Trading affects grid frequency fluctuations, making them more extreme.
problem Impact of trading on grid frequency stability.
method Analysis of frequency time series from 2011 and 2017.
result Trading modifies frequency fluctuation statistics, making large deviations more likely.
Study high-frequency trading patterns in cryptocurrencies.
problem Understanding automated trading algorithms in cryptocurrency markets.
method Analyzes intraday trading data of cryptocurrencies, focusing on returns, volumes, and volatility.
result Provides insights into predictability of economic value in cryptocurrency markets.
Deep learning tackles label imbalance in high-frequency trading.
problem Label imbalance issue in high-frequency trading.
method Rigorous end-to-end deep learning framework with comprehensive label imbalance adjustment methods.
result Successfully predicted high-frequency returns in the Chinese future market.
HFformer outperforms LSTM in high-frequency trading with multiple signals.
problem Improving high-frequency trading performance using deep learning models.
method Introducing HFformer, a hybrid Transformer model for time series forecasting.
result HFformer achieves higher cumulative PnL than LSTM in backtesting.
Proposes deep mixture models for probabilistic price movement forecasting in high-frequency trading.
problem Probabilistic forecasting of price movements in high-frequency trading.
method Deep recurrent neural networks with probabilistic mixture models.
result Outperforms benchmark models in both metric-based and simulated trading scenarios.
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics of the dollar traded volume. Indeed it is found in almost all of 14 heavily tra…
We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash crashes. In the model, low-frequency agents adopt trading rules based on chronol…
Quantum algorithms improve high-frequency trading efficiency.
problem Reducing calculation time in high-frequency statistical arbitrage trading.
method Variable time condition number estimation and quantum linear regression.
result Quantum advantage in trading algorithm complexity reduction.
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and arrive at figures that are surprisingly modest. By "aggressive" we mean any trading …
Study evaluates three ML models for high-frequency trading.
problem Improving accuracy and reliability of high-frequency trading strategies.
method Compared three models: cross-entropy loss + quasi-Newton, FCNN, and vector machine.
result Combination of cross-entropy loss and quasi-Newton outperformed other models.
Game theory model for optimal trading with end-of-day constraints.
problem Optimal trading strategy in a game between slow and fast traders.
method Coupled stochastic control problems, Fredholm integral equation solution.
result Explicit solution to the game with profitable strategies for both players.
AI traders learn to exploit meta-orders from slower traders, increasing their profits.
problem Adverse selection of medium-frequency traders by high-frequency AI agents.
method Reinforcement learning in a Hawkes LOB model, with impulse control and PPO.
result AI agents can learn to capitalize on meta-orders, increasing their profits.
Corrects gaps in a method for optimizing high-frequency trading strategies.
problem Optimizing bid and ask limit order strategies in high-frequency trading.
method Uses an approximation method based on Avellaneda and Stoikov's 2008 article, correcting gaps found in it.
result The main answer in Avellaneda and Stoikov's article remains unchanged despite corrections.
Study compares exponential and power-law kernels in modeling high-frequency trading data.
problem Modeling high-frequency trading data with specific kernel types.
method Proposes and analyzes two bivariate Hawkes processes with exponential and power-law kernels.
result Identifies strengths and limitations of exponential and power-law kernels for high-frequency trading data.
Enhanced options trading strategies using advanced portfolio optimization.
problem Generating consistent positive returns in high-frequency options trading.
method Advanced portfolio optimization techniques applied to SPY options data.
result Sophisticated strategies incorporating advanced Greeks show potential in high-frequency trading.
Informer model with GMADL loss outperforms benchmarks in high frequency Bitcoin trading.
problem Developing automated trading strategies for high frequency Bitcoin data.
method Informer architecture with RMSE, GMADL, and Quantile loss functions.
result Informer model with GMADL loss function outperforms benchmarks in trading outcomes.
Neural nets analyze crypto markets for multi-timeframe trading.
problem High-frequency trading in cryptocurrency markets.
method Multi-timeframe trend analysis and high-frequency direction prediction networks.
result Positive risk-adjusted returns through machine learning.
Reviews six finance topics, including 'radical complexity'.
problem None explicitly stated, focuses on research directions.
method Informal review and discussion of open questions.
result No specific key result mentioned, focuses on research directions.
Study improves Cox model for predicting stock trading signs using Japanese market data.
problem Improving Cox model for predicting stock trading signs using Japanese market data.
method Added new covariates and used high-frequency trading data for 222 Nikkei 225 stocks.
result Cox-type model performs well in Japanese market and identifies key factors for accurate estimation.
Improved LSTM cell for high-frequency trading forecasts.
problem Precise stock price forecasting with minimal lags.
method Revised long short-term memory (LSTM) cell with optimal gate/state selection.
result Lower forecasting error compared to other recurrent neural networks.
High-frequency trading strategy boosts battery storage profits.
problem Maximizing revenue for battery energy storage systems in intraday markets.
method Adapted dynamic programming for continuous intraday markets, considering limit order book dynamics.
result Dynamic programming strategy outperforms standard re-optimization methods, increasing profits by 58% and 14% respectively.
This paper introduces a high frequency trade execution model to evaluate the economic impact of supervised machine learners. Extending the concept of a confusion matrix, we present a 'trade information matrix' to attribute the expected profit and loss of the high frequency strategy under execution constraints, such as …
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in trade time. We show that wh…
A new Hawkes process model captures order book dynamics in high-frequency trading.
problem Capturing the complex dynamics of high-frequency trading with large datasets.
method Estimation of an order book dependent Hawkes process using a product of a Hawkes process and covariates.
result Capturing the nonlinearity of order book information improves the model's performance.
