han Hsieh; arxiv-math.OC 2022-09-25
452 Research on The Performance of The Trend Following Trading Strategy in The Chinese Commodity Market
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Abstract: Trend following strategy is a popular strategy that investors often use in trading around the world. Stocks are bought during an upswing and sold during a decline, the two main …		 Anran Xie; Yichong Huang; Yian Bian; Shucen Zhao; Jiaxin Lin; Wireless Communications and Mobile Computing 2022-09-24
453 Algorithmic Trading Strategies for Informed Traders
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Abstract: Informed traders usually choose to trade a large number of stocks in a short period of time in order to take advantage of the time that they can profit from private information, …		 Jingxia Xu; Yun Xiong; Proceedings of the 5th International Conference on Big Data … 2022-09-23
454 The Impact of High-Frequency Trading on Modern Securities Markets
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 B. Clapham; Martin Haferkorn; K. Zimmermann; Business & Information Systems Engineering 2022-09-23
455 Machine Learning-Based Decision-Making for Stock Trading: Case Study for Automated Trading in Saudi Stock Exchange
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Abstract: Stock markets are becoming the center of attention for many investors and hedge funds, providing them with a wide range of tools and investment opportunities to grow their wealth …		 Mohammad Alsulmi; Nourah Al-Shahrani; Scientific Programming 2022-09-22
456 Automated Cryptocurrency Trading Bot Implementing DRL
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Abstract: A year ago, one thousand USD invested in Bitcoin (BTC) alone would have appreciated to three thousand five hundred USD. Deep reinforcement learning (DRL) recent outstanding …		 Aisha Peng; Sau Loong Ang; C. Lim; Pertanika Journal of Science and Technology 2022-09-21
457 Research on A Quantitative Trading Strategy Based on High-frequency Trading
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Abstract: This article aims to develop a quantitative trading strategy that maximizes profits while finding the best balance of risk and return. We built a high-frequency trading strategy …		 Chang Liu; Huilin Shan; Zhihao Tian; Hangyu Cheng; BCP Business & Management 2022-09-19
458 Blockchain Smart Contract-Enabled Secure Energy Trading for Electric Vehicles
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Abstract: In this paper, a blockchain-enabled energy trading method is proposed to deal with the inefficiency and security issues in energy trading for electric vehicles in smart grids. It …		 FENG XUE et. al. Energies 2022-09-14
459 What Drives Trend-following Profits in Stocks? The Role of The Trading Signals’ Volatility
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Abstract: We document the influence of stock volatility on trend-following profits for a global sample of 1618 blue-chip stocks, across 43911 evaluation subperiods (2004–2018). We use the …		 Adrian Zoicas-Ienciu; M. Pochea; Applied Economics 2022-09-14
460 Cooperative Trading Strategy of Carbon Emitting Power Generation Units Participating in Carbon and Electricity Markets
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Abstract: Energy-saving and emission reduction will become the focus of the energy industry in the future. The coordination of the carbon and electricity markets can help achieve the goals …		 YUYAN YANG et. al. Frontiers in Energy Research 2022-09-13
461 The Impact of China’s Carbon Emission Trading Policy on Green Total Factor Productivity – Influence Analysis Based on Super-EBM and Multiple Mediators
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Abstract: Can China’s carbon trading policy promote regional green total factor productivity? What are the specific influencing processes and mechanisms between the two? In this paper, we …		 Jinqiu Li; Dechun Huang; Xiaoqing Wu; Polish Journal of Environmental Studies 2022-09-12
462 Backtesting Trading Strategies with GAN To Avoid Overfitting
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Highlight: We propose an approach to avoid overfitting: A good (meaning non-overfitting) trading strategy should still work well on paths generated in accordance with the distribution of the historical data.		 Ao Sun; Yuh-Dauh Lyuu; arxiv-cs.CE 2022-09-11
463 Algorithm Design for Asset Trading Under Multiple Factors
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Abstract: For the strategy of investing in gold and Bitcoin, first collect the historical prices of two types of investment products in the market, and use the wavelet neural network model …		 Li-Jun Xu; Shou-Yu Wei; Xiao-Qing Lu; Ze-Hua He; Jia-Ming Zhu; Int. J. Found. Comput. Sci. 2022-09-10
464 Portfolio Trading of Financial Products Based on Machine Learning
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Abstract: In order to study how to construct a suitable portfolio trading strategy of traditional financial products and new kinds of financial products to help investors avoid risks and …		 Yifan Zhang; Qian Shen; Jian Guo; Yiwen Jia; 2022 International Conference on Machine Learning and … 2022-09-09
465 Ensemble Investment Strategies Based on Reinforcement Learning
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Abstract: Due to the rapid development of hardware devices, the analytical processing and algorithmic capabilities of computers are also being enhanced, which makes machine learning play an …		 Fang-Tao Li; Zhixing Wang; Pengcheng Zhou; Scientific Programming 2022-09-08
466 Pengaruh Pandemi COVID-19 Dan Trading Activities Terhadap Return Saham
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Abstract: This study aims to determine the effect of COVID-19 pandemic and trading activities on stock market return in healthcare companies and transportation & logistic companies that was …		 Widyasari Kezia Dayu Prasasti; Jurnal Ekonomi 2022-09-08
467 The Influence Of Price Limit And Stock Return On Investment Contingency In Ipo Corporate For The 2020 Period On Indonesia Stock Exchange
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Abstract: The objective of this study is to investigate the influence of Price Limit and Stock Return toward Trading Volume, Stock Return Volatility upon Corporate Initial Public Offerings …		 Hartanto Dewantoro; Nendi Juhandi; Yadi Nurhayadi; Agregat: Jurnal Ekonomi dan Bisnis 2022-09-05
468 Candlestick Patterns Recognition Using CNN-LSTM Model to Predict Financial Trading Position in Stock Market
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Abstract: Investors need analytical tools to predict the price and to determine trading positions. Candlestick pattern is one of the analytical tools that predict price trends. However, the …		 Aditya Ramadhan; Irma Palupi; Bambang Ari Wahyudi; Journal of Computer System and Informatics (JoSYC) 2022-09-03
469 Machines That Make and Keep Promises – Lessons for Contract Automation from Algorithmic Trading on Financial Markets
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 M. J. Schmidt-Kessen; Helen Eenmaa; Maya Mitre; Comput. Law Secur. Rev. 2022-09-01
470 Algorithmic Trading: The Intelligent Trading Systems and Its Impact on Trade Size
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 R. Dubey; Expert Syst. Appl. 2022-09-01
471 Characteristics and Forecast of High-frequency Trading
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 Shigeki Kohda; Kenichi Yoshida; Transactions of the Japanese Society for Artificial … 2022-09-01
472 A Dynamic Internal Trading Price Strategy for Networked Microgrids: A Deep Reinforcement Learning-Based Game-Theoretic Approach
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Abstract: In this study, a novel two-step optimization model is developed for maximizing the amount of internal power trading in a distribution network comprising several networked …		 Van-Hai Bui; A. Hussain; Wencong Su; IEEE Transactions on Smart Grid 2022-09-01
473 Ultra-short Term Trading Using A Neural-network Based Ensemble of Financial Technical Indicators in A Closed World Market
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Abstract: The proposed paper presents the analysis, design, implementation and evaluation of an ultra-short-term frequency trading system for the foreign exchange market (FOREX), which …		 Theodoros Zafeiriou; Dimitris Kalles; Intell. Decis. Technol. 2022-08-31
474 Algorithmic Trading and Challenges on Retail Investors in Emerging Markets
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Abstract: Mixed views on automated trading in the extant literature lead to ongoing debates on algorithmic trading (AT) and high-frequency trading (HFT). This study elaborates on the rising …		 SIYUAN YAN et. al. Journal of Economics, Finance and Accounting Studies 2022-08-30
475 Electronic Transactions Against Virtual Money (Cryptocurrency) Stock Trading Special Criminal Law Perspective
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Abstract: Virtual currency was designed as an alternative legal tender, originally for use in virtual communities, and certain online gaming sites. The number of such virtual currencies is …		 Arien Kartika; Windi Sri Wahyuni; International Journal of Research and Review 2022-08-29
476 Linnet: Limit Order Books Within Switches
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Abstract: Financial trading often relies nowadays on machine learning. However, many trading applications require very short response times, which cannot always be supported by traditional …		 Xinpeng Hong; Changgang Zheng; S. Zohren; Noa Zilberman; Proceedings of the SIGCOMM ’22 Poster and Demo Sessions 2022-08-22
477 Quantitative Trading Model and Price Forecasting System Based on BiGRU Neural Network
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Abstract: By establishing quantitative models and using different algorithms to get corresponding early warning methods, this paper predicts future price changes, and gives appropriate …		 Haoran Zhu; Ankang Yang; Xinyu Zhang; 2022 IEEE International Conference on Advances in … 2022-08-20
478 Analisis Anomali Perdagangan Saham Terhadap Return Saham IDX30 Di Bursa Efek Indonesia
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Abstract: The aim of this research is to discover (1) regardless of whether there is a distinction in daily stock return during stock trading, (2) whether there is a Monday Effect in stock …		 Ahmad Pauzi; Tri Siswantini; AKUNTABEL 2022-08-12
479 Mechanism Design and Consumption Certification of Differentiated Green Electricity Trading: A Zhejiang Experience
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Abstract: The carbon neutrality strategy marks that green electricity will replace fossil energy as the main power source in the future power system. The trading varieties in the …		 QIFENG XU et. al. Frontiers in Energy Research 2022-08-09
480 The Impact of Financial Transaction Taxes on Stock Markets: Short-Run Effects, Long-Run Effects, and Reallocation of Trading Activity
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Abstract: We investigate the French 2012 financial transaction tax (FTT) and find robust evidence for anticipation effects before the implementation date. Controlling for short-run effects, …		 Sebastian Eichfelder; Mona Noack; Felix Noth; National Tax Journal 2022-08-08
481 Nonstationary Continuum-Armed Bandit Strategies for Automated Trading in A Simulated Financial Market
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Highlight: To solve the NCAB problem, we propose PRBO, a novel trading algorithm that uses Bayesian optimization and a “bandit-over-bandit” framework to dynamically adjust strategy parameters in response to market conditions.		 Bingde Liu; John Cartlidge; arxiv-cs.MA 2022-08-04
482 Pairs Trading with Fractional Ornstein–Uhlenbeck Spread Model
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Abstract: This paper proposes to model the spreads associated with financial asset prices by fractional Ornstein – Uhlenbeck (fOU) processes and constructs a pairs trading strategy based on …		 Yun Xiang; Yonghong Zhao; Shijie Deng; Applied Economics 2022-08-03
483 Research on Quantitative Trading Strategy Based on LSTM and Dynamic Programming
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Abstract: To get the most bang for the buck, market traders always trade a combination of volatile assets frequently in a short period, such as the combination of gold and bitcoin. This …		 Rui Ma; Shuhan Ye; Zihao Feng; Jiyang Jin; 2022 International Conference on Computers, Information … 2022-08-01
484 Forecasting Financial Signal for Automated Trading: An Interpretable Approach
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 Mohammad Reza Roostaee; A. A. Abin; Expert Syst. Appl. 2022-08-01
485 A Solution for Bilayer Energy-Trading Management in Microgrids Using Multiblockchain
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Abstract: In recent years, microgrids have attracted much attention as one of the typical applications of the Internet of Things (IoT). With the development of renewable energy, a bilayer …		 Xiaohong Huang; Yong Zhang; Dandan Li; Lu Han; IEEE Internet of Things Journal 2022-08-01
486 MIFID II and EMIR Impact on Romanian Banking System Performance
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Abstract: MIFID II/MiFIR represents comprehensive financial market reforms in trading and settlement of financial instruments. The greatest impact of the new regulatory framework in the …		 Miruna M. Vasilca; G. Anton; Alexandra Cheptiş; Alin I. Vid; Proceedings of the International Conference on Business … 2022-08-01
487 Analyzing The Relationship Between Return and Trading Volume in Relation to Cross-Sectional Absolute Deviation (CSAD) In Order to Detect Herding Behavior in Indonesia Emerging Stock Market
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Abstract: Investor herding behavior is a primary source of speculative bubbles since it implies that investors make identical trading decisions, which can lead to stock prices deviating …		 Helma Malini; Annisa Dipa Sakliana; The Indonesian Capital Market Review 2022-07-31
488 Improving Stock Trend Prediction Using LSTM Neural Network Trained on A Complex Trading Strategy
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Abstract: Abstract: Technical analysis in stock trading addresses the crucial matter of making optimal trading decisions promptly. Predicting directional movement in the target market using …		 S. Mahfooz; Iftikhar Ali; M. N. Khan; International Journal for Research in Applied Science and … 2022-07-31
489 How Covid Mobility Restrictions Modified The Population of Investors in Italian Stock Markets (L’evoluzione Della Composizione Del Retail Trading Sul Mercato Azionario Italiano A Seguito Delle Restrizioni Imposte Dalla Pandemia Da Covid) CONSOB – Scuola Normale Superiore Di Pisa
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Abstract: This paper investigates how Covid mobility restrictions impacted the population of investors of the Italian stock market. The analysis tracks the trading activity of individual …		 PAOLA DERIU et. al. SSRN Electronic Journal 2022-07-30
490 Modelling Financial Markets During Times of Extreme Volatility: Evidence from The GameStop Short Squeeze
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Abstract: Ever since the start of the coronavirus pandemic, lockdowns to curb the spread of the virus have resulted in an increased interest of retail investors in the stock market, due to …		 Boris Andreev; G. Sermpinis; C. Stasinakis; Forecasting 2022-07-19
491 Trading Strategies Optimization By Genetic Algorithm Under The Directional Changes Paradigm
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Abstract: The subject of financial forecasting has been re-searched for decades, and the driver behind its measured data has been fuelled by the selection of physical time series, which …		 Ozgur Salman; Michael Kampouridis; D. Jarchi; 2022 IEEE Congress on Evolutionary Computation (CEC) 2022-07-18
492 A Multi-Agent Deep Reinforcement Learning Framework for VWAP Strategy Optimization
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Abstract: As a classical optimal trade execution algorithm, Volume Weighted Average Price (VWAP) strategy is favored by brokers. Since it is schedule-based and cannot perform well in a …		 Jiaqi Ye; Xiaodong Li; Yingying Wang; 2022 International Joint Conference on Neural Networks … 2022-07-18
493 Research on Price Forecasting and Trading Strategy Based on Data Insight
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Abstract: The goal of establishing the model in this paper is to find the historical price patterns of gold and bitcoin according to the data provided. The purpose is to maximize returns …		 K. Hong; Xiaoqi Wang; Liming Xu; BCP Business & Management 2022-07-15
494 Trading Volume, Earnings Per Share and Stock Returns and Their Impact on Bid-ask Spreads on Manufacturing Industry Sector Stocks Listed on The Indonesia Stock Exchange 2015-2018
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Abstract: This research was to provide empirical evidence regarding The Effect of Trading Volume, Earning Per Share on Stock Returns, and their impact on Bid-Ask Spread in manufacturing …		 Dede Djuniardi; Entin Jumantini; Ari Jamhari; JPPI (Jurnal Penelitian Pendidikan Indonesia) 2022-07-15
495 An Efficient Isomorphic CNN-based Prediction and Decision Framework for Financial Time Series
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Abstract: Financial time series prediction and trading decision-making are priorities of computational intelligence for researchers in academia and the finance industry due to their broad …		 ZHONGMING LIU et. al. Intell. Data Anal. 2022-07-11
496 Algorithmic Trading and Market Quality: Evidence from The Taiwan Index Futures Market
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 Ya‐Kai Chang; Robin K. Chou; Journal of Futures Markets 2022-07-06
497 Cryptocurrency Trading Based on Heuristic Guided Approach with Feature Engineering
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Abstract: In recent years, machine learning and deep learning techniques have been frequently used in Algorithmic Trading. Algorithmic Trading means trading Forex, stock market, …		 Cagri Karahan; Ş. Öğüdücü; 2022 International Conference on Data Science and Its … 2022-07-06
498 The Impact of Algorithmic Trading on Market Quality: Evidence from The Johannesburg Stock Exchange
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Abstract: High-frequency trading (HFT) is a trading method that relies on sophisticated algorithms to analyse markets and execute large numbers of orders within milliseconds. In the last …		 Aurélie Courdent; D. McClelland; Investment Analysts Journal 2022-07-03
499 Cryptocurrency Trading Strategies and Profitability Based on Deep Learning Algorithms
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Abstract: Quantitative trading replaces the traditional subjective judgment mode based on modern digital model, so as to avoid irrational investment decisions under extreme conditions. This …		 Yinghe Qing; Ying Kong; Jifeng Sun; Jianwu Lin; 2022 4th International Conference on Applied Machine … 2022-07-01
500 A Multi-agent Deep Reinforcement Learning Framework for Algorithmic Trading in Financial Markets
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 Ali Shavandi; Majid Khedmati; Expert Syst. Appl. 2022-07-01
501 A Smart Trader for Portfolio Management Based on Normalizing Flows
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Highlight: In this paper, we study a new kind of portfolio problem, named trading point aware portfolio optimization (TPPO), which aims to obtain excess intraday profit by deciding the portfolio weights and their trading points simultaneously based on microscopic information.		 Mengyuan Yang; Xiaolin Zheng; Qianqiao Liang; Bing Han; Mengying Zhu; ijcai 2022-07-01
502 Energy Trading Strategy for Heat and Electricity-Coupled Microgrid Based on Cooperative Game
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Abstract: This paper proposes an energy trading framework for a combined heat and power (CHP) microgrid (MG) integrated with a Photovoltaic (PV) generation system. The parties involved in …		 Cheng Zhou; Chang Bao Zheng; Applied Sciences 2022-06-29
503 A Data Science Pipeline for Algorithmic Trading: A Comparative Study of Applications for Finance and Cryptoeconomics
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Highlight: We propose a generally applicable pipeline for designing, programming, and evaluating the algorithmic trading of stock and crypto assets.		 Luyao Zhang; Tianyu Wu; Saad Lahrichi; Carlos-Gustavo Salas-Flores; Jiayi Li; arxiv-cs.HC 2022-06-29
504 Research on Gold and Bitcoin Trading Strategy Based on XGBoost and Zero-one Programming
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Abstract: In the actual trading process, investors can only give the best daily trading strategy based on the past price data of gold and bitcoin, then they need to predict and evaluate the …		 Hao Lin; Yifu He; Mengjie Shi; Other Conferences 2022-06-27
505 Emerging Technologies and The Transformation of Exchange Trading Platforms
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Abstract: The authors examine technology’s current and future influence on trading and the structure of markets. Order processing speeds and new algorithmic tools have driven market volumes …		 A. Novocin; B. Weber; Journal of Portfolio Management 2022-06-27
506 Analysis Of Sharia Economic On Forex Trading Of Financial Broker Succes Traders
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Abstract: There are two issues studied in this thesis: (1) How to Trade Forex on a Financial Broker Succes Trader, (2) How to Analyze Sharia Economic Law on Forex Trading at a Financial …		 Wery Gusmansyah; Ajeng Ibrah ‘Alamm; Wahyu Abdul Jafar; International Journal of Educational Research & Social … 2022-06-25
507 Stock Returns, Trading Volumes and Market Volatility: A Study on The Indian Stock Market
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Abstract: This paper aims at investigating the effect of stock returns on trading volume and the trading volume on volatility. To accomplish the study objective, daily data from 1 April …		 P. K. Naik; Tapas Kumar Sethy; The Indian Economic Journal 2022-06-16
508 Deep Reinforcement Learning Trading Strategy Based on Lstm-a2c Model
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Abstract: Stocks are gaining more and more attention as a form of investment. A good stock trading strategy can help investors gain considerable returns in the rapidly changing stock …		 Nan Zhang; Jingyuan Wang; M. Xiao; Other Conferences 2022-06-15
509 Pengaruh Frekuensi Perdagangan, Volume Perdagangan Dan Kapitalisasi Pasar Terhadap Return Saham Sektor Pertambangan Batu Bara Yang Terdaftar Di BEI
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Abstract: This study aims to analyze the effect of trading frequency, trading volume and market capitalization on stock returns in the Coal Mining sector listed on the Indonesia Stock …		 Yuana Yuana; Juliahir Barata; REVITALISASI 2022-06-13
510 The Complexity of Cryptocurrencies Algorithmic Trading
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Abstract: In this research, we provided an answer to a very important trading question, what is the optimal number of technical tools in order to achieve the best trading results for both …		 Gil Cohen; Mahmoud Qadan; Mathematics 2022-06-12
511 Quantitative Trading Through Random Perturbation Q-Network with Nonlinear Transaction Costs
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Abstract: In recent years, reinforcement learning (RL) has seen increasing applications in the financial industry, especially in quantitative trading and portfolio optimization when the …		 T. Zhu; Wei Zhu; Stats 2022-06-10
512 A Theory of Very Short-time Price Change: Security Price Drivers in Times of High-frequency Trading
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 G. Virgilio; Financial Innovation 2022-06-09
513 High-Frequency Direction Forecasting of The Futures Market Using A Machine-Learning-Based Method
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Abstract: Futures price-movement-direction forecasting has always been a significant and challenging subject in the financial market. In this paper, we propose a combination approach that …		 Shangkun Deng; Yingke Zhu; Xiaoru Huang; Shuangyang Duan; Zhe Fu; Future Internet 2022-06-09
514 Quantitative Stock Investment By Routing Uncertainty-Aware Trading Experts: A Multi-Task Learning Approach
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Abstract: Quantitative investment is a fundamental financial task that highly relies on accurate stock prediction and profitable investment decision making. Despite recent advances in deep …		 Shuo Sun; R. Wang; Bo An; ArXiv 2022-06-07
515 Seeking Sigma: Time-of-the-Day Effects on The Bitcoin Network
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Abstract: This research investigates and tests for the presence of time-of-the-day effects on the Bitcoin network. Results indicate that NYSE trading sessions lead Bitcoin trading activity, …		 Hossein Jahanshahloo; S. Corbet; L. Oxley; SSRN Electronic Journal 2022-06-01
516 A Novel Optimal Profit Resilient Filter Pairs Trading Strategy for Cryptocurrencies
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Abstract: Pairs trading strategies are constructed based on exploiting mean reversion in security prices, which have been demonstrated to perform well for stocks. However, their performance …		 YOU LIANG et. al. 2022 IEEE 46th Annual Computers, Software, and Applications … 2022-06-01
517 Remanufacturing Strategy Choice of A Closed-Loop Supply Chain Network Considering Carbon Emission Trading, Green Innovation, and Green Consumers
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Abstract: Due to increasingly serious environmental pollution problems and governments’ strengthening of environmental impact supervision, manufacturing companies are seeking green …		 Yan Zhou; Xin-Tong Lin; Zhi-Ping Fan; Kar-Hung Wong; International journal of environmental research and public … 2022-06-01
518 Graph-based Algorithm For Self-trading Accounts Detection in Bulk Commodity Trade
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Abstract: Bulk commodity trade is vital for daily life and financial security because it influences prices for commodities that vary from raw materials to daily necessities. In order to …		 Dongliang Guan; Sheng Liu; Yihao Li; Ping Yi; 2022 IEEE 9th International Conference on Cyber Security … 2022-06-01
519 The Effect of Trading Volume, Frequency and Market Capitalization on Stock Return of Chemical Sub Sector
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Abstract: The purpose of this study was to analyze the impact of trading volume, trading frequency, and market capitalization on stock returns of the chemical sub-sector. This study uses …		 Immas Nurhayati; Jurnal Manajemen 2022-06-01
520 Application of Deep Reinforcement Learning in Financial Quantitative Trading
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Abstract: Quantitative trading refers to the use of computer technology and mathematical algorithms to carry out financial transactions. Investors formulate trading strategies based on …		 Lingbo Hao; Ben Wang; Zhouxin Lu; Ke-yong Hu; 2022 4th International Conference on Communications, … 2022-05-27
521 The Countercyclical Long-term Operating Accrual-based Trading Strategy in The Stoxx Europe 600 Index: The Importance of Asset and Liability Components
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Abstract: This work uses long-term operating accruals, rather than current, as an accounting measure to identify major anomalies. Past and abundant accounting and financial literature …		 Alberto Sandoval; Javier Márquez; Ignacio Cervera; PloS one 2022-05-26
