Papers Algorithmic Trading
“Algorithmic Trading” 태그가 달린 논문 95편 · 필터 해제
Deep Reinforcement Learning in Quantitative Algorithmic Trading: A Review
Algorithmic stock trading has become a staple in today's financial market, the majority of trades being now fully automated. Deep Reinforcement Learning (DRL) agents proved to be to a force to be reckon with in many comp…
Algorithmic TradingDeep Reinforcement Learningreinforcement-learningReinforcement Learning+1Constraint-Based Inference of Heuristics for Foreign Exchange Trade Model Optimization
The Foreign Exchange (Forex) is a large decentralized market, on which trading analysis and algorithmic trading are popular. Research efforts have been focusing on proof of efficiency of certain technical indicators. We …
Algorithmic TradingModel OptimizationOrder flow and price formation
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exc…
Algorithmic TradingMachine Learning-Driven Virtual Bidding with Electricity Market Efficiency Analysis
This paper develops a machine learning-driven portfolio optimization framework for virtual bidding in electricity markets considering both risk constraint and price sensitivity. The algorithmic trading strategy is develo…
Algorithmic TradingBIG-bench Machine LearningPortfolio OptimizationSensitivityUniversal Trading for Order Execution with Oracle Policy Distillation
As a fundamental problem in algorithmic trading, order execution aims at fulfilling a specific trading order, either liquidation or acquirement, for a given instrument. Towards effective execution strategy, recent years …
Algorithmic Tradingreinforcement-learningReinforcement LearningReinforcement Learning (RL)Nine Challenges in Modern Algorithmic Trading and Controls
This editorial article partially informs the algorithmic trading community about launching of the new journal "Algorithmic Trading and Controls" (ATC). ATC is an online open-access journal that publishes novel works on a…
Algorithmic TradingManagementAutomated Creation of a High-Performing Algorithmic Trader via Deep Learning on Level-2 Limit Order Book Data
We present results demonstrating that an appropriately configured deep learning neural network (DLNN) can automatically learn to be a high-performing algorithmic trading system, operating purely from training-data inputs…
Algorithmic TradingMulti-Graph Tensor Networks
The irregular and multi-modal nature of numerous modern data sources poses serious challenges for traditional deep learning algorithms. To this end, recent efforts have generalized existing algorithms to irregular domain…
Algorithmic TradingDeep LearningTensor NetworksAdversarial Attacks on Deep Algorithmic Trading Policies
Deep Reinforcement Learning (DRL) has become an appealing solution to algorithmic trading such as high frequency trading of stocks and cyptocurrencies. However, DRL have been shown to be susceptible to adversarial attack…
Algorithmic TradingDeep Reinforcement Learningreinforcement-learningReinforcement Learning (RL)Taking Over the Stock Market: Adversarial Perturbations Against Algorithmic Traders
In recent years, machine learning has become prevalent in numerous tasks, including algorithmic trading. Stock market traders utilize machine learning models to predict the market's behavior and execute an investment str…
Adversarial AttackAlgorithmic TradingBIG-bench Machine LearningInference Attack+1A bounded operator approach to technical indicators without lag
In the framework of technical analysis for algorithmic trading we use a linear algebra approach in order to define classical technical indicators as bounded operators of the space $l^\infty(\mathbb{N})$. This more abstra…
Algorithmic TradingRise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quanti…
Algorithmic TradingVocal Bursts Intensity PredictionAn overall view of key problems in algorithmic trading and recent progress
We summarize the fundamental issues at stake in algorithmic trading, and the progress made in this field over the last twenty years. We first present the key problems of algorithmic trading, describing the concepts of op…
Algorithmic TradingBIG-bench Machine Learningreinforcement-learningReinforcement Learning+1A Stochastic LQR Model for Child Order Placement in Algorithmic Trading
Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus o…
Algorithmic TradingFormAn Application of Deep Reinforcement Learning to Algorithmic Trading
This scientific research paper presents an innovative approach based on deep reinforcement learning (DRL) to solve the algorithmic trading problem of determining the optimal trading position at any point in time during a…
Algorithmic TradingDeep Reinforcement Learningreinforcement-learningReinforcement Learning+1Empirical Analysis of Indirect Internal Conversions in Cryptocurrency Exchanges
Algorithmic trading is well studied in traditional financial markets. However, it has received less attention in centralized cryptocurrency exchanges. The Commodity Futures Trading Commission (CFTC) attributed the $2010$…
Algorithmic TradingUsing Reinforcement Learning in the Algorithmic Trading Problem
The development of reinforced learning methods has extended application to many areas including algorithmic trading. In this paper trading on the stock exchange is interpreted into a game with a Markov property consistin…
Algorithmic Tradingreinforcement-learningReinforcement LearningReinforcement Learning (RL)Adversarial Attacks on Machine Learning Systems for High-Frequency Trading
Algorithmic trading systems are often completely automated, and deep learning is increasingly receiving attention in this domain. Nonetheless, little is known about the robustness properties of these models. We study val…
Algorithmic TradingBIG-bench Machine LearningVocal Bursts Intensity PredictionMachine Learning in Asset Management—Part 1: Portfolio Construction—Trading Strategies
This is the first in a series of arti-cles dealing with machine learning in asset management. Asset management can be broken into the following tasks: (1) portfolio construction, (2) risk management, (3) capital manageme…
Algorithmic TradingAsset ManagementBIG-bench Machine LearningDecision Making+3Sentiment and Knowledge Based Algorithmic Trading with Deep Reinforcement Learning
Algorithmic trading, due to its inherent nature, is a difficult problem to tackle; there are too many variables involved in the real world which make it almost impossible to have reliable algorithms for automated stock t…
Algorithmic TradingDeep Reinforcement LearningKnowledge Graphsreinforcement-learning+4