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Machine learning and speed in high-frequency trading

  • Published:2022-06 Issue: Volume:139 Page:104438
  • ISSN:0165-1889
  • Container-title:Journal of Economic Dynamics and Control
  • language:en
  • Short-container-title:Journal of Economic Dynamics and Control

Author:

Arifovic Jasmina,He Xue-zhongORCID,Wei Lijian

Funder

Science and Technology Planning Project of Guangdong Province

National Natural Science Foundation of China

National Office for Philosophy and Social Sciences

Sun Yat-sen University

Special Project for Research and Development in Key areas of Guangdong Province

Natural Science Foundation of Guangdong Province

Tianjin University

Chinese University of Hong Kong

University of Technology Sydney

Australian Research Council

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference54 articles.

1. Quantifying the high-frequency trading ”arms race”;Aquilina;Q J Econ,2021

2. Genetic algorithm learning and the cobweb model;Arifovic;Journal of Economic Dynamics and Control,1994

3. The behavior of the exchange rate in the genetic algorithm and experimental economies;Arifovic;Journal of Political Economy,1996

4. Asset pricing under endogenous expectations in an artificial stock market;Arthur,1997

5. An empirical analysis of the limit order book and the order flow in the paris bourse;Biais;Journal of Finance,1995

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