522 What (If Anything) Is Wrong with High-Frequency Trading?
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Abstract: This essay examines three potential arguments against high-frequency trading and offers a qualified critique of the practice. In concrete terms, it examines a variant of …		 Carl David Mildenberger; Journal of business ethics : JBE 2022-05-26
523 Predatory Trading: Ethics Judgments, Legality Judgments And investment Intentions
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Abstract: PurposePredatory trading is a stock market trading technique in which certain market participants exploit information about other market participants’ need to trade. Predatory …		 Daphne Sobolev; J. Clunie; Review of Behavioral Finance 2022-05-13
524 Split Feature Space Ensemble Method Using Deep Reinforcement Learning for Algorithmic Trading
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Abstract: In the financial sector, machine learning is a promising tool, which can be utilized in stock trading as well. The aim of the research was to develop and refine deep reinforcement …		 Marcell Németh; G. Szücs; Proceedings of the 2022 8th International Conference on … 2022-05-12
525 Risk Adapting Stock Trading System Associated Technical with Macroeconomic Indicators
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Abstract: Machine learning has emerged as a powerful tool in studying the behavior of stock movement. However, it has yet to be highly accurate due to market randomness. This article aims …		 Qinan Wang; Mobile Information Systems 2022-05-09
526 Double Auction Mechanisms for Peer-to-peer Energy Trading: A Comparative Analysis
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Abstract: Peer-to-Peer (P2P) energy trading, one of the new paradigms driven by decentralization, decarbonization, and digitalization of the smart grid, has become a widespread technique in …		 Sweta Malik; S. Thakur; Maeve Duffy; J. Breslin; 2022 IEEE 7th International Energy Conference (ENERGYCON) 2022-05-09
527 Pairs Trading Under Delayed Cointegration
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Abstract: Continuous-time pairs trading rules are often developed based on the diffusion limit of the first-order vector autoregressive (VAR(1)) cointegration models. Empirical …		 Tingjin Yan; Mei Choi Chiu; H. Y. Wong; Quantitative Finance 2022-05-05
528 Machine Learning and Social Action in Markets: From First- to Second-generation Automated Trading
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Abstract: Machine learning (ML) models are gaining traction in securities trading because of their ability to recognize and predict patterns. This study examines how ML is transforming …		 C. Borch; Bo Hee Min; Economy and Society 2022-05-04
529 Multi-type Data Fusion Framework Based on Deep Reinforcement Learning for Algorithmic Trading
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 Peipei Liu; Yunfeng Zhang; Fangxun Bao; Xunxiang Yao; Caiming Zhang; Appl. Intell. 2022-04-30
530 PASAR MODAL SYARIAH SEBAGAI DAYA TARIK INVESTOR UNTUK MENINGKATKAN KINERJA PASAR MODAL INDONESIA
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Abstract: The number of Islamic stock investors is growing. This demonstrates that public interest in halal investment has increased, despite the fact that the number is still tiny when …		 Vina Anggilia Puspita; Gunardi Gunardi; Image : Jurnal Riset Manajemen 2022-04-30
531 A New Moving Average Approach to Predict The Direction of Stock Movements in Algorithmic Trading
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 Üzeyir Aycel; Yunus Santur; Journal of New Results in Science 2022-04-30
532 The Upper Bound of Cumulative Return of A Trading Series
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Abstract: We present an upper bound of cumulative return in financial trading time series to formulate the most possible profit of many trades. The bound can be used to formally analyze the …		 Can Yang; Junjie Zhai; Helong Li; PloS one 2022-04-28
533 Review of Statistical Approaches for Modeling High-Frequency Trading Data
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 Chiranjit Dutta; Kara Karpman; Sumanta Basu; N. Ravishanker; Sankhya B 2022-04-28
534 Research on Investment Strategies of Stock Market Based on Sentiment Indicators and Deep Reinforcement Learning
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Abstract: With the application of artificial intelligence in the financial field, quantitative trading is considered to be profitable. Based on this, this paper proposes an improved deep …		 Pengcheng Zhou; Jing Tang; Yizhuo Li; Other Conferences 2022-04-22
535 The Profitability of Technical Analysis During The COVID-19 Market Meltdown
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Abstract: This article explores the profitability of technical trading rules around the COVID-19 pandemic market meltdown for the S&P 500 index, Bitcoin, Comex gold spot, crude oil WTI, and …		 Camillo Lento; N. Gradojevic; Journal of Risk and Financial Management 2022-04-20
536 An FPGA-Based High-Frequency Trading System for 10 Gigabit Ethernet with A Latency of 433 Ns
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Abstract: High-frequency trading (HFT) systems require extremely low latency in response to market feeds to make profits. In order to reduce latency, the system is implemented with a 10 …		 Yi-Chieh Kao; Hung-An Chen; Hsi-Pin Ma; 2022 International Symposium on VLSI Design, Automation and … 2022-04-18
537 Legal Protection of Investors from The Corporate Malfeasance of Insider Dealings: A South African-Canadian Comparative Review
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Abstract: Ensuring market discipline, integrity, and transparency with the overall aim of protecting the investing public is critical to the wellness of a capital market and a financial …		 M. Oluyeju; O. Oluyeju; BRICS Law Journal 2022-04-18
538 Trading Strategy Model Based on LSTM Neural Network and Extreme Value-Dynamic Programming
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Abstract: The advantage of a trading strategy is that it can help us identify potential trading opportunities. Traders need to use the best investment strategy to take into account factors …		 Yuming Wan; BCP Business & Management 2022-04-13
539 Mechanism and Algorithm for Stable Trading Matching Between Coal Mining and Power Generation Companies in China
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Abstract: This paper is concerned with stable trading between the coal mining and power generation companies in China. Under the current marketized coal and planned electricity price …		 Ruyi Shi; Zheng Li; Zhenpeng Tang; Di Wang; Applied Sciences 2022-04-13
540 Futures of Europe: The City of London’s Commodity Exchanges, The European Economic Community, and The Global Regulation of Futures Trading (1960s–1980s)
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Abstract: Since the mid-1970s, the U.S. commodity futures exchanges have increasingly been the focus of tight government regulation, which resulted in strong control by a specific agency: …		 Marco Bertilorenzi; Enterprise & Society 2022-04-11
541 Do Economic Crises Cause Trading in Bitcoin?
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Abstract: PurposeThe paper provides new evidence for Bitcoin’s safe-haven property by examining the relationship between currency price, return and Bitcoin trading …		 Jinsha Zhao; Review of Behavioral Finance 2022-04-05
542 Outperforming Algorithmic Trading Reinforcement Learning Systems: A Supervised Approach to The Cryptocurrency Market
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 L. FELIZARDO et. al. Expert Syst. Appl. 2022-04-01
543 Regulation of Algorithmic Trading: Frameworks or Human Supervision and Direct Market Interventions
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Abstract: This paper identifies the regulatory gaps that currently exist in algorithmic trading and provides a framework for machine learning regulation in finance. It compares the …		 Joseph Lee; Lukas Schu; European Business Law Review 2022-04-01
544 Dampak Pandemi Covid-19 Terhadap Pergerakan Pasar Modal Di Indonesia
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Abstract: This study aims to find empirical evidence regarding differences in trading volume, trading frequency, and market capitalization in the movement of the Indonesian capital market …		 Lutfiati Rachmania Zaeni; Doni Putra Utama; Journal of Applied Accounting and Taxation 2022-03-31
545 The Profitability of Bollinger Bands Trading Bitcoin Futures
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Abstract: We explore whether investors would receive excess profits by round-turn trading (hereafter referred to as trading) Bitcoin futures based on Bollinger Bands trading strategy …		 Min-Yuh Day; Yirung Cheng; Paoyu Huang; Yensen Ni; Applied Economics Letters 2022-03-31
546 How Online Discussion Board Activity Affects Stock Trading: The Case of GameStop
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Abstract: In January 2021, the stock price of NASDAQ-listed GameStop Corporation surged more than twenty-fold for no discernible economic reason. Many observers attributed this broadly …		 André Betzer; Jan Philipp Harries; Financial markets and portfolio management 2022-03-30
547 Volatility Forecasting Using Intraday Information with The CARR Models for The China Stock Markets
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Abstract: This study mainly focuses on utilizing the range-based CARR and CARRX models to explore the non-trading effects during the lunch break and overnight periods in volatility changes …		 Chunchou Wu; Wen Xu; Asia-Pacific Journal of Accounting & Economics 2022-03-30
548 An Ensembling Architecture Incorporating Machine Learning Models and Genetic Algorithm Optimization for Forex Trading
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Abstract: Algorithmic trading has become the standard in the financial market. Traditionally, most algorithms have relied on rule-based expert systems which are a set of complex if/then …		 LEONARD KIN YUNG LOH et. al. FinTech 2022-03-27
549 Intelligent Systematic Investment Agent: An Ensemble of Deep Learning and Evolutionary Strategies
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Highlight: Our paper proposes a new approach for developing long-term investment strategies using an ensemble of evolutionary algorithms and a deep learning model by taking a series of short-term purchase decisions.		 Prasang Gupta; Shaz Hoda; Anand Rao; arxiv-cs.AI 2022-03-24
550 Impact of Stock Trading Apps on Indian Millennial Consumer Behavior in The Stock Market
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Abstract: The present study is conducted on the ‘stock trading’ business and how consumers decide to buy and sell in the digital era. Currently, many apps are available on smartphones, such …		 Chinmay Sumant; Vinayak Bhavsar; Binod Kumar Sinha; V. Bhatt; 2022 International Conference on Decision Aid Sciences and … 2022-03-23
551 RETRACTED ARTICLE: Parameter Estimation Method of Option Pricing Model Based on Convolutional Neural Network in High Frequency Financial Trading
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 Wanli He; Ming Guan; Annals of Operations Research 2022-03-22
552 Trading Costs and Trading Quantity at The Berlin Stock Exchange, 1892–1913
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Abstract: We estimate two components of stock market liquidity, namely trading costs and trading volume, for the Berlin Stock Exchange, 1892–1913. Our three trading cost indicators are …		 C. Burhop; S. Gelman; Zeitschrift für Unternehmensgeschichte 2022-03-19
553 Multi-Time Scale Trading Simulation of Source Grid Load Storage Based on Continuous Trading Mechanism for China
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Abstract: The proportion of new energy in power systems is increasing yearly. How to deal with the adverse impact of new energy output uncertainty on its participation in trading from the …		 XUN DOU et. al. Sensors (Basel, Switzerland) 2022-03-18
554 Carbon Emission Trading and Equity Markets in China: How Liquidity Is Impacting Carbon Returns?
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Abstract: This paper aims to investigate the impact of liquidity on the return dynamics between the carbon emission trading market and the stock market in China from 2013 to 2021. In the …		 Junchao Zhang; Wei Han; Economic Research-Ekonomska Istraživanja 2022-03-18
555 Detecting Data-driven Robust Statistical Arbitrage Strategies with Deep Neural Networks
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Highlight: We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets.		 Ariel Neufeld; Julian Sester; Daiying Yin; arxiv-q-fin.CP 2022-03-07
556 Gambling and Online Trading: Emerging Risks of Real-time Stock and Cryptocurrency Trading Platforms
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 A Oksanen; E Mantere; I Vuorinen; I Savolainen; Public health 2022-03-02
557 Development of A Stock Trading System Based on A Neural Network Using Highly Volatile Stock Price Patterns
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Abstract: This paper proposes a pattern-based stock trading system using ANN-based deep learning and utilizing the results to analyze and forecast highly volatile stock price patterns. …		 Jangmin Oh; PeerJ. Computer science 2022-03-02
558 High-frequency Trading, Stock Volatility, and Intraday Crashes
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 Imen Ben Ammar; Slaheddine Hellara; The Quarterly Review of Economics and Finance 2022-03-01
559 Stock Trading Strategies Based on Deep Reinforcement Learning
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Abstract: The purpose of stock market investment is to obtain more profits. In recent years, an increasing number of researchers have tried to implement stock trading based on machine …		 Ya-wei Li; Peipei Liu; Ze Wang; Scientific Programming 2022-03-01
560 Gauging The Effect of Investor Overconfidence on Trading Volume from The Perspective of The Relationship Between Lagged Stock Returns and Current Trading Volume
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 Jiayu Huang; Y. Wang; Y. Fan; Hexuan Li; International Finance 2022-03-01
