Machine learning and speed in high-frequency trading

DOI10.1016/j.jedc.2022.104438zbMath1492.91346OpenAlexW4280561173MaRDI QIDQ2152342

Jasmina Arifovic, Lijian Wei, Xue-Zhong He

Publication date: 8 July 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

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

zbMATH Keywords

genetic algorithmmachine learninghigh-frequency tradinglimit order marketprice efficiency

Mathematics Subject Classification ID

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

Related Items (1)

Reinforcement learning equilibrium in limit order markets

Cites Work

• Unnamed Item
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• Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models
• The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *
• Quantifying the High-Frequency Trading “Arms Race”

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