Lazy, perfectly informed investors trade infrequently due to costs.
problem The paradox of an omniscient yet lazy investor trading infrequently.
method Formalized the paradox using geometric and fractional Brownian motion models, derived closed-form profit functions, and proved existence and uniqueness of the optimal trading frequency.
result The optimal trading frequency can be interpreted through the fractal dimension of the price path.
Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time series. Tick to tick exchange rates are considered as examples. It is seen that var…
High-frequency traders can act as either small informed traders or round-trippers, affecting price discovery and liquidity.
problem Effects of high-frequency trading on price discovery and liquidity.
method Extended Kyle's model with interactions between large informed traders and high-frequency traders.
result High-frequency traders can act as Small-IT or Round-Tripper, impacting price discovery and liquidity.
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling framework to analyze the effects of trading frequency on market liquidity in a ve…
Hybrid model combines VAR and neural network for OFI prediction.
problem Accurate prediction of Order Flow Imbalance (OFI) in high frequency trading.
method Combines Vector Auto Regression (VAR) and a simple feedforward neural network (FNN).
result Hybrid model achieves superior predictive accuracy compared to standalone models.
Study finds traditional technical indicators underperform in high-frequency trading, suggesting risk management over prediction.
problem Inadequately explored effectiveness of technical indicators in high-frequency trading, particularly at minute-level frequency.
method Evaluation of random forest models with traditional technical indicators on minute-level SPY data.
result In-sample performance is superior to out-of-sample, with risk-adjusted metrics not outperforming a simple buy-and-hold strategy.
Study high-frequency trading game with price impact, finding unique equilibrium.
problem Optimal execution in a trading game with transient price impact.
method Analyzes high-frequency limit of an n-trader optimal execution game. result High-frequency limit converges to a continuous-time model with quadratic costs.
The paper examines how market trade values and volumes affect price autocorrelation.
problem Understanding the impact of market trade values and volumes on price autocorrelation.
method Derives the dependence of price statistical moments and volatility on trade values and volumes, and assesses statistical moments and correlations by conventional frequency-based probabilities.
result Highlights the impact of market trade randomness on price statistical moments and autocorrelation.
DRL agents learn to trade Intel stock with stable positive returns.
problem Active high frequency trading in the stock market.
method End-to-end DRL framework using Proximal Policy Optimization, Sequential Model Based Optimization, and LOB-based meta-features.
result DRL agents create dynamic trading strategies with stable positive returns.
We use machine learning for designing a medium frequency trading strategy for a portfolio of 5 year and 10 year US Treasury note futures. We formulate this as a classification problem where we predict the weekly direction of movement of the portfolio using features extracted from a deep belief network trained on techni…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture, physically connected to superstatiscs, which is intimately related with the current nonex…
Study uses machine learning to predict high-frequency trading liquidity.
problem Predicting minute-level price movements in high-frequency trading markets.
method Advanced machine learning techniques (Logistic Regression, SVM, Random Forest) applied to liquidity metrics.
result Random Forest algorithm shows superior accuracy in predicting price movements.
EarnHFT tackles HFT challenges with hierarchical RL, significantly outperforming existing methods.
problem Challenges in applying RL to HFT due to long trajectories and market volatility.
method Three-stage hierarchical RL framework: Q-teacher, diverse RL agents, and minute-level router.
result Significantly outperforms 6 state-of-the-art baselines in profitability.
Research optimizes C++ patterns for HFT, reducing latency and improving profitability.
problem Optimizing latency-critical code for high-frequency trading systems.
method Creation of a Low-Latency Programming Repository, optimisation of trading strategy, implementation of Disruptor pattern.
result Significant performance improvements in speed and profitability.
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact are described by a system of nonlinear equations; explicit solutions obtain aroun…
Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of the aggregated return distribution can be employed to define a martingale stochastic model which consistently replicates conditioned expecta…
Model for high-frequency trading with rough volatility.
problem High-frequency trading dynamics and rough volatility modeling.
method Stochastic partial differential equation (SPDE) with rough volatility driven by a Hawkes process.
result The volatility path of the SPDE is rougher than that driven by a standard Brownian motion.
Paper forecasts financial trading durations using a new point process model.
problem Forecasting limit order book durations in high-frequency financial data.
method Self-exciting flexible residual point process incorporating empirical distributional features.
result The model achieves strong predictive performance compared to alternative approaches.
JaxMARL-HFT accelerates MARL for HFT with 240x speedup.
problem Heavy computational cost in MARL for HFT.
method GPU-accelerated JAX framework for multi-agent RL.
result Agents learn to outperform benchmarks in HFT.
Paper develops models for better HFT and algorithmic trading.
problem Inaccurate LOB dynamics in financial markets.
method Semi-Markov and Hawkes jump-diffusion models for LOB dynamics.
result Improved trading strategies through precise model application.
We analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon ses…
High-frequency trading models fail due to overfitting and survivor bias.
problem Failure of hybrid DRL-EC trading systems in high-frequency environments.
method Deployed a population of 500 agents in a high-frequency cryptocurrency environment, analyzing failure modes through multi-disciplinary lens.
result Increasing model complexity without information asymmetry exacerbates systemic fragility.
We study optimal investment with multiple assets in the presence of small proportional transaction costs. Rather than computing an asymptotically optimal no-trade region, we optimize over suitable trading frequencies. We derive explicit formulas for these and the associated welfare losses due to small transaction costs…
Study predicts intraday stock trading volume using ML models.
problem Predicting intraday trading volumes in equity markets.
method Used machine learning models with HF predictors.
result Intraday stock trading volume is highly predictable.