561 Is There Any Witching in The Cryptocurrency Market?
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Abstract: This paper explores price effects caused by the expiration of derivatives in the cryptocurrency market. Applying different statistical tests (ANOVA, Mann–Whitney, and t-tests) and …		 A. Plastun; Ludmila Khomutenko; Serhii Bashlai; Journal of Risk and Financial Management 2022-02-21
562 Single Stock Trading with Deep Reinforcement Learning: A Comparative Study
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Abstract: In this paper, we apply Deep Reinforcement Learning (DRL) methods to automate the trading of single stock. The A2C, PPO, DDPG, TD3 and SAC deep reinforcement learning models are …		 Jun Ge; Yuanqi Qin; Yaling Li; yanjia Huang; Hao Hu; 2022 14th International Conference on Machine Learning and … 2022-02-18
563 Feedback Trading: A Review of Theory and Empirical Evidence
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Abstract: PurposeThe purpose of this paper is to comprehensively review a large and heterogeneous body of academic literature on investors’ feedback trading, one of the most popular trading …		 F. Economou; K. Gavriilidis; Bartosz Gebka; Vasileios Kallinterakis; Review of Behavioral Finance 2022-02-18
564 Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals
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Highlight: As an application, we solve two algorithmic trading problems in which the agent adopts a constant absolute risk-aversion (CARA) utility function, and where the optimal strategies use signals and past observations of prices to improve their performance.		 Fayçal Drissi; arxiv-q-fin.TR 2022-02-15
565 Research on Emission Reduction Strategies of Building Materials Manufacturers and Real Estate Developers in The Context of Carbon Trading
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Abstract: External carbon trading, free transfer between enterprises and, internal carbon trading are the primary forms of carbon trading between real estate enterprises and building …		 Qingzhen Yao; L. Shao; Frontiers in Environmental Science 2022-02-14
566 Intelligent Optimization Based Multi-Factor Deep Learning Stock Selection Model and Quantitative Trading Strategy
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Abstract: With the rapid development of financial research theory and artificial intelligence technology, quantitative investment has gradually entered people’s attention. Compared with …		 Jujie Wang; Zhenzhen Zhuang; Liu Feng; Mathematics 2022-02-12
567 Financial Vision Based Reinforcement Learning Trading Strategy
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Abstract: Recent advances in artificial intelligence (AI) for quantitative trading have led to its general superhuman performance among notable trading performance results. However, if we …		 Yun-Cheng Tsai; Fu-Min Szu; Jun-Hao Chen; Samuel Yen-Chi Chen; ArXiv 2022-02-03
568 Financial Derivative Price Forecasting and Trading for Multiple Time Horizons with Deep Long Short-Term Memory Networks
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Abstract: Price forecasting and trading in the international crude oil market are important issues for investors in energy finance. In this study, we propose an alternative forecasting …		 Bingru Liu; Qing Zhao; Scientific Programming 2022-02-01
569 A Study on Operation Strategy and Economical Evaluation of Energy Prosumer Considering Power Trading Methods
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Abstract: Recently, the market of energy prosumer has increased as the Korean government is promoting renewable energy policy and 2030 spreading strategy of the new energy industry. The …		 Kyunghwa Kim; Byeong-Gill Han; Jian Shen; Ji-Myung Kim; D. Rho; Journal of the Korea Academia-Industrial cooperation Society 2022-01-31
570 The Influence of Dividend Yield on Sales Volume of Sharia Constituent Shares Jakarta Islamic Index 70
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Abstract: Stock trading is something that is observed and occupied by stock investors, especially retail investors. The large trading volume indicates that the stock is in great demand by …		 Yulianto Chandra; M. Sholihin; Assets : Jurnal Ilmiah Ilmu Akuntansi, Keuangan dan Pajak 2022-01-29
571 Applying Attention-based BiLSTM and Technical Indicators in The Design and Performance Analysis of Stock Trading Strategies
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Abstract: With the development of the Internet, information on the stock market has gradually become transparent, and stock information is easy to obtain. For investors, investment …		 MING-CHE LEE et. al. Neural computing & applications 2022-01-28
572 Performance Analysis of Bollinger Bands and Long Short-Term Memory(LSTM) Models Based Strategies on NIFTY50 Companies
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Abstract: Hedge funds and financial institutions strive to build consistently profitable automated trading strategies which can provide higher returns than stock market index baselines. …		 VARUN SESHU et. al. 2022 12th International Conference on Cloud Computing, Data … 2022-01-27
573 A Blockchain-Based Distributed Computational Resource Trading Strategy for Internet of Things Considering Multiple Preferences
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Highlight: However, there still lack incentive mechanisms to encourage participants to take over tasks from others. To counter this situation, this paper proposes a distributed computational resource trading strategy addressing multiple preferences of IoT users.		 Tonghe Wang; Songpu Ai; Junwei Cao; arxiv-cs.DC 2022-01-24
574 An Advanced Optimization Approach for Long-Short Pairs Trading Strategy Based on Correlation Coefficients and Bollinger Bands
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Abstract: In the financial market, commodity prices change over time, yielding profit opportunities. Various trading strategies have been proposed to yield good earnings. Pairs trading is …		 Chun-Hao Chen; Wei-Hsun Lai; S. Hung; T. Hong; Applied Sciences 2022-01-20
575 Research on The Feasibility of Applying GRU and Attention Mechanism Combined with Technical Indicators in Stock Trading Strategies
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Abstract: The vigorous development of Time Series Neural Network in recent years has brought many potential possibilities to the application of financial technology. This research proposes …		 M. Lee; Applied Sciences 2022-01-19
576 Machine Learning – Algorithmic Trading Strategies for Superior Growth, Outperformance and Competitive Advantage
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 N. Burgess; International Journal of Artificial Intelligence and … 2022-01-18
577 Research on Quantitative Timing Trading Strategy Based on Deep Reinforcement Learning
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Abstract: Quantitative trading is an important research direction in the financial field. With the perfect development of the financial market, the trading strategies that want to obtain …		 Zihan Zhu; 2022 2nd International Conference on Consumer Electronics … 2022-01-14
578 Crypto Asset-Trade Resilience During The Covid-19 Pandemic In Indonesia
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Abstract: Purpose of the study: This research aims to examine the resilience, existence, and security of crypto assets in Indonesia. In fact, bitcoin’s presence results in pros and cons in …		 Vicko Taniady; Salsabiila Puteri Permatasari; Reyka Widia Nugraha; Jurnal Jurisprudence 2022-01-14
579 Effect of Cryptocurrency Trading and Monetary Corrupt Practices on Nigerian Economic Performance
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Abstract: Digital financial trading has brought a new dimension of financial technology transactions to the globe. Cryptocurrency trading is one of the new dimensions. However, …		 S. K. Fakunmoju; O. Banmore; A. Gbadamosi; Olajide Idowu Okunbanjo; Binus Business Review 2022-01-07
580 Deep Reinforcement Learning for Bitcoin Trading
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 Bouchra El Akraoui; C. Daoui; Conference on Business Informatics 2022-01-01
581 Blockchain-Based Fully Peer-to-Peer Energy Trading Strategies for Residential Energy Systems
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Abstract: This paper proposes two novel strategies for determining the bilateral trading preferences of households participating in a fully Peer-to-Peer (P2P) local energy market. The first …		 Tarek AlSkaif; Jose L. Crespo-Vazquez; Milos Sekuloski; Gijs van Leeuwen; João P. S. Catalão; IEEE Transactions on Industrial Informatics 2022-01-01
582 Adversarial Trading
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Abstract: Adversarial samples have drawn a lot of attention from the Machine Learning community in the past few years. An adverse sample is an artificial data point coming from an …		 Alexandre Miot; ArXiv 2022-01-01
583 Spread Movement Prediction for Pairs Trading with High-Frequency Limit Order Data
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Abstract: Pairs trading is a market-neutral trading strategy that is not easily affected by the market trends. By continuously monitoring the spread value between a pair of stocks whose …		 Chiu-Hung Su; Hsu-Chao Lai; Wen-Yueh Shih; Jun-Zhe Wang; Jiun-Long Huang; 2022 IEEE International Conference on Big Data and Smart … 2022-01-01
584 Ethical Use of Algorithms in Times of Uncertainty and Crisis: The Case of High-Frequency Trading
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 Yaara Welcman; SSRN Electronic Journal 2022-01-01
585 The Performativity of Algorithmic Trading: The Epistemology of Flash Crashes
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 Knowledge Cultures 2022-01-01
586 Bi-level Frequency Regulation Resource Trading for Electricity Consumers: A Data-driven Contract Approach
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 Liya Ma; Nian Liu; Haonan Sun; Chenxi Li; Wenxia Liu; International Journal of Electrical Power & Energy Systems 2022-01-01
587 Deep Reinforcement Learning for Automated Stock Trading: Inclusion of Short Selling
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 Eeshaan Asodekar; Arpan Nookala; Sayali Ayre; Anant V. Nimkar; International Syposium on Methodologies for Intelligent … 2022-01-01
588 Transmission Loss-Aware Peer-to-Peer Energy Trading in Networked Microgrids
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Abstract: Networked microgrids (MGs) have a great potential to improve the efficiency, reliability, resilience, security, and sustainability of power supply services. Peer-to-peer (P2P) …		 Hailing Zhu; K. Ouahada; A. Abu-Mahfouz; IEEE Access 2022-01-01
589 The Rise of Machines: Algorithmic Trading and Stock Price Crash Risk
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 Anwer S. Ahmed; Yiwen Li; Andrew S. McMartin; Nina Xu; SSRN Electronic Journal 2022-01-01
590 The Formulation of Stock Trading Strategy Summary
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 Academic Journal of Computing & Information Science 2022-01-01
591 Deep Reinforcement Learning Stock Trading Strategies Combining Trends
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 祁栋 何; Computer Science and Application 2022-01-01
592 Research on Financial Product Price Prediction Based on Grey Prediction and WOA-BP Neural Network
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Abstract: : Quantitative trading is an emerging financial investment strategy. In this paper, based on the historical data prediction-guided trading strategy problem, small-sample …		 Man Jeoi Lau; Shiyi Bai; Kevin Chan; Fang Lin; Academic Journal of Computing & Information Science 2022-01-01
593 New Trading Strategy in Investment: A Study of The Hedge Funds From Emerging and Developed Markets
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 Zhihui Lv; Tsun Se Cheong; D. Chui; W. Wong; SSRN Electronic Journal 2022-01-01
594 A Hybrid Artificial Intelligence Approach to Portfolio Management
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Abstract: The tremendous advances in artificial intelligence over the past decade have led to their increasing use in financial markets. In recent years a large number of investment …		 H. Haddadian; Morteza Baky Haskuee; G. Zomorodian; Iranian Journal of Finance 2022-01-01
595 A Stock Trading Strategy Based on Deep Reinforcement Learning
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 Firdaous Khemlichi; Hiba Chougrad; Youness Idrissi Khamlichi; Abdessamad El Boushaki; Safae El Haj Ben Ali; Advanced Intelligent Systems for Sustainable Development … 2022-01-01
596 A Deep Reinforcement Learning-Based Decision Support System for Automated Stock Market Trading
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Abstract: Presently, the volatile and dynamic aspects of stock prices are significant research challenges for stock markets or any other financial sector to design accurate and profitable …		 YASMEEN ANSARI et. al. IEEE Access 2022-01-01
597 Algorithmic Trading and Directors’ Learning from Stock Prices: Evidence from CEO Turnover Decisions
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 Jaewoo Kim; Jun Oh; Hojun Seo; Luo Zuo; SSRN Electronic Journal 2022-01-01
598 Flexible Decision Support System for Algorithmic Trading: Empirical Application on Crude Oi L Markets
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Abstract: Generating reliable trading signals continues to be a challenging task for financial market professionals. This research designs a novel decision-support system (DSS) for …		 C. Tudor; Robert Sova; IEEE Access 2022-01-01
599 Research on Asset Trading Strategy Based on Forecasting Model and Decision-making Trading Model
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Abstract: : Quantitative investment is becoming more and more popular among traders. Market traders who seek to maximize returns by buying and selling volatile assets focus more on …		 Yingchao Hai; Academic Journal of Computing & Information Science 2022-01-01
600 Exchange Trade Current State and Development Trends
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Abstract: The article is devoted to the investigation of the state and development trends of exchange trading at the current stage. The main aspects characterizing the stock and commodity …		 Halina Mashliy; O. Sorokivska; M. Ziailyk; Socio-Economic Problems and the State 2022-01-01
601 Project Based Learning: An Integrated Approach to Enhance Student’s Competencies in Stock Trading Simulation
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Abstract: This study aims to describe how project-based learning can enhance students’ competencies to learn about stock trading. As students’ competencies in finance, especially in …		 Rayna Kartika; Annisaa Rahman; Proceedings of the 4th International Conference on … 2022-01-01
602 Optimal Liquidation Problem in Illiquid Markets
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 Amirhossein Sadoghi; Jan Vecer; Eur. J. Oper. Res. 2022-01-01
603 Prediction on The Value Trends of Bitcoin and Gold-on Account of ARMA Time Series Forecasting Model
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Abstract: : In this paper, we aimed to build a quantitative investment trading model based on a combination of a multivariate cycle ARMA model and Apriori. We first note that in order to …		 Ronghuan Li; Weijie Chen; Wenhao Xu; Chen Li; Academic Journal of Computing & Information Science 2022-01-01
604 Application of A Switched PIDD Type Control Strategy to The Model-Free Algorithmic Trading
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 V. Azhmyakov; I. Shirokov; L. A. G. Trujillo; IFAC-PapersOnLine 2022-01-01
605 Graph-based Stock Correlation and Prediction for High-frequency Trading Systems
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 TAO YIN et. al. Pattern Recognition 2022-01-01
606 Peer-to-Peer Energy Trading in Smart Energy Communities: A Lyapunov-Based Energy Control and Trading System
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Abstract: This paper studies the real-time energy trading problem in a smart community consisting of a group of grid-connected prosumers with controllable loads, renewable generations and …		 Hailing Zhu; K. Ouahada; A. Abu-Mahfouz; IEEE Access 2022-01-01
607 Network Analysis on Bitcoin Arbitrage Opportunities
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 Rasa Bruzgė; Alfreda Šapkauskienė; The North American Journal of Economics and Finance 2022-01-01
608 Frequent Batch Auctions and Informed Trading
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Abstract: We study liquidity provision by competitive high-frequency trading firms (HFTs) in a dynamic trading model with private information. Liquidity providers face adverse selection …		 Steffen Eibelshäuser; Fabian Smetak; SSRN Electronic Journal 2022-01-01
609 Co-evolutionary Dynamics in A Simulation of Interacting Financial-Market Adaptive Automated Trading System
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 Proceedings of the European Modeling & Simulation … 2022-01-01
610 Auto Uning of Price Prediction Models for High-frequency Trading Via Reinforcement Learning
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 Weipeng Zhang; Ning Zhang; Junchi Yan; Guofu Li; Xiaokang Yang; Pattern Recognit. 2022-01-01
611 How Common Is Insider Trading? Evidence from The Options Market
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Abstract: Option traders are considered among the most informed investors because their trades strongly predict future stock returns. We identify the source of their information edge using …		 Oleg Bondarenko; Dmitriy Muravyev; SSRN Electronic Journal 2022-01-01
612 V2GNet: Robust Blockchain-Based Energy Trading Method and Implementation in Vehicle-to-Grid Network
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Abstract: Nowadays, energy trading policies are revolutionizing the efforts and policies geared toward addressing global carbon emissions and protecting the environment. Smart grids and …		 Yuxiao Liang; Zhishang Wang; Abderazek Ben Abdallah; IEEE Access 2022-01-01
613 Optimal Investment-reinsurance Strategy with Derivatives Trading Under The Joint Interests of An Insurer and A Reinsurer
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Abstract: Considering the common interests of an insurer and a reinsurer, the optimal investment-reinsurance problem with derivatives trading is studied. Suppose that both parties would …		 Xia Zhao; Mengjie Li; Qinrui Si; Electronic Research Archive 2022-01-01
614 Risk And Return Model of Digital Cryptocurrency Asset Investment In Indonesia
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Abstract: Cryptocurrency is an investment commodity that can generate returns and already has a license to be traded in exchange trading through the Indonesian Commodity Futures Trading …		 Rico Nur Ilham; Isfenti Sadalia; Nisrul Irawati; Irada Sinta; Al Qalam: Jurnal Ilmiah Keagamaan dan Kemasyarakatan 2022-01-01
615 Robotics and Algorithmic Trading: A New Era in Stock Market Trend Analysis
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Abstract: This paper uses machine learning to examine how robots and algorithmic trading have transformed stock market trend analysis. The main goals are to assess how these sophisticated …		 Jaya Chandra Srikanth Gummadi; Christopher Ryan Thompson; Narasimha Rao Boinapalli; Rajasekhar Reddy Talla; Deekshith Narsina; Global Disclosure of Economics and Business 2021-12-31
616 Relationship Between Stock Return, Trading Volume, and Trading Price of Agriculture Development Bank
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Abstract: The main objective of the study is to measure the causal relationship between stock return, trading volume, and the trading price of Agriculture Development bank. Descriptive …		 Bashu Neupane; Dipendra Neupane; Pravaha 2021-12-31
617 Influence of Internet Financial Reporting, Website Information Disclosure Rate, Number of Shares Outstanding, and Sales Growth on The Frequency of Stock Trading on Manufacturing Companies on The Indonesia Stock Exchange (2015-2019)
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Abstract: The purpose of this study was to determine the effect of Internet Financial Reporting, Website Information Disclosure Rate, Number of Outstanding Shares, and Sales Growth on the …		 Rivaldi Akbar; D. Syah; Esensi: Jurnal Bisnis dan Manajemen 2021-12-30
618 PENGARUH INTERNET FINANCIAL REPORTING, TINGKAT PENGUNGKAPAN INFORMASI BERBASIS WEBSITE, DAN JUMLAH SAHAM BEREDAR TERHADAP FREKUENSI PERDAGANGAN SAHAM
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Abstract: The objectives of this study are: (1) to prove, test, empirically and analyze the impact of Internet Financial Reporting on Stock Trading Frequency, (2) to prove, test, …		 Meidy Tiara Nur Sausan; Erna Sulistyowati; Behavioral Accounting Journal 2021-12-29
619 HFTViz: Visualization for The Exploration of High Frequency Trading Data
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Abstract: High Frequency Trading (HFT), mainly based on high speed infrastructure, is a significant element of the trading industry. However, trading machines generate enormous quantities …		 Javad Yaali; Vincent Grégoire; Thomas Hurtut; Information Visualization 2021-12-29
620 Automated Algorithmic Trading for Cryptocurrencies
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Abstract: The proposed project work is totally supported and easy yet effective strategy named as Martingale. An automatic system which only requires only some pre-coded instructions to …		 Sarafatema Peerzade; Dnyaneshwar S. Wayal; Gauri Kale; International Journal of Advanced Research in Science, … 2021-12-26
621 Study of Machine Learning Algorithms for Potential Stock Trading Strategy Frameworks
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Abstract: Abstract: Purpose: This paper discusses major stock market trends and provides information on stock market forecasting. Stock market forecasting is essentially an attempt to …		 Aakash Agarwal; International Journal of Financial, Accounting, and … 2021-12-25
622 Research on Trading Strategy of Retail Electricity Market Based on Stackelberg Game Considering Carbon Trading
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Abstract: In this paper, the formation of day-ahead clearing price and trading strategy in the retail electricity market is studied under the pattern of one-leader-multi-follower game with …		 Wei Wang; Boyu Qin; Ning Guo; Xingyue Zhou; Zhe Zhang; 2021 IEEE Sustainable Power and Energy Conference (iSPEC) 2021-12-23
623 Stationarity Analysis of The Stock Market Data and Its Application to Mechanical Trading
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Highlight: This study proposes a scheme for stationarity analysis of stock price fluctuations based on KM$_2$O-Langevin theory.		 Kazuki Kanehira; Norikazu Todoroki; arxiv-q-fin.ST 2021-12-23
624 Analysis of Pre-existing Investment Behavior and Influence of Trading Apps
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Abstract: The last few years have seen a rise in trading apps, and Robinhood is one trading app that has attracted millennials. This paper explores trading apps such as Robinhood and their …		 Anish Guddati; Dhruva Bhat; Journal of Student Research 2021-12-22
625 EvoTrader: Automated Bitcoin Trading Using Neuroevolutionary Algorithms on Technical Analysis and Social Sentiment Data
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Abstract: Due to the rise in popularity of Bitcoin as both a store of wealth and speculative investment, there is an ever-growing demand for automated trading tools to gain an advantage …		 Martin Pellon Consunji; Proceedings of the 2021 4th International Conference on … 2021-12-22
626 Algorithmic Trading and The Limits of Securities Regulation
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Abstract: Since the infamous flash crash of 2010, instances of unexplained high volatility in financial markets, often driven by algorithmic and high-frequency trading, have received …		 C. Gerner-Beuerle; Digital Finance in Europe: Law, Regulation, and Governance 2021-12-20
627 Trading Agent for The Indian Stock Market Scenario Using Actor-Critic Based Reinforcement Learning
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Abstract: Financial trading is about buying, holding, and selling securities in the hope of making a profit. Automation is a trending area in the engineering domain that can help maximize …		 M. Vishal; Yatin Satija; B. Babu; 2021 IEEE International Conference on Computation System … 2021-12-16
628 Do Candlestick Patterns Work in Cryptocurrency Trading?
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Abstract: This paper investigates the effectiveness of candlestick patterns in cryptocurrency trading. Our data set includes historical daily opening, high, low, and closing prices of the …		 Kin-Hon Ho; Tse-Tin Chan; Haoyuan Pan; Chin Li; 2021 IEEE International Conference on Big Data (Big Data) 2021-12-15
629 Peer-to-Peer Energy Trading in A Micro-grid Using Internet of Things and Blockchain
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Abstract: With advancements in renewable energy techno­logies, consumers are becoming prosumers, and renewable energy resources are being used in distributed networks. In an isolated …		 Mirza Jabbar Aziz Baig; M. Iqbal; M. Jamil; Jahangir Khan; Electronics ETF 2021-12-15
630 An Experimental Economic Study of Loss Aversion in Stock Trading Decisions
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Abstract: The disposition effect is a form of behavioral bias that tends to result in investors holding on to their losing stocks for too long and selling winning stocks too soon. It can be …		 Thanchanok Aramrueng; Peera Tangtammaruk; Humanities and Social Sciences Letters 2021-12-14
631 Do Emotions Benefit Investment Decisions? Anticipatory Emotion and Investment Decisions in Non-professional Investors
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Abstract: Increasing financial trading performance is big business. A lingering question within academia and industry concerns whether emotions improve or degrade trading performance. In …		 Neal S Hinvest; Muhamed Alsharman; Margot Roell; Richard Fairchild; Frontiers in psychology 2021-12-09
632 Is It Possible to Earn Abnormal Return in An Inefficient Market? An Approach Based on Machine Learning in Stock Trading
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Abstract: Risk management and stock investment decision-making is an essential topic for investors and fund managers, especially in the context of the COVID-19 pandemic. The problem becomes …		 Bui Thanh Khoa; Tran Trong Huynh; Computational intelligence and neuroscience 2021-12-08
633 QuantNet: Transferring Learning Across Trading Strategies
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Abstract: Systematic financial trading strategies account for over 80% of trade volume in equities and a large chunk of the foreign exchange market. In spite of the availability of data …		 A. Koshiyama; Stefano B. Blumberg; Nikan B. Firoozye; P. Treleaven; Sebastian Flennerhag; Quantitative Finance 2021-12-03
634 Stock Trading System Based on Machine Learning and Kelly Criterion in Internet of Things
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Abstract: The evolution of the Internet of Things (IoT) has promoted the prevalence of the financial industry as a variety of stock prediction models have been able to accurately predict …		 Lili Chen; Lingyun Sun; Chien‐Ming Chen; Mu-En Wu; J. Wu; Wireless Communications and Mobile Computing 2021-12-03
635 A Ratiocinative Concept of Algorithmic Trading Using MACD Indicator
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Abstract: Algorithmic trading, otherwise known as black-box trading or plain machine-driven trading, can be referred as computing machine for making different trading-orders, using specific …		 Parthkumar Kanani; Jenish Karasariya; Narendra Zadafiya; Amit Nayak; 2021 5th International Conference on Electronics, … 2021-12-02
636 TradeBot: Bandit Learning for Hyper-parameters Optimization of High Frequency Trading Strategy
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 Weipeng Zhang; Lu Wang; Liang Xie; Ke Feng; Xiang Liu; Pattern Recognit. 2021-12-01
637 The Commodity Futures’ Historical Basis in Trading Strategy and Portfolio Investment
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 Y. Pu; Baochen Yang; Energy Economics 2021-12-01
638 High-frequency Trading and Market Quality: The Case of A “slightly Exposed” Market
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 Cumhur Ekinci; Oguz Ersan; International Review of Financial Analysis 2021-12-01
639 Economic Uncertainty and National Bitcoin Trading Activity
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 J. Wüstenfeld; Teo Geldner; The North American Journal of Economics and Finance 2021-12-01
640 Research on Short Term Stock Selection Strategy Based on Machine Learning
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Abstract: Based on theoretical analysis, this paper constructs a short-term stock selection strategy based on machine learning. The sample set is constructed based on the closing price …		 Yanzheng Ren; 2021 3rd International Conference on Machine Learning, Big … 2021-12-01
641 The Effect of The Supply Chain Finance on Trading Enterprises and The Promotion of Financial Information System
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Abstract: COVID-19 has a significant impact on the global supply chain, and enterprises involved in international trade may face more uncertainties. Financing constraints restrict the …		 Shuqi Yao; Jun Chen; Xiao Luo; 2021 2nd International Conference on Electronics, … 2021-12-01
642 A Novel Trading Strategy Framework Based on Reinforcement Deep Learning for Financial Market Predictions
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Abstract: The prediction of stocks is complicated by the dynamic, complex, and chaotic environment of the stock market. Investors put their money into the financial market, hoping to …		 Li-Chen Cheng; Yu-Hsiang Huang; Ming-Hua Hsieh; Mu-En Wu; Mathematics 2021-11-30
643 Evolutionary Deep Reinforcement Learning Environment: Transfer Learning-Based Genetic Algorithm
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Abstract: Stock markets trading has risen as a critical challenge for artificial intelligence research. Such environments require artificial agents to coordinate and transfer their best …		 Badr Hirchoua; Imadeddine Mountasser; B. Ouhbi; B. Frikh; The 23rd International Conference on Information … 2021-11-29
644 A Reinforcement Learning Approach for The Continuous Electricity Market of Germany: Trading from The Perspective of A Wind Park Operator
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Highlight: In this work, we propose a novel autonomous trading approach based on Deep Reinforcement Learning (DRL) algorithms as a possible solution.		 Malte Lehna; Björn Hoppmann; René Heinrich; Christoph Scholz; arxiv-cs.LG 2021-11-26
645 Modification of Long-term Volatility Trading Methods Based on A Delta-neutral Strategy
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Abstract: Delta-neutral trading strategies for trading volatility allow you to make a profit regardless of the direction of change in the price of the underlying asset. Despite their …		 A. Plotnikov; Victor P. Glazkov; R. A. Shishlov; Vestnik of Samara University. Economics and Management 2021-11-25
646 Reinforcement Learning for Options Trading
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Abstract: Reinforcement learning has been applied to various types of financial assets trading, such as stocks, futures, and cryptocurrencies. Options, as a novel kind of derivative, have …		 Wen Wen; Yuyu Yuan; Jincui Yang; Applied Sciences 2021-11-25
647 ANALISIS LIKUIDITAS SAHAM PADA PERUSAHAAN YANG MELAKUKAN STOCK SPLIT: PENGUJIAN TERHADAP TRADING RANGE THEORY PADA BURSA EFEK INDONESIA (Studi Pada Perusahaan Yang Melakukan Stock Split Tahun 2017-2019)
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Abstract: This study aims to determine whether there is empirical evidence of stock split events in accordance with trading range theory or not. The empirical study was conducted on 28 …		 Abdul Hafiz Tanjung; Sihabudin Ali; Jurnal Ilmu Manajemen dan Akuntansi Terapan (JIMAT) 2021-11-23
648 COVID-19 and Market Structure Dynamics
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 Justin Cox; Donovan Woods; Journal of banking & finance 2021-11-19
649 Decentralized P2P Electricity Trading Model for Thailand
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Abstract: Thailand’s power system has been facing an energy transition due to the increasing amount of Renewable Energy (RE) integration, prosumers with self-consumption, and …		 Anchisa Pinyo; Athikom Bangviwat; Christoph Menke; Antonello Monti; Sensors (Basel, Switzerland) 2021-11-08
650 USE OF TRADING TO INCREASE PROFITABILITY OF SECURITIES PORTFOLIO IN INVESTMENT FUNDS
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Abstract: Abstract. It is determined that in investment processes, each percentage of returns is important. The hypothesis was considered that active management of the stock portfolio …		 І. Morhachov; L. Kostyrko; Е. Chernodubova; А. Martynov; М. Plietnov; Financial and credit activity: problems of theory and … 2021-11-08
651 Optimal Pairs Trading with Time-Varying Volatility
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Highlight: We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type.		 T. N. Li; A. Tourin; arxiv-math.OC 2021-11-04
652 Learning FX Trading Strategies with FQI and Persistent Actions
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Abstract: Automated Trading Systems are constantly increasing their impact on financial markets, but learning from historical data, detecting interesting patterns and producing profitable …		 ANTONIO RIVA et. al. Proceedings of the Second ACM International Conference on … 2021-11-03
653 Exploration of Algorithmic Trading Strategies for The Bitcoin Market
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Highlight: Building on previous work, in this paper, we utilise both features internal to the Bitcoin network and external features to inform the prediction of various machine learning models.		 Nathan Crone; Eoin Brophy; Tomas Ward; arxiv-cs.LG 2021-10-28
654 Trading Via Selective Classification
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Highlight: For ternary classification, in addition to classes for the price going up or down, we include a third class that corresponds to relatively small price moves in either direction, and gives the classifier another way to avoid making a directional prediction.		 Nestoras Chalkidis; Rahul Savani; arxiv-q-fin.TR 2021-10-28
655 Trading Strategy on Market Stock By Analyzing Candlestick Pattern Using Artificial Neural Network (ANN) Method
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Abstract: Technical analysis plays an important role in a stock market. Traders using technical analysis to find the trading strategy on the market stock. There are some technical …		 Ni Putu Winda Ardiyanti; Irma Palupi; Indwiarti Indwiarti; JURNAL MEDIA INFORMATIKA BUDIDARMA 2021-10-26
656 Trading Strategy in A Local Energy Market, A Deep Reinforcement Learning Approach
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Abstract: In response to energy transition fueled by the increasing energy generation mix and dynamic environment, this paper presents an energy trading strategy utilising real microgrid …		 Olamide Jogunola; Yakubu Tsado; B. Adebisi; R. Nawaz; 2021 IEEE Electrical Power and Energy Conference (EPEC) 2021-10-22
657 Optimal Trading: A Model Predictive Control Approach
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Highlight: We develop a dynamic trading strategy in the Linear Quadratic Regulator (LQR) framework.		 Simon Clinet; Jean-François Perreton; Serge Reydellet; arxiv-math.ST 2021-10-21
658 Learning to Arbitrage Congestion in Electricity Market with Virtual Bids
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Abstract: In this paper, we introduce a machine learning-based risk-constrained portfolio optimization framework to arbitrage congestion with virtual bids in wholesale electricity markets. …		 Yinglun Li; N. Yu; 2021 IEEE PES Innovative Smart Grid Technologies Europe … 2021-10-18
659 Cryptocurrency Market: Choice of Technical Indicators in Trading Strategies of Individual Investors
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Abstract: Technical analysis is a popular tool for assessing financial assets. It has fairly well-established tools, namely indicators. In addition, modern financial market has expanded due …		 Igor Lyukevich; I. Gorbatenko; E. Bessonova; Proceedings of the 3rd International Scientific Conference … 2021-10-14
660 An Automated Portfolio Trading System with Feature Preprocessing and Recurrent Reinforcement Learning
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Highlight: We propose a novel portfolio trading system, which contains a feature preprocessing module and a trading module.		 Lin Li; arxiv-q-fin.TR 2021-10-11
661 Blockchain-based Carbon Trading Mechanism to Elevate Governance and Smartness
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Abstract: Climate change has negative effects on life on earth as well as the environment and economy. Harmful greenhouse gases, especially CO2, emitted from industrial processes executed …		 Alia Al Sadawi; M. Ndiaye; Proceedings of the 14th International Conference on Theory … 2021-10-06
662 Systemic Failures and Organizational Risk Management in Algorithmic Trading: Normal Accidents and High Reliability in Financial Markets
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Abstract: This article examines algorithmic trading and some key failures and risks associated with it, including so-called algorithmic ‘flash crashes’. Drawing on documentary sources, 189 …		 Bo Hee Min; Christian Borch; Social studies of science 2021-10-06
663 The Stock Market As A Casino: Associations Between Stock Market Trading Frequency and Problem Gambling
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Abstract: Personal investors decrease their stock market investment returns by trading frequently, which the behavioral finance literature has primarily explained via investors’ …		 Moritz Mosenhauer; Philip W S Newall; Lukasz Walasek; Journal of behavioral addictions 2021-09-28
664 Towards Private On-Chain Algorithmic Trading
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Highlight: In this paper we present ChainBot, an approach for creating algorithmic trading bots with the help of blockchain technology.		 Ceren Kocaoğullar; Arthur Gervais; Benjamin Livshits; arxiv-cs.CR 2021-09-23
665 A Simple Reinforcement Learning Algorithm for Stock Trading
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Abstract: In recent years, the use of machine learning techniques in financial markets, particularly in stock trading, has garnered considerable attention from both academia and …		 P. Fiorini; Pierce-Gabriel Fiorini; 2021 11th IEEE International Conference on Intelligent Data … 2021-09-22
666 Exploring Coevolutionary Dynamics of Competitive Arms-Races Between Infinitely Diverse Heterogenous Adaptive Automated Trader-Agents
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Highlight: Here we present first results from two independent sets of experiments, where we use minimal-intelligence trading-agents but in which the space of possible strategies is continuous and hence infinite.		 Nik Alexandrov; Dave Cliff; Charlie Figuero; arxiv-cs.CE 2021-09-21
667 Financial Trading with Feature Preprocessing and Recurrent Reinforcement Learning
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Highlight: This paper proposes to trade financial assets automatically using feature preprocessing skills and Recurrent Reinforcement Learning (RRL) algorithm.		 Lin Li; arxiv-q-fin.TR 2021-09-11
668 Big Data Analysis with Momentum Strategy on Data-driven Trading
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Abstract: Data-driven trading approaches have become more widespread in quantitative hedge funds due to the availability of large amount of financial data and the popularization of …		 Xiangyu Gao; Meikang Qiu; Zhen He; 2021 IEEE Intl Conf on Parallel & Distributed Processing … 2021-09-01
669 INVESTORS’ LEGAL PROTECTION AGAINST INSIDER TRADING IN CAPITAL MARKET IN INDONESIA
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Abstract: This study aimed to assess insider trading on a trading buying and selling shares in the capital market. Besides, it also evaluated investors’ legal protection against insider …		 Dewi Asttuty Mochtar; Dewi Rahayu; Journal of Southwest Jiaotong University 2021-08-30
670 Structural Break-aware Pairs Trading Strategy Using Deep Reinforcement Learning
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Abstract: is an effective statistical arbitrage strategy considering the spread of paired stocks in a stable cointegration relationship. Nevertheless, rapid market changes may break the …		 JING-YOU LU et. al. The Journal of supercomputing 2021-08-17
671 Multi-Agent Reinforcement Learning for Automated Peer-to-Peer Energy Trading in Double-Side Auction Market
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Highlight: For this reason, in this paper we model this task as a multi-agent reinforcement learning (MARL) problem and propose an algorithm called DA-MADDPG that is modified based on MADDPG by abstracting the other agents’ observations and actions through the DA market public information for each agent’s critic.		 Dawei Qiu; Jianhong Wang; Junkai Wang; Goran Strbac; ijcai 2021-08-13
672 Τ-Access Policy: Attribute-based Encryption Scheme for Social Network Based Data Trading
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Abstract: The rapid development of social technology has replaced physical interaction in the trading market. The implication of this technology is to provide access to the right …		 Shamsher Ullah; Lan Zhang; Muhammad Wasif Sardar; M. T. Hussain; China Communications 2021-08-01
673 How Can Carbon Trading Price Distortion Be Corrected? An Empirical Study from China’s Carbon Trading Pilot Markets
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Abstract: The essence of carbon trading is to optimize the allocation of factor resources by using price leverage. However, the effect of the carbon trading market might be seriously …		 Liangpeng Wu; Environmental science and pollution research international 2021-07-31
674 Gambling-Like Day Trading During The COVID-19 Pandemic – Need for Research on A Pandemic-Related Risk of Indebtedness and Mental Health Impact
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Abstract: Stock exchange trading increasingly has been highlighted as a possible cause of gambling disorder, typically in rapid and excessive day trading which may cause over-indebtedness …		 Anders Håkansson; Fernando Fernández-Aranda; Susana Jiménez-Murcia; Frontiers in psychiatry 2021-07-26
675 Gambling-Like Day Trading During The COVID-19 Pandemic – Need for Research on A Pandemic-Related Risk of Indebtedness and Mental Health Impact
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Abstract: Stock exchange trading increasingly has been highlighted as a possible cause of gambling disorder, typically in rapid and excessive “day trading” which may cause over-indebtedness …		 A. Håkansson; F. Fernández-Aranda; S. Jiménez-Murcia; Frontiers in Psychiatry 2021-07-26
676 Pengaruh Frekuensi Perdagangan, Volume Perdagangan, & Kapitalisasi Pasar Terhadap Return Saham Pada Sektor Pariwisata Yang Terdaftar Di BEI
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Abstract: Purpose, – This study aims to determine how much influence the trading frequency, trading volume, and market capitalization either partially or simultaneously on stock returns in …		 Kristina Maysie; Jurnal Manajemen Sains dan Organisasi 2021-07-14
677 Impact of The Implementation of Carbon Emission Trading on Corporate Financial Performance: Evidence from Listed Companies in China
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Abstract: With the development of ecological paradigm coupled with the relentless implementation of myriad environmental policies in China, the rapid development of carbon emission trading …		 Meijuan Liu; Chang Zhou; Feifei Lu; Xiaohan Hu; PloS one 2021-07-01
678 High‐frequency Trading: Definition, Implications, and Controversies
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 Khairul Zharif Zaharudin; M. Young; Wei‐Huei Hsu; Journal of Economic Surveys 2021-06-21
679 Cryptocurrency Trading, Gambling and Problem Gambling
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 Paul Delfabbro; Daniel King; Jennifer Williams; Neophytos Georgiou; Addictive behaviors 2021-06-16
680 Deep Reinforcement Learning on A Multi-asset Environment for Trading
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Highlight: Our results in this study are preliminary and need further improvement.		 Ali Hirsa; Joerg Osterrieder; Branka Hadji-Misheva; Jan-Alexander Posth; arxiv-q-fin.TR 2021-06-15
681 RCURRENCY: Live Digital Asset Trading Using A Recurrent Neural Network-based Forecasting System
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Highlight: In this paper, we present RCURRENCY, an RNN-based trading engine to predict data in the highly volatile digital asset market which is able to successfully manage an asset portfolio in a live environment.		 Yapeng Jasper Hu; Ralph van Gurp; Ashay Somai; Hugo Kooijman; Jan S. Rellermeyer; arxiv-cs.AI 2021-06-13
682 Factors Affecting China’s Carbon Trading Price—A Case Study Based on Tianjin Carbon Emissions Trading Market
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Abstract: Building a carbon emission trading market is an effective way to control carbon emissions. The carbon emission trading price is the key to the carbon trading market, and it will …		 Yuwei Du; Songsheng Chen; 2021-06-03
683 Deep Reinforcement Learning in Quantitative Algorithmic Trading: A Review
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Highlight: We can look at the stock market historical price series and movements as a complex imperfect information environment in which we try to maximize return – profit and minimize risk.		 Tidor-Vlad Pricope; arxiv-cs.LG 2021-05-31
684 Learning About Latent Dynamic Trading Demand
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Highlight: This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact.		 Xiao Chen; Jin Hyuk Choi; Kasper Larsen; Duane J. Seppi; arxiv-q-fin.TR 2021-05-27
685 The Impact of Margin Trading on Stock Volatility: Based from 2014 to 2016 Shanghai and Shenzhen 300 Index
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Abstract: The paper study the impact of margin trading on the volatility of the stock market, We selected 469 observation values among the daily Shanghai and Shenzhen 300 index from May …		 Chuanyang Gong; The International Journal of Business and Management 2021-05-27
686 Quantitative Day Trading from Natural Language Using Reinforcement Learning
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Highlight: Building on these shortcomings, we propose a deep reinforcement learning approach that makes time-aware decisions to trade stocks while optimizing profit using textual data.		 Ramit Sawhney; Arnav Wadhwa; Shivam Agarwal; Rajiv Ratn Shah; naacl 2021-05-23
687 A Parallel-network Continuous Quantitative Trading Model with GARCH and PPO
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Highlight: Thus, we propose a parallel-network continuous quantitative trading model with GARCH and PPO to enrich the basical deep reinforcement learning model, where the deep learning parallel network layers deal with 3 different frequencies data (including GARCH information) and proximal policy optimization (PPO) algorithm interacts actions and rewards with stock trading environment.		 Zhishun Wang; Wei Lu; Kaixin Zhang; Tianhao Li; Zixi Zhao; arxiv-q-fin.TR 2021-05-08
688 High‐Frequency Trading and Financial Time‐Series Prediction with Spiking Neural Networks
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Abstract: his article presents a powerful and innovative approach to using spiking neural networks for financial time-series prediction. The novelty of our approach, which we call …		 Kang Gao; Wayne Luk; Stephen Weston; Wilmott 2021-05-01
689 Deep Reinforcement Trading with Predictable Returns
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Highlight: Modern deep reinforcement learning (DRL) offers a framework for optimizing sequential trader decisions but lacks theoretical guarantees of convergence.		 Alessio Brini; Daniele Tantari; arxiv-q-fin.PM 2021-04-29
690 Quantum Quantitative Trading: High-Frequency Statistical Arbitrage Algorithm
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Highlight: We propose quantum algorithms for high-frequency statistical arbitrage trading in this work by utilizing variable time condition number estimation and quantum linear regression.The algorithm complexity has been reduced from the classical benchmark O(N^2d) to O(sqrt(d)(kappa)^2(log(1/epsilon))^2 )).		 Xi-Ning Zhuang; Zhao-Yun Chen; Yu-Chun Wu; Guo-Ping Guo; arxiv-quant-ph 2021-04-29
691 Quantum Computational Quantitative Trading: High-frequency Statistical Arbitrage Algorithm
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Abstract: Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet. We …		 Xi-Ning Zhuang; Zhao-Yun Chen; Yuchun Wu; G. Guo; New Journal of Physics 2021-04-29
692 Information Transmission Between China’s IH and SGX FTSE A50 Stock Index Futures Markets: The Role of Trading Restrictions
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Abstract: After China’s stock market crash in 2015, the Chinese government imposed a series of trading restrictions on the stock index futures market. This paper examines how the relative …		 T. Wen; Ping Li; Yunbi An; Emerging Markets Finance and Trade 2021-04-28
693 High-frequency Trading – Regulatory and Supervisory Challenges in The Pursuit of Orderly Markets 1
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 T. Myklebust; 2021-04-02
694 A Distributed Integrated Energy Trading Solution
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Abstract: Blockchain technology can bring profound changes to the energy industry and is now becoming a new driving force for the rapid development of this sector. In order to build a …		 Jingya Dong; Chunhe Song; Zeyu Zheng; Tao Zhang; 2021 International Conference on Computer, Blockchain and … 2021-04-01
695 Machine Earning – Algorithmic Trading Strategies for Superior Growth, Outperformance and Competitive Advantage
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Abstract: In this paper we use the tools and frameworks from Oxford University’s postgraduate diploma in financial strategy to study the performance and benefits of algorithmic trading …		 N. Burgess; Chicago Booth: Becker Center on Chicago Price Theory 2021-03-29
696 A Comparative Evaluation of Predominant Deep Learning Quantified Stock Trading Strategies
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Abstract: This study first reconstructs three deep learning powered stock trading models and their associated strategies that are representative of distinct approaches to the problem and …		 Haohan Zhang; arxiv-q-fin.TR 2021-03-28
697 Intraday Trading Strategy Based on Time Series and Machine Learning for Chinese Stock Market
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Highlight: This article comes up with an intraday trading strategy under T+1 using Markowitz optimization and Multilayer Perceptron (MLP) with published stock data obtained from the Shenzhen Stock Exchange and Shanghai Stock Exchange.		 Q. Wang; Y. Zhou; J. Shen; arxiv-q-fin.TR 2021-03-24
698 The Impact of Securities Margin Trading on The Stock Market Volatility and Liquidity —— Based on The Empirical Results of Shanghai and Shenzhen Markets
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Abstract: Securities margin trading is a momentous financial innovation in China’s capital market, since formally carried out in March 2010. The intention of this policy is to enhance the …		 Li-ru Bai; Yiming Li; Proceedings of the 6th International Conference on … 2021-03-22
699 Diversity-driven Knowledge Distillation for Financial Trading Using Deep Reinforcement Learning
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 Avraam Tsantekidis; Nikolaos Passalis; Anastasios Tefas; Neural networks : the official journal of the International … 2021-03-17
700 Trading Signals In VIX Futures
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Highlight: We propose a new approach for trading VIX futures.		 M. Avellaneda; T. N. Li; A. Papanicolaou; G. Wang; arxiv-q-fin.CP 2021-03-02
701 Do Put Warrants Unwind Short‐sale Restrictions? Further Evidence from The Taiwan Stock Exchange
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Abstract: This study investigates the relationship between stock short‐selling restrictions and bearish equity warrants on the Taiwan Stock Exchange to clarify the substitutive role of put …		 Yi‐Wei Chuang; Wei‐Che Tsai; P. Weng; Chi Yin; Journal of Futures Markets 2021-03-01
702 Time Matters: Exploring The Effects of Urgency and Reaction Speed in Automated Traders
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Highlight: We consider issues of time in automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching.		 Henry Hanifan; Ben Watson; John Cartlidge; Dave Cliff; arxiv-cs.MA 2021-02-28
703 Two Robust Long Short-term Memory Frameworks for Trading Stocks
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Abstract: This paper aims to find a superior strategy for the daily trading on a portfolio of stocks for which traditional trading strategies perform poorly due to the low frequency of new …		 Dušan Fister; Matjaž Perc; Timotej Jagrič; Applied intelligence (Dordrecht, Netherlands) 2021-02-27
704 Enhancing Efficacy of Water Quality Trading with Automation: A Case Study in Virginia’s Nutrient Trading Program
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Abstract: The complexity of water quality trading (WQT) policy can lead to the promulgation of regulations that are challenging to comply with and to enforce. As a result, transaction costs …		 Linnea Saby; J. Goodall; L. Band; Benjamin D. Bowes; M. Fults; JAWRA Journal of the American Water Resources Association 2021-02-10
705 Commission Fee Is Not Enough: A Hierarchical Reinforced Framework for Portfolio Management
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Highlight: To address these issues, we propose a hierarchical reinforced stock trading system for portfolio management (HRPM).		 Rundong Wang; Hongxin Wei; Bo An; Zhouyan Feng; Jun Yao; aaai 2021-02-09
706 Universal Trading for Order Execution with Oracle Policy Distillation
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Highlight: In this paper, we propose a novel universal trading policy optimization framework to bridge the gap between the noisy yet imperfect market states and the optimal action sequences for order execution.		 YUCHEN FANG et. al. aaai 2021-02-09
707 Bertram’s Pairs Trading Strategy with Bounded Risk
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 Vladim’ir Hol’y; M. Černý; Central European Journal of Operations Research 2021-02-08
708 Bertram’s Pairs Trading Strategy with Bounded Risk
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Highlight: This model is generalized to the form where the riskiness of profit, measured by its per-time-unit volatility, is controlled (e.g. in case of existence of limits on riskiness of trading strategies imposed by regulatory bodies).		 Vladimír Holý; Michal Černý; arxiv-q-fin.MF 2021-02-08
709 Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin
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Abstract: Cryptocurrencies such as Bitcoin (BTC) have seen a surge in value in the recent past and appeared as a useful investment opportunity for traders. However, their short term …		 Iftikhar Ahmad; Muhammad Ovais Ahmad; Mohammed A Alqarni; Abdulwahab Ali Almazroi; Muhammad Imran Khan Khalil; PeerJ. Computer science 2021-02-03
710 Does Trading Activity of China’s A-Share Improve After The Inclusion of China’s A-Share in The MSCI Index?
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Abstract: This paper mainly studies whether the inclusion of China’s A-shares in the MSCI (Morgan Stanley Capital International) index improved the trading activity. Taking all China’s …		 H. Deng; Journal of Service Science and Management 2021-01-21
711 Nine Challenges in Modern Algorithmic Trading and Controls
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Highlight: In this inaugural article, we discuss nine major challenges that contemporary Algo trading faces.		 Jackie Shen; arxiv-q-fin.TR 2021-01-21
712 Deep Reinforcement Learning for Active High Frequency Trading
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Highlight: We introduce the first end-to-end Deep Reinforcement Learning (DRL) based framework for active high frequency trading in the stock market.		 Antonio Briola; Jeremy Turiel; Riccardo Marcaccioli; Alvaro Cauderan; Tomaso Aste; arxiv-cs.LG 2021-01-18
713 Is It A Great Autonomous FX Trading Strategy or You Are Just Fooling Yourself
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Highlight: In this paper, we propose a method for evaluating autonomous trading strategies that provides realistic expectations, regarding the strategy’s long-term performance.		 Murilo Sibrao Bernardini; Paulo Andre Lima de Castro; arxiv-cs.SE 2021-01-15
714 Optimal Statistical Arbitrage Trading of Berkshire Hathaway Stock and Its Replicating Portfolio
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Abstract: In this paper, we make use of the replicating asset for statistical arbitrage trading, where the replicating asset is constructed by a portfolio that mimics the returns from a …		 An-Sing Chen; Che-Ming Yang; PloS one 2021-01-15
715 Herding and Feedback Trading in Cryptocurrency Markets
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Abstract: This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, …		 Timothy King; Dimitrios Koutmos; Annals of operations research 2021-01-13
716 MODEL PENERAPAN APLIKASI “VIRTUAL TRADING” DALAM MENINGKATKAN MINAT INVESTASI MAHASISWA SEBAGAI INVESTOR PEMULA
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Abstract: The purpose of this research is to find out and analyze the ease of shares investing in the capital market through implementation of virtual trading application (simulation …		 A. Makkulau; Rusdiaman Rauf; 2021-01-09
717 Forecasting and Trading Cryptocurrencies with Machine Learning Under Changing Market Conditions
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Abstract: This study examines the predictability of three major cryptocurrencies-bitcoin, ethereum, and litecoin-and the profitability of trading strategies devised upon machine learning …		 Helder Sebastião; Pedro Godinho; Financial innovation 2021-01-06
718 Decision Making Process of Stock Trading Implementing DRQN And ARIMA
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Abstract: The approach to collect realistic trading signals throughout the transaction process to broaden advantages is a long-studied issue. The rapid expansion and dynamic character on …		 Monirul Islam Pavel; Dewan Ahmed Muhtasim; Omar Faruk; 2021 IEEE Madras Section Conference (MASCON) 2021-01-01
719 Pairs Trading Strategy for A and H Shares Based on Kalman-HMM Approach
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Abstract: Pairs trading is a statistical arbitrage strategy that takes advantage of unbalanced financial markets. A common difficulty for quantitative trading participants is the detection …		 Ming Zang; Proceedings of Business and Economic Studies 2021-01-01
720 Algorithmic Trading and Efficiency of The Stock Market in Poland
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Abstract: The aim of the article is to investigate the impact of algorithmic trading on the returns obtained in the context of market efficiency theory. The research hypothesis is that …		 Rafał Jóźwicki; Paweł Trippner; Karolina Kłos; 2021-01-01
721 Perlindungan Hukum Pemegang Saham Minoritas Terhadap Implikasi Praktik Insider Trading Dalam Perdagangan Saham Di Pasar Modal
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Abstract: The capital market is a means provided in order to find sources of financing and as a means of investment that involves all potential public funds, both those available …		 Elza Syarief; Junaidi Junaidi; Journal of law and policy 2021-01-01
722 Application of Bi-Directional Grid Constrained Stochastic Processes to Algorithmic Trading
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Abstract: Bi-directional Grid Constrained (BGC) Stochastic Processes (BGCSP) become more constrained the further they drift away from the origin or time axis are examined here. As they …		 Aldo Taranto; Shahjahan Khan; Journal of Mathematics and Statistics 2021-01-01
723 Pairs Trading Via Unsupervised Learning
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Abstract: This paper develops a pairs trading strategy via unsupervised learning. Unlike conventional pairs trading strategies that identify pairs based on return time series, we identify …		 Chulwoo Han; Zhaodong He; Alenson Jun Wei Toh; DecisionSciRN: Investment Decision-Making (Topic) 2021-01-01
724 The Determinants of Online Stock Investment in Malaysia: A Case in Early Phase of COVID-19 Pandemic
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Abstract: The purpose of this research is to determine the factors that affect the behavioral intention of Malaysians individuals to adopt online stock trading. The primary data is …		 Tan Yong-Da; Melissa Teoh Teng-Tenk; Lee Teck-Heang; South Asian Journal of Social Studies and Economics 2021-01-01
725 Pairs Trading with General State Space Models
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Abstract: This study examines pairs trading using a general state space model framework. It models the spread between the prices of two assets as an unobservable state variable assuming …		 Guang Zhang; Quantitative Finance 2021-01-01
726 A Finite Difference Scheme for Pairs Trading with Transaction Costs
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Abstract: We consider a pairs trading stochastic control problem with transaction costs and constraints on the gross market exposure, and propose a new monotone Finite Difference scheme …		 Zequn Li; Agnès Tourin; Computational Economics 2021-01-01
727 Trading on Online Social Mood: A Machine Learning Strategy Based on Twitter Sentiment
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Abstract: This paper examines the potential of using online social sentiment data in algorithmic trading strategies. Several machine learning models are tested to produce a trading signal …		 Chengying He; Mason Lin; Ning Wang; International Journal of Financial Engineering 2021-01-01
728 Some Results of Stock Trading Strategy Based on Fuzzy System
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 Shiyan Xu; Open Journal of Applied Sciences 2021-01-01
729 Algorithmic Trading Using Technical Indicators
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Abstract: Financial markets are volatile and dynamic. The uncertainties involved in the market and various economic factors affect the asset price. Predicting trends in asset prices and …		 Tanishq Salkar; Aditya Shinde; Neelaya Tamhankar; Narendra Bhagat; 2021 International Conference on Communication information … 2021-01-01
730 Characteristics of High-Frequency Trading and Its Forecasts
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Abstract: High-frequency trading (HFT), which is a type of algorithmic trading, accounts for a significant percentage of trading volume in equity markets. Co-location, a low-latency …		 Shigeki Kohda; Kenichi Yoshida; 2021 IEEE 45th Annual Computers, Software, and Applications … 2021-01-01
731 Quantified Investment Strategies and Excess Returns: Stock Price Forecasting Based on Machine Learning
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Abstract: Under frequent trading strategy, this paper assumes that rational investors will adopt a long-term conservative frequent trading strategy. By studying historical data by machine …		 Zihe Tang; Yanqi Cheng; Ziyao Wang; 2021-01-01
732 Predictive Ability of Similarity-based Futures Trading Strategies
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 Mi-Hsiu Chiang; Hsin-Yu Chiu; Wei-Yu Kuo; Pacific-basin Finance Journal 2021-01-01
733 Survey on The Application of Deep Learning in Algorithmic Trading
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Abstract: Algorithmic trading is one of the most concerned directions in financial applications. Compared with traditional trading strategies, algorithmic trading applications perform …		 Yongfeng Wang; Guofeng Yan; Data Science in Finance and Economics 2021-01-01
734 Algorithmic Trading Using Machine Learning and Neural Network
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 Devansh Agarwal; Richa Sheth; Narendra Shekokar; Computer Networks, Big Data and IoT 2021-01-01
735 Insider Trading and The Algorithmic Trading Environment
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 Millicent Chang; John Gould; Yuyun Huang; Sirimon Treepongkaruna; Joey Wenling Yang; International Review of Finance 2021-01-01
736 A Decision Support System for Trading in Apple Futures Market Using Predictions Fusion
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Abstract: In the last decade, High-Frequency Trading (HFT) has become a popular issue in the futures market, which has attracted much attention from numerous researchers. In this study, an …		 SHANGKUN DENG et. al. IEEE Access 2021-01-01
737 Intraday Time-series Momentum and Investor Trading Behavior
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 Olena Onishchenko; Jing Zhao; Duminda Kuruppuarachchi; Helen Roberts; Journal of Behavioral and Experimental Finance 2021-01-01
738 Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in The Natural Gas and Crude Oil Markets?
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Abstract: For fixed maturity, under the no-arbitrage assumption, futures prices should follow a martingale with respect to the trading time, at least under the pricing measure. Therefore, a …		 Christian-Oliver Ewald; Erik Haugom; Gudbrand Lien; Ståle Størdal; Yuexiang Wu; OPER: Single Decision Maker (Topic) 2021-01-01
739 A New Strategy for Short-Term Stock Investment Using Bayesian Approach
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Abstract: In this paper, an application of the Bayesian classifier for short-term stock trend prediction is presented. In order to use Bayesian classifier effectively, we transform the …		 Tai Vo-Van; Ha Che-Ngoc; Nghiep Le-Dai; Thao Nguyen-Trang; Computational Economics 2021-01-01
740 A Novel Algorithmic Trading Strategy Using Hidden Markov Model for Kalman Filtering Innovations
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Abstract: The development of algorithmic trading has been one of the most prominent trends in finance and its applications. Hidden Markov Models (HMMs) help enhance the predictive power of …		 Ethan Johnson-Skinner; You Liang; Na Yu; Alin Morariu; 2021 IEEE 45th Annual Computers, Software, and Applications … 2021-01-01
741 COOPERATIVE GAME THEORY BASED PEER TO PEER ENERGY TRADING ALGORITHM
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Abstract: The energy sector is undergoing a paradigm shift to integrate the increasing volume of embedded renewable energy generation and creating local energy communities or LECs that have …		 Sweta Malik; Maeve Duffy; Subhasis Thakur; Barry Hayes; John G. Breslin; 2021-01-01
742 A Novel Hybrid Method for Direction Forecasting and Trading of Apple Futures
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 Shangkun Deng; Xiaoru Huang; Zhaohui Qin; Zhe Fu; Tianxiang Yang; Appl. Soft Comput. 2021-01-01
743 Algorithmic Trading, High-frequency Trading: Implications for MiFID II and Market Abuse Regulation (MAR) in The EU
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 RABEEA SADAF et. al. SSRN Electronic Journal 2021-01-01
744 Trading Cryptocurrencies As A Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume
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Abstract: This paper examines the impact of COVID-19 lockdowns on Bitcoin trading volume. Using data from Apple mobility trends and several time-series econometric models, we find that …		 Cristian A. Pinto-Gutierrez; PSN: Exchange Rates & Currency (International) (Topic) 2021-01-01
745 Uncovering Retail Trading in Bitcoin
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Abstract: In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these …		 Anantha Divakaruni; Peter Zimmerman; Working paper (Federal Reserve Bank of Cleveland) 2021-01-01
746 Learning Sentiment-Aware Trading Strategies for Bitcoin Leveraging Deep Learning-Based Financial News Analysis
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 Nikolaos Passalis; S. Seficha; Avraam Tsantekidis; Anastasios Tefas; 2021-01-01
747 The Profitability of Trading Strategies Based on Historical Prices and Risk: Evidence from Thailand
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Abstract: Historical trends in share prices can be used in trading strategies to generate profits. Two such strategies are the momentum and contrarian trading strategies. The contrarian …		 Parichat SinlapatesParichat; Surachai Chancharat; International Journal of Monetary Economics and Finance 2021-01-01
748 A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance
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Abstract: In the present paper, we test the benefit of using Markov-Switching models and volatility futures diversification in a Euro-based stock portfolio. With weekly data of the …		 Oscar V. De la Torre-Torres; Evaristo Galeana-Figueroa; José Álvarez-García; 2021-01-01
749 Risk Capital Allocation Under Market Liquidity Constraints
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Abstract: We develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market risk and for predicting liquidity-adjusted VaR (L-VaR) under …		 Mazin A. M. Al Janabi; Social Science Research Network 2021-01-01
750 Intelligent Algorithmic Trading Strategy Using Reinforcement Learning and Directional Change
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Abstract: Designing a profitable trading strategy plays a critical role in algorithmic trading, where the algorithm can manage and execute automated trading decisions. Determining a …		 Monira Essa Aloud; Nora Alkhamees; IEEE Access 2021-01-01
751 A Novel Synergetic LSTM-GA Stock Trading Suggestion System in Internet of Things
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Abstract: The Internet of Things (IoT) play an important role in the financial sector in recent decades since several stock prediction models can be performed accurately according to …		 Jimmy Ming-Tai Wu; Lingyun Sun; Gautam Srivastava; Chun-Wei Lin; Mob. Inf. Syst. 2021-01-01
752 Market Risk Prediction Under Illiquid Market Environments: A Comparison of Alternative Modeling Techniques
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Abstract: This paper bridges the gap in trading risk management literatures, and particularly from the perspective of emerging and illiquid markets. We find that under certain trading …		 Mazin A. M. Al Janabi; Risk Management & Analysis in Financial Institutions … 2021-01-01
753 How Effective Is China’s Cryptocurrency Trading Ban?
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 Conghui Chen; Lanlan Liu; Finance Research Letters 2021-01-01
754 Research on Trading Strategy of Regulation Market of Generation Company Based on Trading Interval Decision-making Model
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Abstract: With the continuous acceleration of Yunnan electricity market reform, the trading variety of power market is increasingly abundant, and Frequency Regulation Market will be …		 Chunfeng Mu; Shuangquan Liu; Qinggui Chen; Xiangrui Liu; 2021 China International Conference on Electricity … 2021-01-01
755 Analysis of The Performance of Volatility-based Trading Strategies on Scheduled News Announcement Days: An International Equity Market Perspective
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 Raquel López; Carlos Esparcia; International Review of Economics & Finance 2021-01-01
756 A Multi-layer and Multi-ensemble Stock Trader Using Deep Learning and Deep Reinforcement Learning
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Abstract: The adoption of computer-aided stock trading methods is gaining popularity in recent years, mainly because of their ability to process efficiently past information through machine …		 Salvatore Carta; Andrea Corriga; Anselmo Ferreira; Alessandro Sebastian Podda; Diego Reforgiato Recupero; Applied Intelligence 2021-01-01
757 On The Intraday Return Curves of Bitcoin: Predictability and Trading Opportunities
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 Elie Bouri; Chi Keung Marco Lau; Tareq Saeed; Shixuan Wang; Yuqian Zhao; International Review of Financial Analysis 2021-01-01
758 What Happened to The Rest? A Principled Approach to Clean-Up Costs in Algorithmic Trading
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Abstract: This article proposes a practical and computationally efficient methodology to assign a value for clean-up cost, the opportunity cost associated with the cancelled portion of an …		 Petter N. Kolm; Nicholas Westray; Capital Markets: Asset Pricing & Valuation eJournal 2021-01-01
759 Uncovering Retail Trading in Bitcoin: The Impact of COVID-19 Stimulus Checks
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Abstract: In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these …		 Anantha Divakaruni; Peter Zimmerman; 2021-01-01
760 Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, and Regulatory Challenges
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 Robert Zupko; The Social Science Journal 2021-01-01
761 The Effect Of Stock Price, Share Return, Share Trading Volume, And Return Variant On Bid-Ask Spread On Textile And Garment Companies Listed On The Indonesia Stock Exchange, 2019-2020
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Abstract: This study aims to obtain empirical evidence of the effect of Stock Price, Stock Return, Stock Trading Volume, and Return Variant on the Bid-Ask Spread of Stocks in Textile and …		 Heny Sidanti; Annisa Istikhomah; International Journal of Science, Technology & Management 2021-01-01
762 Discontinued Positive Feedback Trading and The Decline of Momentum Profitability
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Abstract: We present evidence that equity momentum strategies are partially driven by positive-feedback trading intermediated via the mutual fund sector. We identify a U.S.-specific …		 Itzhak Ben-David; Jiacui Li; Andrea Rossi; Yang Song; S&P Global Market Intelligence Research Paper Series 2021-01-01
763 An Algorithmic Multiple Trading Strategy Using Data-Driven Random Weights Innovation Volatility
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Abstract: Algorithmic trading uses a computer program that follows a defined set of instructions (an algorithm) to place a trade and can generate profits at a speed and frequency that is …		 Md. Erfanul Hoque; A. Thavaneswaran; Alex Paseka; Ruppa K. Thulasiram; 2021 IEEE 45th Annual Computers, Software, and Applications … 2021-01-01
764 Algorithmic Trading Efficiency and Its Impact on Market-Quality
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 Ritesh Kumar Dubey; A. Sarath Babu; Rajneesh Ranjan Jha; Urvashi Varma; Asia-Pacific Financial Markets 2021-01-01
765 Bitcoin Trading in Australia: Sneaking in Under The A$10,000 Reporting Threshold
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Abstract: Bitcoin trading on an Australian Cryptocurrency Exchange using an Australian bank means that transactions of A$10,000 or more are automatically reported to AUSTRAC. This analysis, …		 Jackie Johnson; Social Science Research Network 2021-01-01
766 A Multi-Strategic Approach to Automated Trading
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Abstract: Modern Computing methods have resulted in a shift of interest in the trading world; from the traditional ways to a more quantitative outlook. With these methods readily available, …		 Pranit Mahajan; Yagnesh Salian; Vinayak Jadhav; Sujata Kulkarni; 2021 International Conference on Communication information … 2021-01-01
767 Improving Pairs Trading Strategies Via Reinforcement Learning
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Abstract: There has been a growing interest in applying reinforcement learning (RL) to financial trading problems. One particular interesting problem is pairs trading, which is a …		 Cheng Wang; Patrik Sandås; Peter Beling; 2021 International Conference on Applied Artificial … 2021-01-01
768 I Feel The Need for Speed: Exploiting Latest Generation FPGAs in Providing New Capabilities for High Frequency Trading
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Abstract: ACM Reference Format: Mark Klaisoongnoen, Nick Brown, and Oliver Brown. 2021. I feel the need for speed: Exploiting latest generation FPGAs in providing new capabilities for high …		 Mark Klaisoongnoen; Nick Brown; Oliver Brown; Proceedings of the 11th International Symposium on Highly … 2021-01-01
769 High Frequency Trading and Stock Index Returns: A Nonlinear Dynamic Analysis
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 Aydin A. Cecen; Pawan Jain; Linlan Xiao; ERN: Other Econometric Modeling: International Financial … 2021-01-01
770 Practical Algorithmic Trading Using State Representation Learning and Imitative Reinforcement Learning
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Abstract: Algorithmic trading allows investors to avoid emotional and irrational trading decisions and helps them make profits using modern computer technology. In recent years, …		 Deog-Yeong Park; Ki-Hoon Lee; IEEE Access 2021-01-01
771 Strategic Trading with Information Acquisition and Long-Memory Stochastic Liquidity
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 Jinhui Han; Guiyuan Ma; Adrian Kennedy; Journal of Economic Dynamics & Control 2021-01-01
772 Dynamic Portfolio Choice and Information Trading with Recursive Utility
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 Xingjiang Chen; Xinfeng Ruan; Wenjun Zhang; Economic Modelling 2021-01-01
773 Adversarial Attacks Against Reinforcement Learning-Based Portfolio Management Strategy
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Abstract: Many researchers have incorporated deep neural networks (DNNs) with reinforcement learning (RL) in automatic trading systems. However, such methods result in complicated …		 Yu-Ying Chen; Chiao-Ting Chen; Chuan-Yun Sang; Yao-Chun Yang; Szu-Hao Huang; IEEE Access 2021-01-01
774 Uang Virtual (Cryptocurrency) Sebagai Sarana Tindak Pidana Pencucian Uang Dalam Perdagangan Saham
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Abstract: The continuation of the electronic media that is widely discussed today is virtual money, commonly known as cryptocurrency. Cryptocurrency can also be referred to as an unformed …		 Dewanti Arya Maha Rani; I Nyoman Gede Sugiartha; Ni Made Sukaryati Karma; 2021-01-01
775 Concept for Automated Energy Trading in MV and LV Electrical Distribution Grids Based on Approximated Supply Function Equilibrium
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Abstract: The introduction of new technologies and local energy trading concepts in distribution grids are on a rise. However, even though significant progress is being made, there is no …		 Perica Ilak; Lin Herenčić; Helena Benković; Ivan Rajšl; IEEE EUROCON 2021 – 19th International Conference on Smart … 2021-01-01
776 Ensembling and Dynamic Asset Selection for Risk-Controlled Statistical Arbitrage
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Abstract: In recent years, machine learning algorithms have been successfully employed to leverage the potential of identifying hidden patterns of financial market behavior and, …		 Salvatore M. Carta; Sergio Consoli; Alessandro Sebastian Podda; Diego Reforgiato Recupero; Maria Madalina Stanciu; IEEE Access 2021-01-01
777 EFFECT OF MACROECONOMIC FACTORS ON TRADING VOLUMES OF MANUFACTURING AND ALLIED COMPANIES LISTED IN NAIROBI SECURITIES EXCHANGE
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Abstract: Purpose: The purpose of the study was to establish the effect of macroeconomic factors on stocks trading volumes of manufacturing and allied companies listed in Nairobi Securities …		 Gabriel Chege; Stanley Kirika; International Journal of Finance and Accounting 2021-01-01
778 The Features of Building A Portfolio of Trading Strategies Using The SAS OPTMODEL Procedure
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Abstract: The article describes the original information technology of the algorithmic trading, designed to solve the problem of forming the optimal portfolio of trade strategies. The …		 Oleksandr Terentiev; Tetyana Prosiankina-Zharova; Volodymyr Savastiyanov; Valerii Lakhno; Vira Kolmakova; Comput. 2021-01-01
779 Quantifying The High-Frequency Trading Arms Race
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 Matteo Aquilina; Eric B. Budish; Peter O’Neill; SSRN Electronic Journal 2021-01-01
780 Intelligent Portfolio Theory and Application in Stock Investment with Multi-Factor Models and Trend Following Trading Strategies
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 Heping Pan; Manxiao Long; Procedia Computer Science 2021-01-01
781 Stock-Trading Simulations As A Resource for Management Instructors
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Abstract: This article reviews stock-trading simulations as a resource for use in management courses. Stock-trading simulations have three highly desirable qualities for educators: (1) they …		 Jason R. Pierce; Management Teaching Review 2021-01-01
782 An Intelligent Trading Mechanism Based on The Group Trading Strategy Portfolio to Reduce Massive Loss By The Grouping Genetic Algorithm
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Abstract: It is always difficult and challenge to obtain suitable trading signals for the desired securities in financial markets. The popular way to deal with it is through the use of …		 Chun-Hao Chen; Yu-Hsuan Chen; Vicente Garcia Diaz; Jerry Chun-Wei Lin; Electronic Commerce Research 2021-01-01
783 US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks
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Abstract: We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US …		 Olga Dodd; Bart Frijns; Ivan Indriawan; Roberto Pascual; Capital Markets: Market Microstructure eJournal 2021-01-01
784 Machine Learning Predictions of Credit and Equity Risk Premia
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Abstract: The emergence of algorithmic high-frequency trading in the market for credit risk affords accurate inference of new risk measures. When combined with machine learning predictive …		 Arben Kita; Econometric Modeling: Capital Markets – Risk eJournal 2021-01-01
785 The Determinants of Positive Feedback Trading Behaviors in Bitcoin Markets
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 Jying-Nan Wang; Yen-Hsien Lee; Hung-Chun Liu; Ming-Chih Lee; Finance Research Letters 2021-01-01
786 Algorithmic Trading Methods
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 2021-01-01
787 Crash-based Quantitative Trading Strategies: Perspective of Behavioral Finance
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 Yan Fang; Jie Yuan; J. Jimmy Yang; Shangjun Ying; Finance Research Letters 2021-01-01
788 Multi-asset Scenario Building for Trend-following Trading Strategies
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Abstract: This paper presents a new method for improving the performance of trend-following trading strategies. This new approach improves the inherent problem of trend-following …		 Andreas Thomann; Ann. Oper. Res. 2021-01-01
789 Machine Learning and Speed in High-Frequency Trading
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 Jasmina Arifovic; Xuezhong He; Lijian Wei; Journal of Economic Dynamics & Control 2021-01-01
790 Efek Pemilu Presiden Terhadap Volume Perdagangan Saham Di Pasar Modal Indonesia
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Abstract: The “reason for this research is to see the average difference of stock trading volume activity after and before the implementation of the Presidential Election. This research …		 Citra Puspa Permata; Muhammad Abdul Ghoni; Disclosure: Journal of Accounting and Finance 2021-01-01
791 An Intelligent Quantitative Trading System Based on Intuitionistic-GRU Fuzzy Neural Networks
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 Yuan Wang; Chao Luo; Appl. Soft Comput. 2021-01-01
792 Applying Technical Trading Rules to Beat Long-Term Investing: Evidence from Asian Markets
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Abstract: We provide evidence that the use of technical trading rules provides traders the opportunity to generate profits from actively buying and selling individual stocks across Asian …		 Thomas S. Coe; Kittipong Laosethakul; Asia-pacific Financial Markets 2021-01-01
793 A Parallel Multi-module Deep Reinforcement Learning Algorithm for Stock Trading
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 Cong Ma; Jiangshe Zhang; Junmin Liu; Lizhen Ji; Fei Gao; Neurocomputing 2021-01-01
794 The Joint Impact of Fragmentation Into The Dark and Algorithmic Trading on Implicit Trading Costs and Market Manipulation
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 Michael Aitken; Drew Harris; Frederick Harris; The Journal of Investing 2021-01-01
795 Impact of Real-World Market Conditions on Returns of Deep Learning Based Trading Strategies
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Abstract: Based on recent advancements in natural language processing, computer vision and robotics, a growing number of researchers and traders attempt to predict future asset prices using …		 Mirko Corletto; Matthias Kissel; Klaus Diepold; 2021 International Conference on Electrical, Computer, … 2021-01-01
796 Generating and Optimizing Human-Readable Quantitative Program Trading Strategies Through A Genetic Programming Framework
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 Bin Teng; Yufeng Shi; Xin Wang; Yunchuan Sun; Procedia Computer Science 2021-01-01
797 TradeZilla Using Algorithmic Trading
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Abstract: As everything in the future is getting automated and the stock market which is a very important part of the economic engine, which keeps a big part of globalization moving, needs …		 Dheeraj Othalasseril; Sana Shaikh; 2021 IEEE India Council International Subsections … 2021-01-01
798 Price-Bands: A Technical Tool for Stock Trading
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Abstract: Given a stochastic process with known finite dimensional distributions, we construct lower and upper bounds within which future values of the stochastic process run, at a fixed …		 Jinwook Lee; Joonhee Lee; András Prékopa; 2021-01-01
799 The Impact of Algorithmic Trading on Liquidity in Futures Markets: New Insights Into The Resiliency of Spreads and Depth
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 Alex Frino; Dionigi Gerace; Masud Behnia; Journal of Futures Markets 2021-01-01
800 Rational Quantitative Trading in Efficient Markets
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 Stefano Rossi; Katrin Tinn; J. Econ. Theory 2021-01-01
801 Pengaruh Volume Perdagangan Saham, Frekuensi Perdagangan Saham Dan Kapitalisasi Pasar Terhadap Harga Saham
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Abstract: Abstract. This study was conducted to analyze volume of stockt trading,ferecueny of  stock trading and market capitalization and their effect on stock prices. In this study, the …		 Siska Dwiyanti Wahyudin; Handri Handri; Lasmanah Lasmanah; 2021-01-01
802 IS BITCOIN IMMUNE TO THE COVID-19 PANDEMIC?
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Abstract: This study examines how Bitcoin’s trading characteristics react to the COVID-19 pandemic, using detailed futures trading data from the Chicago Mercantile Exchange. The results …		 S. Thomas Kim; Svetlana Orlova; Applied Finance Letters 2021-01-01
803 The Profitability of Trading Strategies from Sharia-compliant and Conventional Banks in The GCC: A Comparative Study
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Abstract: Purpose The purpose of this research was to examine the effectiveness of filter rules and investigate the weak form of the efficient market hypothesis (EMH) on sample shares of …		 Hesham I. Almujamed; Journal of Investment Compliance 2021-01-01
804 High Frequency and Dynamic Pairs Trading with Ant Colony Optimization
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Abstract: In recent years, there has been an explosion of research in metaheuristics, which provides efficient solutions that are close to optimal with lower computing times. Applying …		 José Cerda; Nicolás Rojas-Morales; Marcel C. Minutolo; Werner Kristjanpoller; Computational Economics 2021-01-01
805 Ensemble Classifier for Stock Trading Recommendation
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 Chukiat Worasucheep; Applied Artificial Intelligence 2021-01-01
806 Does High-Frequency Trading Impede Order Execution in The Stock Market?
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 Kun Li; Procedia Computer Science 2021-01-01
807 Algorithmic Trading Using Trend Following Strategy: Evidence from Indian Information Technology Stocks
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 Molla Ramizur Rahman; Data Science and Data Analytics 2021-01-01
808 Overview of The Software Complex for High-Frequency Exchange Trading on The Stock Market
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Abstract: A computational complex for processing large volumes of data generated on exchanges in high-frequency mode is described. Procedures for conducting exchange trades, strategies for …		 Igor Gasanov; Anton Ereshko; 2021 14th International Conference Management of … 2021-01-01
809 Peer Review #2 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.2)
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 2021-01-01
810 Dark Pool Trading and Information Acquisition
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Abstract: Theory suggests that dark pools may facilitate or discourage information acquisition. We find that more dark pool trading leads to greater information acquisition. We measure …		 Jonathan Brogaard; Jing Pan; The Review of Financial Studies 2021-01-01
811 Implied Volatility Forecast and Option Trading Strategy
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 Dehong Liu; Yucong Liang; Lili Zhang; Peter Lung; Rizwan Ullah; International Review of Economics & Finance 2021-01-01
812 Modifying ORB Trading Strategies Using Particle Swarm Optimization and Multi-objective Optimization
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Abstract: Opening range breakout (ORB) is a well-known trading strategy in which predetermined price thresholds are used to characterize price movements. However, some researchers have …		 Jia-Hao Syu; Mu-En Wu; Journal of Ambient Intelligence and Humanized Computing 2021-01-01
813 Policy Gradient Learners in Trading Agricultural ETFs
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Abstract: This paper analyzes the use of Reinforcement Learning in trading Agricultural ETFs. The first section of the paper examines the performance of using a naive trading strategy to be …		 Alexander Fleiss; Vishal Dhileepan; Rohan Mehta; Zoe Wang; Corina Perez-Cobb; Social Science Research Network 2021-01-01
814 Predict High-frequency Trading Marker Via Manifold Learning
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 HENRY HAN et. al. Knowl. Based Syst. 2021-01-01
815 Algorithmic Trading Regulation: The Frameworks for Human Supervision and Direct Market Interventions
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Abstract: This paper examines the regulation of algorithmic trading in the capital markets and focuses on the human supervision and director market interventions. We compare the regulation …		 Joseph Lee; Lukas Schu; Legal Perspectives in Information Systems eJournal 2021-01-01
816 THE EFFECT OF CAPITAL GAIN AND DIVISION OF DIVIDENDS ON SHARE TRADING VOLUME IN PT. UNILEVER INDONESIA Tbk
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Abstract: This study aims to determine, understand, and analyze the effect of capital gains and dividends on the volume of stock trading at PT. Unilever Indonesia tbk. the population in …		 Anggi Aladini; Nafisah Nurulrahmatia; 2021-01-01
817 Algorithmic Finance: Algorithmic Trading Across Speculative Time-Spaces
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 Thomas Skou Grindsted; Annals of the American Association of Geographers 2021-01-01
818 Optimal VWAP Strategies Under Regime Switching
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Abstract: In this paper, we analyze the problem of trading a large position in the market place when the stock price dynamic follows a regime switching process. In this work, we are …		 Moustapha Pemy; 2021 55th Annual Conference on Information Sciences and … 2021-01-01
819 Peer Review #1 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.2)
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 2021-01-01
820 Algorithms Put to Test: Control of Algorithms in Securities Trading Through Mandatory Market Simulations?
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Abstract: In the European Union, the algorithmic trading regime introduced by MiFID II requires firms to test and simulate their algorithms before deploying them on the market. While there …		 Patrick Raschner; Social Science Research Network 2021-01-01
821 AN ALGORITHMIC TRADING APPLICATION IN CRYPTO EXCHANGE
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 Ayser AYDIN; JOURNAL OF ACADEMIC SOCIAL RESOURCES 2021-01-01
822 Design of Simulated Stock Forecasting Trading System Based on Time Series
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Abstract: The stock market is a highly complex nonlinear dynamic system. The stock price involves many uncertain factors. The influencing factors of the stock market are very complex and …		 Mingchen Zhang; 2021 IEEE 4th International Conference on Information … 2021-01-01
823 Principles of Multitrading
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Abstract: Modern software and hardware tools provide unprecedented freedom for a variety of activities in the forex markets, from trading to analyzing the feasibility of models of nonlinear …		 Феликс Освальдович Каспаринский; Russian Digital Libraries Journal 2021-01-01
824 Pairs Trading: Is It Applicable to Exchange-traded Funds?
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 Ekin Tokat; Ahmet Cevdet Hayrullahoğlu; Borsa Istanbul Review 2021-01-01
825 Research on Stock Market Analysis Based on Deep Learning
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Abstract: Quantitative trading can analyze financial data with its mathematical models and artificial intelligence models, and conduct transactions through computer programs to maximize …		 Allam Maalla; Chong Yao Zhuang; Qin Hui Feng; Lu Shen; 2021 IEEE 4th Advanced Information Management, … 2021-01-01
826 Does Gender and Family Income Impact Stock Trading of B-School Students? Findings from A Stock Simulation Exercise
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Abstract: Educators across the globe utilize online stock market simulation games to introduce students to trading in the stock market. The primary objective of the simulation exercise is …		 Nisha Prakash; Subburaj Alagarsamy; Vision: The Journal of Business Perspective 2021-01-01
827 Designing Strategies for Autonomous Stock Trading Agents Using A Random Forest Approach
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Abstract: Machine learning-based autonomous agents are valuable for back-testing stock trading strategies, including algorithmic trading. Several studies in the financial literature have …		 Monira Aloud; 2021-01-01
828 A Study on High-frequency Trading, Technology and Regulations in India
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 Rajan Lakshmi; Vedala Naga Sailaja; International Journal of Financial Services Management 2021-01-01
829 LASSO-based High-frequency Return Predictors for Profitable Bitcoin Investment
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Abstract: This article explores the Bitcoin return predictability of variables constructed from one-minute high-frequency Bitcoin trading data. During the training period of 2012–2018, …		 Weige Huang; Xiang Gao; Applied Economics Letters 2021-01-01
830 A SPEA-Based Group Trading Strategy Portfolio Optimization Algorithm
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 Chun-Hao Chen; Chong-You Ye; Yeong-Chyi Lee; Tzung-Pei Hong; 2021-01-01
831 DERIVATIVE MARKETS-USING OPTIONS TRADING STRATEGY IN MONGOLIAN STOCK MARKET
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Abstract: This study identifies some opportunities to introduce derivative instruments based on the practical experience of other countries, and provides some estimates of the …		 Davaadalai Darkhabaatar; 2021-01-01
832 Dynamic Time Warping: S&P 500 Sector ETF Pattern Matching Trading Strategy
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Abstract: The authors examine an optimized Markowitz efficient portfolio by applying a quantitative trading strategy to the S&P 500 sector exchanged-traded funds (ETFs). First, they …		 Alexander Fleiss; Che Liu; Gihyen Eom; Serena Yu; Wo Zhang; 2021-01-01
833 Sustainable Development of The Business Debt Trading Market in Vietnam: A View of Vietnam Debt and Asset Trading Corporation
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Abstract: Along with production and business activities, debt is also a major concern of Vietnamese businesses. Debt can help businesses do business better, but it can also make businesses …		 Hong Nhung Do; Thi Dieu Huong Tran; 2021-01-01
834 Two Shades of Opacity: Hidden Orders and Dark Trading
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 Hans Degryse; Nikolaos Karagiannis; Geoffrey Tombeur; Gunther Wuyts; Journal of Financial Intermediation 2021-01-01
835 Oil Price Volatility Forecasts: What Do Investors Need to Know?
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 Stavros Degiannakis; George Filis; Journal of International Money and Finance 2021-01-01
836 A New Hybrid VMD-ICSS-BiGRU Approach for Gold Futures Price Forecasting and Algorithmic Trading
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 Yuze Li; Shouyang Wang; Yunjie Wei; Qing Zhu; IEEE Transactions on Computational Social Systems 2021-01-01
837 A Cooperative Dynamic Approach to Pairs Trading
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Abstract: Based on recent works on stocks comovement, Pairs Trading’s strategy is enhanced by reducing the stock universe to the stocks with the lower volatility on a given date. From this …		 J. P. Ramos-Requena; M. N. López-García; M. A. Sánchez-Granero; J. E. Trinidad-Segovia; Complexity 2021-01-01
838 Spot Trading Strategy Considering Multiple Constraints for Electricity Retailers
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Abstract: In order to solve the inert trading and irrational trading of electricity retailers in the spot market trading environment, increase the income of electricity retailers and reduce …		 Guang Zhou; Yulong Jin; Kang Chen; ZhiCheng Zhou; IOP Conference Series: Earth and Environmental Science 2021-01-01
839 Algorithmic Trading and Firm Value
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 Brian C. Hatch; Shane A. Johnson; Qin Emma Wang; Jun Zhang; Journal of Banking and Finance 2021-01-01
840 High-frequency Electricity Trading: Empirics, Fundamentals, and Stochastics
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Abstract: In the wake of the continuous digital transformation and the rapid increase in the amount of available data, trading on financial markets takes place at ever higher frequencies. …		 Marcel Kremer; 2021-01-01
841 Building Intelligent Moving Average-Based Stock Trading System Using Metaheuristic Algorithms
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Abstract: Many studies have been proposed to prove that technical analysis can help investors make trading decisions. The moving average (MA) is a widely used technical indicator that plays …		 Shu-Yu Kuo; Yao-Hsin Chou; IEEE Access 2021-01-01
842 Online Financial Trading Among Young Adults: Integrating The Theory of Planned Behavior, Technology Acceptance Model, and Theory of Flow
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Abstract: This paper aims to examine the mechanism that explains young consumers’ intention to perform online financial trading by integrating technology acceptance model, flow model, and …		 Saeed Pahlevan Sharif; Navaz Naghavi; International Journal of Human–Computer Interaction 2021-01-01
843 A Q-learning Agent for Automated Trading in Equity Stock Markets
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 Jagdish Chakole; Mugdha S. Kolhe; Grishma D. Mahapurush; Anushka Yadav; Manish P. Kurhekar; Expert Syst. Appl. 2021-01-01
844 Uncovering Retail Trading in Bitcoin: The Impact of COVID-19 Stimulus Checks
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Abstract: In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these …		 Peter Zimmerman; Anantha Divakaruni; Law & Economics eJournal 2021-01-01
845 FinRL-Podracer: High Performance and Scalable Deep Reinforcement Learning for Quantitative Finance
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Abstract: Machine learning techniques are playing more and more important roles in finance market investment. However, finance quantitative modeling with conventional supervised learning …		 ZECHU LI et. al. ArXiv 2021-01-01
846 THE IMPACT OF INDONESIAN PRESIDENTIAL ELECTION THE 2019 ON ABNORMAL RETURN AND STOCK TRADING VOLUME ACTIVITY ON IDX (EMPIRIST EVENT STUDY ON STOCK LISTED IN THE LQ 45 INDEX IN 2019)
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Abstract: Political events can affect stock prices in economic or non-economic terms. The political events of the general election are quite interesting topics for testing the information …		 Ahmad Amrulah Arif; Sudjono Sudjono; 2021-01-01
847 Market Impact Decay and Capacity
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Abstract: Recent studies have documented that market impact decays slowly through time. We study the impact of such slow decay on trading strategies’ capacity. To do so, we propose a …		 Hector Chan; PSN: Other International Political Economy: Investment & … 2021-01-01
848 Applying Deep Reinforcement Learning in Automated Stock Trading
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 Hieu Trung Nguyen; Ngoc Hoang Luong; 2021-01-01
849 Design of Optimized Trading Strategies with Web Assembly
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Abstract: Web Assembly is growing and also the most widely studied area which interests many developers when it comes to performance and speed to make web development fast as ever. When it …		 Shubham R Rahate; International Journal for Research in Applied Science and … 2021-01-01
850 Transferring Trading Strategy Knowledge to Deep Learning Models
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Abstract: Trading strategies are constantly being employed in the financial markets in order to increase consistency, reduce human errors of judgment and boost the probability of taking …		 Avraam Tsantekidis; Anastasios Tefas; Knowledge and Information Systems 2021-01-01
851 Time Weighted Price Contribution
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 Hossein Jahanshahloo; Laima Spokeviciute; Finance Research Letters 2021-01-01
852 Research on Financial Data Analysis Based on Applied Deep Learning in Quantitative Trading
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Abstract: This research aiming at the situation of traditional quantitative trading that cannot be effectively identified in the case of major stock fluctuations, a shock index is designed …		 Allam Maalla; ChongYao Zhuang; QinHui Feng; 2021 IEEE 4th Advanced Information Management, … 2021-01-01
853 When and How Are Rule 10b5-1 Plans Used for Insider Stock Sales?
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Abstract: We study Securities and Exchange Commission (SEC) Rule 10b5-1 stock trading plans. The empirical evidence shows that firm, transaction, and CEO compensation characteristics are …		 Eliezer M. Fich; Robert Parrino; Anh L. Tran; Corporate Governance & Finance eJournal 2021-01-01
854 Bargaining Strategies in Bilateral Electricity Trading Based on Fuzzy Bayesian Learning
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 Zuo Yi; Zhao Xin-gang; Zhang Yu-zhuo; International Journal of Electrical Power & Energy Systems 2021-01-01
855 A Study on High Frequency Trading: Technology and Regulations in India
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 Vedala Naga Sailaja; Rajan Lakshmi Amirapu; International Journal of Financial Services Management 2021-01-01
856 FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance
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Abstract: Deep reinforcement learning (DRL) has been envisioned to have a competitive edge in quantitative finance. However, there is a steep development curve for quantitative traders to …		 Xiao-Yang Liu; Hongyang Yang; Jiechao Gao; Christina Wang; ArXiv 2021-01-01
857 Transactions of The National Pension Service of Korea in The KOSPI200 Futures Market
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Abstract: It is known that the National Pension Service (NPS) of Korea contributes to the market stability because it tends to pursue the negative feedback trading strategy in the Korean …		 Meong Ae Kim; Mincheol Woo; Journal of Derivatives and Quantitative Studies: 선물연구 2021-01-01
858 Trading Frictions and The Post-Earnings-Announcement Drift
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Abstract: We use laboratory experiments to analyze how the existence of trading frictions (a transaction fee and a ban on short selling and margin buying) affects occurrence and strength of …		 Josef Fink; Stefan Palan; Erik Theissen; Behavioral & Experimental Accounting eJournal 2021-01-01
859 Algorithmic Trading for A Buy-sell Platform: Study and Comparison
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Abstract: With the high-paced change in the world, the market trends are changing fast and so do the technological innovations. The market is constantly moving and being affected by a …		 Aishwarya Sakhare; Nihar Mhaskar; Vicky Mishra; Madhuri Chavan; ITM Web of Conferences 2021-01-01
860 Stochastic Optimization of Trading Strategies in Sequential Electricity Markets
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Abstract: Quantity and price risks determine key uncertainties market participants face in electricity markets with increased volatility, for instance due to high shares of renewables. In …		 Emil Kraft; Marianna Russo; Dogan Keles; Valentin Bertsch; Research Papers in Economics 2021-01-01
861 Introduction to Financial Markets and Algorithmic Trading
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Abstract: This is the initial chapter of a book that presents algorithmic trading. This chapter carefully covers the foreign exchange (FX) market and the stock market. It explores how we …		 Tshepo Chris Nokeri; 2021-01-01
862 The Analysis of Some Trading Strategy on The Stock Market with The Liquidity Shortage
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 EUROPEAN RESEARCH STUDIES JOURNAL 2021-01-01
863 Common Dynamic Factors for Cryptocurrencies and Multiple Pair-trading Statistical Arbitrages
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Abstract: In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset …		 Gianna Figá-Talamanca; Sergio Focardi; Marco Patacca; Decisions in Economics and Finance 2021-01-01
864 Intraday Volatility Smile: Effects of Fragmentation and High Frequency Trading on Price Efficiency
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 Stephanie Ligot; Roland Gillet; Iryna Veryzhenko; Journal of International Financial Markets, Institutions … 2021-01-01
865 Robust Energy Trading for Interconnected Microgrids Under Uncertain Electricity Price
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Abstract: This paper studies the energy trading between the interconnected microgrid, considering the uncertain electricity price of the microgrid and main grid for energy trading, we …		 Hengdu Hu; Bing Wang; Shiqin Yang; 2021 40th Chinese Control Conference (CCC) 2021-01-01
866 Peer-to-peer Trading Optimizations on Net-zero Energy Communities with Energy Storage of Hydrogen and Battery Vehicles
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 Jia Liu; Hongxing Yang; Yuekuan Zhou; Applied Energy 2021-01-01
867 A Comparative Study of Deep Learning Techniques for Financial Indices Prediction
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Abstract: Automated trading is an approach to investing whereby market predictions are combined with algorithmic decision-making strategies for the purpose of generating high returns while …		 ARGYRIOS P. KETSETSIS et. al. 2021-01-01
868 Blockchain-Enhanced Fair and Efficient Energy Trading in Industrial Internet of Things
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Abstract: As the technical support of the industrial Internet of Things, blockchain technology has been widely used in energy trading, data transactions, and Internet of Vehicles. However, …		 JIANWEN HU et. al. Mobile Information Systems 2021-01-01
869 Customizable and Committee Data Mining Framework for Stock Trading
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 Hui-Chih Hung; Yu-Jen Chuang; Muh-Cherng Wu; Appl. Soft Comput. 2021-01-01
870 A Brief Review of Responsible AI and Socially Responsible Investment in Financial and Stock Trading
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Abstract: Automated trading is used in most of the major markets of our world. In order to ensure sustainable development, incorporating ethical and socially responsible ideas while …		 A. K. M. AMANAT ULLAH et. al. 2021-01-01
871 Algorithmic Trading Bot
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Abstract: Algorithmic trading uses algorithms that follow a trend and defined set of instructions to perform a trade. The trade can generate revenue at an inhuman and enhanced speed and …		 Medha Mathur; Satyam Mhadalekar; Sahil Mhatre; Vanita Mane; ITM Web of Conferences 2021-01-01
872 Accountability Mechanisms in The Governance of High-frequency Trading Under MiFID II
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 J. Karremans; Regulating Finance in Europe 2021-01-01
873 The Profitability of Pair Trading Strategy in Stock Markets: Evidence from Toronto Stock Exchange
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Abstract: Market practitioners and speculators attempt to make benefits from the existence of market price gaps and profit opportunities by arbitrage strategies Although some investors …		 GholamReza Keshavarz Haddad; Hassan Talebi; International Journal of Finance & Economics 2021-01-01
874 Parallelizing High-Frequency Trading Using GPGPU
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Abstract: The world of trading and market has evolved greatly. With the aid of technology, traders and trading establishments use trading platforms to perform various transactions. They are …		 Aditya Anil; Ashwin Sudha Arun; Lalitha Ramchandar; A. Balasundaram; National Academy Science Letters 2021-01-01
875 A Synchronous Deep Reinforcement Learning Model for Automated Multi-stock Trading
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Abstract: Automated trading is one of the research areas that has benefited from the recent success of deep reinforcement learning (DRL) in solving complex decision-making problems. Despite …		 Rasha AbdelKawy; Walid M. Abdelmoez; Amin Shoukry; Progress in Artificial Intelligence 2021-01-01
876 An Intelligent Hybrid System for Forecasting Stock and Forex Trading Signals Using Optimized Recurrent FLANN and Case-Based Reasoning
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Abstract: An accurate prediction of future stockmarket trends is a bit challenging as it requires a profound understanding of stock technical indicators, including market-dominant factors …		 D. K. Bebarta; T. K. Das; Chiranji Lal Chowdhary; Xiao-Zhi Gao; Int. J. Comput. Intell. Syst. 2021-01-01
877 Volatility Timing, Sentiment, and The Short-term Profitability of VIX-based Cross-sectional Trading Strategies
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 Wenjie Ding; Khelifa Mazouz; Qingwei Wang; Journal of Empirical Finance 2021-01-01
878 Intraday Interactions Between High-frequency Trading and Price Efficiency
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 Imen Ben Ammar; Slaheddine Hellara; Finance Research Letters 2021-01-01
879 Algo-Trading Using Statistical Learning and Optimizing Sharpe Ratio and Drawdown
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Abstract: Modernization in computers and Machine Learning have created new opportunities for improving the methods involved in trading, Changes have been noticed parallelly at the level of …		 Penumatcha Bharath Varma; Dr. Jaypal Medida; Neeraj Kasheety; Hanumanula Sravya; Chinthapalli Amarnath Reddy; International Journal of Recent Technology and Engineering … 2021-01-01
880 When Machines Trade on Corporate Disclosures: Using Text Analytics for Investment Strategies
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Abstract: In this study, we evaluate several trading strategies based on the textual content of corporate disclosures using machine learning. To obtain a conservative estimate of …		 Hans Christian Schmitz; Bernhard Lutz; Dominik Wolff; Dirk Neumann; Accounting Technology & Information Systems eJournal 2021-01-01
881 Diverse Distributed Renewable Energy Trading Paradigms: A Business Model Review
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Abstract: There are diverse distributed Renewable Energy (RE) trading business models (BM) which enable consumer-prosumer/generator energy trading; however, their efficiency and …		 M. A. C. L. Gunarathna; R. J. Yang; A. Song; Journal of Environmental Planning and Management 2021-01-01
882 Global Market Inefficiencies
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 Söhnke M. Bartram; Mark Grinblatt; Journal of Financial Economics 2021-01-01
883 Bitcoin Transaction Strategy Construction Based on Deep Reinforcement Learning
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 Fengrui Liu; Yang Li; Baitong Li; Jiaxin Li; Huiyang Xie; Applied Soft Computing 2021-01-01
884 An Iterative Uniform-price Auction Mechanism for Peer-to-peer Energy Trading in A Community Microgrid
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 Shuang Xu; Yong Zhao; Yuanzheng Li; Yue Zhou; Applied Energy 2021-01-01
885 Breaking VIX at Open: Evidence of Uncertainty Creation and Resolution
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 Jingjing Chen; George J. Jiang; Chaowen Yuan; Dongming Zhu; ERN: Other Econometric Modeling: Derivatives (Topic) 2021-01-01
886 Trading Decision Making Based on Hybrid Neural Network
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Abstract: Now, with the dominance of electronic stock trading, it is possible to find and make profit from the price difference in real time. Machine learning has been applied in stock …		 Wu Haotian; 2021 6th International Conference on Intelligent Computing … 2021-01-01
887 The Relation Between Trading Volume Concentration and Stock Returns
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Abstract: The Taiwan Stock Exchange discloses data on daily trading volume across brokerage firms for each listed stock. Market practitioners suggest that the concentration of trading …		 Chen-Chang Lo; Yaling Lin; Jiann-Lin Kuo; Yi Ting Wen; International Journal of Economics and Financial Research 2021-01-01
888 Digitalization of Data Analysis Tools As The Key for Success in The Online Trading Markets
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Abstract: Digitalization is the process, which takes places in the contemporary world, severe competition in all markets, growing demand for new and easy technologies, changing software …		 Andrii Roskladka; Roman BAIEV; Access Journal – Access to Science, Business, Innovation in … 2021-01-01
889 Flocking-based Decentralised Double Auction for P2P Energy Trading Within Neighbourhoods
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 Kosala Yapa Bandara; Subhasis Thakur; John Breslin; International Journal of Electrical Power & Energy Systems 2021-01-01
890 Stock Trading Via Feedback Control Methods
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 B. Ross Barmish; James A. Primbs; Encyclopedia of Systems and Control 2021-01-01
891 Automated Stock Trading System Using Deep Reinforcement Learning and Price and Sentiment Prediction Modules
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 Roberto Fray da Silva; 2021-01-01
892 Who Profits From Trading Options?
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Abstract: We use account-level transaction data to examine trading styles and profitability in a leading derivatives market. We find that retail investors in particular favor a consistent …		 Jianfeng Hu; Antonia Kirilova; Seongkyu Park; Doojin Ryu; SSRN Electronic Journal 2021-01-01
893 Machine Learning, Market Manipulation and Collusion on Capital Markets: Why The ‘Black Box’ Matters
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Abstract: This paper offers a novel perspective on the implications of increasingly autonomous and “black box” algorithms, within the ramification of algorithmic trading, for the integrity …		 Alessio Azzutti; Wolf-Georg Ringe; H. Siegfried Stiehl; CompSciRN: Other Machine Learning (Topic) 2021-01-01
894 Active Trading in ETFs: The Role of High-Frequency Algorithmic Trading
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Abstract: In the study reported here, we explored high-frequency algorithmic trading and its effect on exchange-traded funds (ETFs). Using the cancel rate, the trade-to-order ratio, …		 Archana Jain; Chinmay Jain; Christine X. Jiang; Financial Analysts Journal 2021-01-01
895 Trading Cryptocurrencies As A Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume
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Abstract: This paper examines the impact of COVID-19 lockdowns on Bitcoin trading volume. Using data from Apple mobility trends and several time-series econometric models, we find that …		 Alexander Guzmán; Christian Pinto-Gutiérrez; María-Andrea Trujillo; Mathematics 2021-01-01
896 Optimal Trading Strategies for Multi-Energy Microgrid Cluster Considering Demand Response Under Different Trading Modes: A Comparison Study
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Abstract: The linkage of neighborhood multi-energy microgrids (MEMGs) may overcome the disadvantage of one single microgrid (MG) since surplus/deficient energy can meet balance internally …		 Qiong Wu; Zhun Xie; Hongbo Ren; Qifen Li; Yongwen Yang; ERN: Energy (Topic) 2021-01-01
897 Ultra-short-term Trading System Using A Neural Network-based Ensemble of Financial Technical Indicators
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Abstract: The proposed paper presents the analysis, design, implementation and evaluation of an ultra-short-term frequency trading system for the foreign exchange (FOREX) market, which …		 Theodoros Zafeiriou; Dimitris Kalles; Neural Computing and Applications 2021-01-01
898 Performance Evaluation of High Frequency Trading Using A Deep Learning
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 Woosik Lee; Journal of Next-generation Convergence Information Services … 2021-01-01
899 Trading Signatures: Investor Trade Allocation in Stock Markets
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Abstract: Investors in stock markets face a huge amount of financial information. For that reason, they must decide how to distribute their trading effort across different securities. We …		 Kęstutis Baltakys; Juho Kanniainen; Jari Saramäki; Mikko Kivelä; ERN EM Feeds 2021-01-01
900 Customer Adaptive Automated Trading System with Capital Risk Analysis Using Machine Learning
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Abstract: Stock market plays a huge role in the economy of our country. Several attempts have been made to analyse and predict the stock market. While the existing systems try to exploit …		 Harsh Agarwal; Aditi Kandoi; Bhavya Ahir; Sudhir Dhage; 2021 3rd International Conference on Signal Processing and … 2021-01-01
901 Optimal Pairs Trading Strategy Under Geometric Brownian Motion and Its Application to The US Stocks
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Abstract: This study is a study on pair trading, a representative market-neutral investment strategy. A general pair trading strategy uses econometric techniques to select a pair of stocks …		 Dong Hoon Shin; International journal for innovation education and research 2021-01-01
902 Acceptability of Mobile Stock Trading Application: A Study of Young Investors in Malaysia
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 Lee-Lee Chong; Hway-Boon Ong; Siow-Hooi Tan; Technology in Society 2021-01-01
903 Portfolio Diversification Benefits of Alternative Currency Investment in Bitcoin and Foreign Exchange Markets
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Abstract: This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets. The following methods are applied for the …		 Muhammad Owais Qarni; Saiqb Gulzar; Financial Innovation 2021-01-01
904 Does Air Pollution Influence Investor Trading Behavior? Evidence from China
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 Mengmeng Guo; Mengxin Wei; Lin Huang; Emerging Markets Review 2021-01-01
905 The Relationships Between Abnormal Return, Trading Volume Activity and Trading Frequency Activity During The COVID-19 in Indonesia
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Abstract: This study aims to determine whether there are differences in the average abnormal return, trading volume activity, and trading frequency activity in pharmaceutical stocks before …		 G EnricoFernandaSaputra; Nur Aisyah Febrianti Pulungan; Bambang Subiyanto; Journal of Asian Finance, Economics and Business 2021-01-01
906 Optimal Portfolio Execution with A Markov Chain Approximation Approach
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Abstract: We study the problem of executing a large multi-asset portfolio in a short time period where the objective is to find an optimal trading strategy that minimizes both the trading …		 Jingnan Chen; Liming Feng; Jiming Peng; Yu Zhang; IMA Journal of Management Mathematics 2021-01-01
907 Trading Strategy of Structured Mutual Fund Based on Deep Learning Network
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 Jiao Chen; Changqing Luo; Lurun Pan; Yun Jia; Expert Syst. Appl. 2021-01-01
908 European Financial Institution Physical Geolocation and The High-frequency Trading Potential
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 Piotr Staszkiewicz; Ewa Łosiewicz-Dniestrzańska; Anna Grygiel-Tomaszewska; The Digitalization of Financial Markets 2021-01-01
909 Quantifying The High-Frequency Trading Arms Race
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Abstract: We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as latency arbitrage. The key difference between message data and widely …		 Matteo Aquilina; Eric Budish; Peter O’Neill; Research Papers in Economics 2021-01-01
910 Last Hour Momentum in The Chinese Stock Market
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Abstract: PurposeTo capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the T+0 …		 Lu Yang; China Finance Review International 2021-01-01
911 Trader Positions in VIX Futures
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 Yu-Lun Chen; J. Jimmy Yang; Journal of Empirical Finance 2021-01-01
912 Attention: How High-frequency Trading Improves Price Efficiency Following Earnings Announcements
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 Bidisha Chakrabarty; Pamela C. Moulton; Xu Wang; Journal of Financial Markets 2021-01-01
913 Using Genetic Algorithms to Develop Investment Strategies
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Abstract: Genetic algorithms (GAs) are a powerful search technique. The use of genetic algorithms (GAs) will help in the development of better trading systems. The genetic algorithms (GAs) …		 Advances in Computational Intelligence and Robotics 2021-01-01
914 Low-Latency Hardware Accelerator for Improved Engle-Granger Cointegration in Pairs Trading
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Abstract: Pairs trading is a solidly profitable strategy in the algorithmic trading area, and an important step of this strategy is selecting pairs of stocks. Compared with other existing …		 Shuang Liang; Siyuan Lu; Jun Lin; Zhongfeng Wang; IEEE Transactions on Circuits and Systems I: Regular Papers 2021-01-01
915 Implementation of Fibonacci Retracements and Exponential Moving Average (EMA) Trading Strategy in Indonesia Stock Exchange
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Abstract: Based on KSEI statistic data on March 2021, IDX individual stock market investor is increasing 199% compared to 2018 becoming 4,848,954 number of investors. 56.9% population of …		 Lusindah Lusindah; Erman Sumirat; European Journal of Business and Management Research 2021-01-01
916 Peer Review #2 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.1)
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 2021-01-01
917 Insider Trading Regulation and Shorting Constraints. Evaluating The Joint Effects of Two Market Interventions
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Abstract: Modern capital markets are subject to many interventions and regulations, some of which curtail the implementation of specific trading strategies in a market. While we understand …		 Robert Merl; Thomas Stockl; Stefan Palan; SSRN Electronic Journal 2021-01-01
918 Peer Review #1 of Using Algorithmic Trading to Analyze Short Term Profitability of Bitcoin (v0.1)
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 2021-01-01
919 Entropy Trading Strategies Reveal Inefficiencies in Japanese Stock Market
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 Levan Efremidze; Darrol J. Stanley; Clemens Kownatzki; International Review of Economics & Finance 2021-01-01
920 Pair Trading with Machine Learning Strategy in China Stock Market
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Abstract: Pair trading is a valuable market-neutral strategy used by many hedge funds. Instead of focusing on prices, pair trading values reliabilities by analyzing relative prices of two …		 Lizi Zhang; 2021 2nd International Conference on Artificial … 2021-01-01
921 Optimal Bitcoin Trading with Inverse Futures
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Abstract: We consider an optimal trading problem for an investor who trades Bitcoin spot and Bitcoin inverse futures, plus a risk-free asset. The investor seeks an optimal strategy to …		 Jun Deng; Huifeng Pan; Shuyu Zhang; Bin Zou; Ann. Oper. Res. 2021-01-01
922 The Effects of Information Content of Cash Flow Statement, Dividend Payout Ratio, Economic Value Added and Corporate Social Responsibility on Stock Trading Volume
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Abstract: Purpose – This study aims to empirically test and analyze the influence of information content of cash flow statements, Dividend Payout Ratio (DPR), Economic Value Added (EVA) …		 Dwi Luvira Oktavianingsih; Otniel Safkaur; Pascalina V. S. Sesa; 2021-01-01
923 Lockdown and Retail Trading in The Equity Market
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 Mardy Chiah; Jason Tian; Angel Zhong; Journal of Behavioral and Experimental Finance 2021-01-01
924 Tipping in Korea
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Abstract: Prior research documents that analyst revisions are important information events and that some investors trade ahead of them. However, prior studies have been unable to show which …		 William J. Bazley; Emily Kim; Felix Meschke; Kevin Pisciotta; Accounting 2021-01-01
925 A Derivative-free Optimization Approach for The Autotuning of A Forex Trading Strategy
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Abstract: A trading strategy simply consists in a procedure which defines conditions for buying or selling a security on a financial market. These decisions rely on the values of some …		 Alberto De Santis; Umberto Dellepiane; Stefano Lucidi; Stefania Renzi; Optimization Letters 2021-01-01
926 Decentralized Finance: Regulating Cryptocurrency Exchanges
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Abstract: Global financial markets are in the midst of a transformative movement. The creation of Bitcoin and Facebook’s proposed distribution of Diem mark a watershed moment in the …		 Kristin N. Johnson; Social Science Research Network 2021-01-01
927 Multiple Strategies for Trading Short-term Stock Index Futures Based on Visual Trend Bands
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Abstract: Many day traders focus on forecasts of stock index futures. These securities are suitable for frequent and time-sensitive trading as well as for short-term investments. However, …		 Hsien-Ming Chou; Chihli Hung; Multimedia Tools and Applications 2021-01-01
928 Unfairly Defiled: A Long Term Perspective on Portfolio Insurance As A Strategy for Limiting Portfolio Losses
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Abstract: The invention of portfolio insurance as a strategy for limiting portfolio losses was introduced in the early 1980s and gained spectacular popularity throughout the decade, …		 Jeffrey Ludwig; Journal of Investment and Management 2021-01-01
929 Trading Activity and Price Discovery in Bitcoin Futures Markets
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 Jui-Cheng Hung; Hung-Chun Liu; J. Jimmy Yang; Journal of Empirical Finance 2021-01-01
930 PRODUCT STRATEGY OF TRADING COMPANY
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Abstract: The article considers the problem of product strategy development of trading company. The analysis of the existing product strategy of wholesale trading company is given. Certain …		 I. A. Tolmacheva; 2021-01-01
931 Price Discovery in The Cryptocurrency Market: Evidence from Institutional Activity
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Abstract: This study analyzes the role of information shares of futures contracts in the price discovery of Bitcoin as well as its impact on the correlation of Bitcoin and traditional …		 Bao Doan; Huy Pham; Binh Nguyen Thanh; Journal of Industrial and Business Economics 2021-01-01
932 Insider Trading in Brazil’s Stock Market
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Abstract: How much insider trading happens in Brazil’s stock market? Previous research has used the model proposed by Easley et al. [1996] to estimate the probability of insider trading …		 Thiago Marzagão; 2021-01-01
933 Commonality and Contrarian Trading Among Algorithmic Traders
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 Devika Arumugam; P. Krishna Prasanna; Journal of Behavioral and Experimental Finance 2021-01-01
934 Decentralized Local Energy Trading in Microgrids With Voltage Management
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Abstract: Local energy trading in microgrids is one of the emerging concepts in the area of distribution networks. A proper business model is required to manage local energy trading. The …		 Amrit Paudel; Mohsen Khorasany; Hoay Beng Gooi; IEEE Transactions on Industrial Informatics 2021-01-01
935 Culture and The Regulation of Insider Trading Across Countries
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 Brandon N. Cline; Claudia R. Williamson; Haoyang Xiong; Journal of Corporate Finance 2021-01-01
936 The Connectedness Between COVID-19 and Trading Value in Stock Market: Evidence from Thailand
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Abstract: This study examines the connectedness between the number of COVID-19 cases in Thailand and trading value among investors in the Stock Exchange of Thailand. Daily data of COVID-19 …		 Guntpishcha Gongkhonkwa; Journal of Asian Finance, Economics and Business 2021-01-01
937 PENGARUH ABNORMAL RETURN Dan TRADING VOLUME ACTIVITY TERHADAP HARGA SAHAM
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Abstract: The purpose of this study is to determine 1) the effect of abnormal return on stock price, 2) the effect of trading volume activity on stock price, 3) the effect between abnormal …		 Cindy Ananda; 2021-01-01
938 Study on Indian Stock Market Performance Based on Commodities
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Abstract: A stock exchange facilitates trading shares of pubicly listed companies. The trading process is operated through two non-separable and mutually supporting segments called as …		 Deepika N.; Nirupama Bhat Mundukur; Victer Paul; 2021-01-01
939 Learning Representation of Stock Traders and Immediate Price Impacts
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 Wen-Jie Xie; Mu-Yao Li; Wei-Xing Zhou; Emerging Markets Review 2021-01-01
940 Attention Constraint, Public Information, and Strategic Trading
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Abstract: We investigate the effect of institutional investor attention and the public information about asset value on the financial market by studying a strategic trading problem, where …		 Hao Jiang; Yong Ma; Tianyang Wang; 2021-01-01
941 Learning to Trade in Financial Time Series Using High-frequency Through Wavelet Transformation and Deep Reinforcement Learning
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Abstract: Deep learning-based financial approaches have received attention from both investors and researchers. This study demonstrates how to optimize portfolios, asset allocation, and …		 Jimin Lee; Hayeong Koh; Hi Jun Choe; Appl. Intell. 2021-01-01
942 Pairs Trading in Cryptocurrency Market: A Long-short Story
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Abstract: Pairs trading that is built on ’Relative-Value Arbitrage Rule’ is a popular short-term speculation strategy enabling traders to make profits from temporary mispricing of close …		 Saji Thazhungal Govindan Nair; Investment Management and Financial Innovations 2021-01-01
943 Retail Trading and Stock Volatility: The Case of Robinhood
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Abstract: We examine the relation between Robinhood usership and stock market volatility. We show that daily fluctuations in Robinhood usership, which is used to proxy retail trading, …		 Cooper Jones; 2021-01-01
944 The Effect of Company Size, Company Growth, Financial Conditions, Debt Default And Audit Opinion 2016-2019 on Going Concern Audit Opinions (Empire Study of Trading Companies Listed on The Indonesia Stock Exchange)
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Abstract: The purpose of this study is to see the effect of company size, company growth, financial condition and debt default on going concern audit opinions in 2016-2019 on trading …		 Charles Ayu Kartika Kinata; Journal of Economics, Finance And Management Studies 2021-01-01
945 The Profitability of Volatility Trading on Exchange-traded Dollar-rupee Options: Evidence of A Volatility Risk Premium?
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Abstract: This article examines the profitability of short volatility strategies in the exchange-traded USDINR options market. Returns from delta-hedged short positions in straddles, …		 Aparna Bhat; Global Business Review 2021-01-01
946 Stock Markets and Female Participation in The Labor Force
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 Menachem (Meni) Abudy; Yevgeny Mugerman; Zvi Wiener; Journal of International Financial Markets, Institutions … 2021-01-01
947 THE EFFECT OF LIQUIDITY, COMPANY SIZE, AND ASSET STRUCTURE ON STRUCTURE TRADING COMPANY CAPITAL IN THE IDX
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Abstract: This his research is to see how liquidity, company scale, and asset composition affect trading companies’ capital structures on the Indonesia Stock Exchange. In this sample, the …		 Sri Laksmi Pardanawati; 2021-01-01
948 The Impacts of Futures Introduction on Spot Market Volatility: Evidence from The Bitcoin Market
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Abstract: The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic. Conflicting results had been obtained with different sample periods …		 Chuanhai Zhang; Huan Ma; GIDEON BRUCE ARKORFUL; Zhe Peng; ERN: Futures (Topic) 2021-01-01
949 How Do Carbon Trading Platform Participation and Government Subsidy Motivate Blue Carbon Trading of Marine Ranching? A Study Based on Evolutionary Equilibrium Strategy Method
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 Xiaole Wan; Qianqian Li; Lulian Qiu; Yuanwei Du; Marine Policy 2021-01-01
950 Greed and Individual Trading Behavior in Experimental Asset Markets
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Abstract: Greed has been shown to be an important economic motive. Both the popular press as well as scientific papers have mentioned questionable practices by greedy bankers and investors …		 Karlijn Hoyer; Stefan Zeisberger; Seger M. Breugelmans; Marcel Zeelenberg; 2021-01-01
951 THE INFLUENCE OF INFORMATION ON TRADING BEHAVIOR WITH PERSONALITY TRAITS AS MODERATION VARIABLE FOR STOCK TRADERS
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Abstract: The development of investment in Indonesia has increased rapidly over the past few years. One of the key factors affecting stock traders’ trading behavior is information. …		 Ronaldo Susanto; Mariana Ing Malelak; International Journal of Financial and Investment Studies … 2021-01-01
952 Trading Volume Activity Memediasi Hubungan Perubahan Tarif Pajak Penghasilan Badan Terhadap Return Saham
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Abstract: Stock returns can describe the acquisition of returns on the buying and selling activities of shares carried out by investors.  The rate of returns are received by investor can be …		 Ni Nyoman Sri Wardani; I Ketut Budiartha; E-Jurnal Akuntansi 2021-01-01
953 Energy Sharing Platform Based on Call Auction Method with The Maximum Transaction Volume
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 Lingling Sun; Jing Qiu; Xiao Han; Zhao Yang Dong; Energy 2021-01-01
954 The Impact of Margin Trading on Stock Volatility: Based on 2014 to 2016 Shanghai and Shenzhen 300 Index
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Abstract: The paper study the impact of margin trading on the volatility of the stock market, We selected 469 observation values among the daily Shanghai and Shenzhen 300 index from May …		 Chuanyang Gong; International Journal of Business and Management 2021-01-01
955 Aggregate Congressional Trading and Stock Market Returns
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Abstract: Purpose What information do members of Congress (politicians) use when they trade stocks? The purpose of this paper is to attempt to answer this question by investigating the …		 Serkan Karadas; Minh Tam Tammy Schlosky; Joshua C. Hall; Journal of Financial Economic Policy 2021-01-01
956 The Impact of Margin and Short Selling on Stock Pricing Efficiency – Based on The Growth Enterprise Market and The Science and Technology Innovation Board
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Abstract: This paper takes the margin and short selling targets of the science and technology innovation board and the growth enterprise board of China’s stock market as the research …		 Chengzhu Sun; E3S Web of Conferences 2021-01-01
957 High-frequency Volatility Modeling: A Markov-Switching Autoregressive Conditional Intensity Model
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 Yifan Li; Ingmar Nolte; Sandra Nolte; Journal of Economic Dynamics and Control 2021-01-01
958 Important Trading Point Prediction Using A Hybrid Convolutional Recurrent Neural Network
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Abstract: Stock performance prediction plays an important role in determining the appropriate timing of buying or selling a stock in the development of a trading system. However, precise …		 Xinpeng Yu; Dagang Li; Applied Sciences 2021-01-01
959 Half-day Trading and Spillovers
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Abstract: This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March 2020. We use the dynamic conditional …		 Yifan Chen; Limin Yu; Jianhua Gang; Frontiers of Business Research in China 2021-01-01
960 How Effective Are Stock Market Reforms in Emerging Market Economies? Evidence from A Panel VAR Model of The Indian Stock Market
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Abstract: The paper uses a panel VAR framework to estimate the impact of a series of reforms aimed at reducing transactions cost and information cost in India’s secondary market for equity, …		 Sumon Kumar Bhaumik; Manisha Chakrabarty; Ali M. Kutan; Ekta Selarka; Journal of Quantitative Economics 2021-01-01
961 A Novel Communication Efficient Peer-to-peer Energy Trading Scheme for Enhanced Privacy in Microgrids
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 Khalid Umer; Qi Huang; Mohsen Khorasany; Muhammad Afzal; Waqas Amin; Applied Energy 2021-01-01
962 FAKTOR-FAKTOR YANG MEMPENGARUHI IHSG PADA PERUSAHAAN PERBANKAN TAHUN 2015-2019
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Abstract: The research aims to determine the effect of the inflation rate, exchange rate,interest rate, and trading volume on the Composite Stock Price Index. Sampling using the Purposive …		 Mondra Neldi; Nurul Syahira; Elfiswandi Elfiswandi; Zefriyenni Zefriyenni; Fitri Yeni; 2021-01-01
963 Margin Trading and Stock Idiosyncratic Volatility: Evidence from The Chinese Stock Market
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 Pingshu Gui; Yifeng Zhu; International Review of Economics & Finance 2021-01-01
964 Do Retail Traders Destabilize Financial Markets? An Investigation Surrounding The COVID-19 Pandemic
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Abstract: Economic theory suggests that speculative trading can lead to instability in financial markets. Using a novel dataset on retail trading activity in the US, this study extends the …		 Ahmed S. Baig; Benjamin M. Blau; Hassan A. Butt; Awaid Yasin; International Finance eJournal 2021-01-01
965 Forecasting Trading Volume in Local Housing Markets Through A Time-series Model and A Deep Learning Algorithm
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Abstract: PurposeIt is important to forecast local trading volumes as well as global trading volumes because the real estate market is always characterized as a localized market. The house …		 Changro Lee; Keith Key-Ho Park; Engineering, Construction and Architectural Management 2021-01-01
966 Learning from Trading Activity in Laboratory Security Markets with Higher-order Uncertainty
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 Radhika Lunawat; Journal of Socio-economics 2021-01-01
967 Gambling and Online Trading Emerging Risks of Real-Time Stock and Cryptocurrency Trading Platforms
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 Atte Oksanen; Eerik Mantere; Ilkka Vuorinen; Iina Savolainen; SSRN Electronic Journal 2021-01-01
968 An Indicator for Month-trading of Stocks
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Abstract: Some individual investors who find day-trading of stocks incompatible with their lifestyle might want to adopt month–trading instead. In this paper, we use the historical monthly …		 Y. B. Koh; Yew Seong Ng; Ah Hin Pooi; ITM Web of Conferences 2021-01-01
969 Trading Cryptocurrencies Using Second Order Stochastic Dominance
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Abstract: This research is the first attempt to customize a trading system that is based on second order stochastic dominance (SSD) to five known cryptocurrencies’ daily data: Bitcoin, …		 Gil Cohen; Mathematics 2021-01-01
970 Leverage and Information: Are Short Sellers and Margin Traders Twin Sisters or Stepsisters?
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Abstract: As leveraged investors, are margin traders as informed as short sellers? Using a unique dataset on stock-level short selling and margin trading from three international stock …		 Zhuo Chen; Pengfei Li; Zhengwei Wang; Bohui Zhang; Emerging Markets: Finance eJournal 2021-01-01
971 The Interplay Between Investor Activity on Virtual Investment Community and The Trading Dynamics: Evidence From The Bitcoin Market
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Abstract: Virtual investment community has become an important information source for investors. This study contributes to the related literature by investigating the endogenous interplay …		 Peng Xie; Information Systems Frontiers 2021-01-01
972 THE EXISTENCE OF CRIMINAL SANCTION IN INSIDER TRADING IN THE ACT NUMBER 8 OF 1995 CONCERNING CAPITAL MARKET AFTER THE FINANCIAL SERVICES AUTHORITY REGULATION NUMBER 36/POJK.04/2018
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Abstract: This article is written because of the existence of the Securities Exchange Act (UUPM) No. 8 of 1995 concerning criminal sanctions for perpetrators of insider trading crimes. …		 Wahyu Nur Fatimah; 2021-01-01
973 Multi-level Trading Community Formation and Hybrid Trading Network Construction in Local Energy Market
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 Li Ma; Lingfeng Wang; Zhaoxi Liu; Applied Energy 2021-01-01
974 A Multivariate Load Trading Optimization Method for Energy Internet Based on LSTM and Gaming Theory
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Abstract: Energy Internet is a complex nonlinear system. There are many stakeholders in the load trading market, which is usually regarded as a multi-player gaming. Although gaming theory …		 Mingming Pan; Shiming Tian; Jindou Yuan; Songsong Chen; Sheng He; Energies 2021-01-01
975 Portfolio Optimization in Both Long and Short Selling Trading Using Trend Ratios and Quantum-Inspired Evolutionary Algorithms
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Abstract: Stock selection is the first problem that investors encounter when investing in the stock market and is paramount. The Sharpe ratio is a common assessment strategy. However, the …		 Yao-Hsin Chou; Yu-Chi Jiang; Shu-Yu Kuo; IEEE Access 2021-01-01
976 Do Electronic Markets Improve Execution If You Cannot Identify Yourself?
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Abstract: We study two aspects of the transition to electronic markets for large uninformed traders: (1) the increase in trading frequency, and (2) the move to anonymous trading, which …		 John J. Shim; Yenan Wang; Capital Markets: Market Microstructure eJournal 2021-01-01
977 Impact of Corporate Insider on Insider Trading: Evidence from Pakistan Stock Exchange
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Abstract: The purpose of this study is to investigate the impact of a corporate insider on insider trading in Pakistan. For this purpose, 30 top firms will be extracted from 540 Listed …		 Bismah Rao; Business And Management Studies: An International Journal 2021-01-01
978 Liquidity, Informed Trading, and A Market Surveillance System: Evidence from The Vietnamese Stock Market
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 Rong Chen; Heng (Griffin) Geng; Hai Lin; Phuong Thi Ly Nguyen; Pacific-basin Finance Journal 2021-01-01
979 FUTURES TRADING, SPOT PRICE VOLATILITY AND STRUCTURAL BREAKS: EVIDENCE FROM ENERGY SECTOR
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Abstract: The present study empirically examines the impact of Stock Futures on India’s underlying Energy Sector Stocks by incorporating the Structural breaks in the AR (1)-GARCH (1, 1) …		 Sanjeeta Shirodkar; Guntur Anjana Raju; International Journal of Energy Economics and Policy 2021-01-01
980 Bayesian Analysis of Time-varying Interactions Between Stock Returns and Foreign Equity Flows
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Abstract: This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a …		 Boubekeur Baba; Güven Sevil; Financial Innovation 2021-01-01
981 Risk Trading in Energy Communities
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Abstract: Local energy communities are proposed as a regulatory framework to enable the market participation of end-consumers. However, volatile local market-clearing prices, and …		 Niklas Vespermann; Thomas Hamacher; Jalal Kazempour; IEEE Transactions on Smart Grid 2021-01-01
982 Using A Genetic Algorithm to Build A Volume Weighted Average Price Model in A Stock Market
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Abstract: Research on stock market prediction has been actively conducted over time. Pertaining to investment, stock prices and trading volume are important indicators. While extensive …		 Seung Hwan Jeong; Hee Soo Lee; Hyun Nam; Kyong Joo Oh; Sustainability 2021-01-01
983 The Benefits of Access: Evidence from Private Meetings with Portfolio Firms
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Abstract: We analyze the monitoring efforts of a large active asset manager that involve high-level private meetings with portfolio firms that are unobservable to outsiders. Our analysis …		 Marco Becht; Julian R. Franks; Hannes F. Wagner; Corporate Governance & Finance eJournal 2021-01-01
984 Novel Energy Trading System Based on Deep-Reinforcement Learning in Microgrids
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Abstract: Inefficiencies in energy trading systems of microgrids are mainly caused by uncertainty in non-stationary operating environments. The problem of uncertainty can be mitigated by …		 SEONGWOO LEE et. al. Energies 2021-01-01
985 Integration of Prosumer Peer-to-peer Trading Decisions Into Energy Community Modelling
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Abstract: Peer-to-peer (P2P) exchange of renewable energy is an attractive option to empower citizens to actively participate in the energy transition. Whereas previous research has …		 ALEJANDRO PENA-BELLO et. al. Nature Energy 2021-01-01
986 Market Manipulation Rules and IPO Underpricing
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 Huu Nhan Duong; Abhinav Goyal; Vasileios Kallinterakis; Madhu Veeraraghavan; Journal of Corporate Finance 2021-01-01
987 Option Trading Volume By Moneyness, Firm Fundamentals, and Expected Stock Returns
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 Yi Zhou; Journal of Financial Markets 2021-01-01
988 Fundamental Volatility and Informative Trading Volume in A Rational Expectations Equilibrium
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 Dan Luo; Yipeng Mao; Economic Modelling 2021-01-01
989 Kairos: A Remunerative Framework for Minimum Investment Portfolio Management
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Abstract: Quantitative analysis as a technique of rendering market conditions using an arithmetic value has been employed by several investors for identifying trading opportunities. …		 Jimil Shah; Manan Doshi; Anant V. Nimkar; 2021 International Conference on Communication information … 2021-01-01
990 Energy Trading Among Electric Vehicles Based on Stackelberg Approaches: A Review
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 Muhammad Adil; M. A. Parvez Mahmud; Abbas Z. Kouzani; Khoo Sui Yang; Sustainable Cities and Society 2021-01-01
991 Peer-to-peer Energy Trading of Net-zero Energy Communities with Renewable Energy Systems Integrating Hydrogen Vehicle Storage
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 Jia Liu; Hongxing Yang; Yuekuan Zhou; Applied Energy 2021-01-01
992 Robust Pricing Under Strategic Trading
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 Aibo Gong; Shaowei Ke; Yawen Qiu; Rui Shen; Journal of Economic Theory 2021-01-01
993 Exploration of Quant Trading Talents’ Training Mode of University Education Based on Artificial Intelligence
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Abstract: In recent years, the topic of artificial intelligence has become more and more popular, especially machine learning has become a hot issue in academia. Quant trading ability has …		 Jiaxuan Chen; Journal of Physics: Conference Series 2021-01-01
994 Option Trading, Managerial Risk-taking, and Brand Development
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Abstract: Active option markets have been shown to provide downside risk protection for investors and managers and improve stock price informativeness that leads to better corporate …		 Po-Hsuan Hsu; Fengfei Li; Yoshio Nozawa; Managerial Marketing eJournal 2021-01-01
995 Voting and Trading in Symbiosis
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Abstract: The notion of political stability of Chapter 2 is applied to the general equilibrium analysis of Chapter 1, highlighting how trading and voting mechanisms help each other’s …		 Hervé Crès; Mich Tvede; Democracy, the Market, and the Firm 2021-01-01
996 Distributed Transaction Cooperative Game Strategy with Network Fee Is Considered
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Abstract: With the rapid development of distributed power supply, the pilot project of distributed power generation transaction has been carried out in China. The development of distributed …		 XIAODAN ZHUANG et. al. 2021 4th International Conference on Energy, Electrical and … 2021-01-01
997 Memory and Trading
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Abstract: I test the predictions of human memory models in a high-stakes trading environment. Using alphabetical rankings of stocks from portfolio statements, I estimate plausibly random …		 Constantin Charles; Decision-Making in Economics eJournal 2021-01-01
998 Deep Reinforcement Learning for Portfolio Management
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Highlight: We make several innovations, such as adding short mechanism and designing an arbitrage mechanism, and applied our model to make decision optimization for several randomly selected portfolios.		 Gang Huang; Xiaohua Zhou; Qingyang Song; arxiv-q-fin.CP 2020-12-26
999 Deep Stock Trading: A Hierarchical Reinforcement Learning Framework for Portfolio Optimization and Order Execution
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Highlight: To address these issues, we propose a hierarchical reinforced stock trading system for portfolio management (HRPM).		 Rundong Wang; Hongxin Wei; Bo An; Zhouyan Feng; Jun Yao; arxiv-cs.AI 2020-12-23
1000 The Good, The Bad, and The Ugly: How Algorithmic Traders Impact Institutional Trading Costs
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Abstract: We show that behind the aggregate effects of algorithmic and high-frequency traders (AT/HFT) is substantial heterogeneity in how individual algorithms impact institutional trading …		 Tālis J. Putniņš; Joseph Barbara; Capital Markets: Market Efficiency eJournal 2020-12-15

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