检索结果-南通市图书馆

Novel modelling strategies for high‑frequency stock trading data

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Financial Innovation 2023年第1期9卷 1030-1054页

作者： Xuekui Zhang Yuying Huang Ke Xu Li Xing Mathematics and Statistics Department at University of Victoria VictoriaCanada Statistics and Actuarial Scienceat University of Waterloo WaterlooCanada Economics Department at University of Victoria VictoriaCanada Mathematics and Statistics Department at University of Saskatchewan SaskatchewanCanada

Full electronic automation in stock exchanges has recently become popular,generat-ing high-frequency intraday data and motivating the development of near real-time price forecasting *** learning algorithms are widely applied to mid-price stock *** raw data as inputs for prediction models(e.g.,data thinning and feature engineering)can primarily affect the performance of the prediction ***,researchers rarely discuss this *** motivated us to propose three novel modelling strategies for processing raw *** illustrate how our novel modelling strategies improve forecasting performance by analyzing high-frequency data of the Dow Jones 30 component *** these experiments,our strategies often lead to statistically significant improvement in *** three strategies improve the F1 scores of the SVM models by 0.056,0.087,and 0.016,respectively.

关键词： high-frequency trading Machine learning Mid-price prediction strategy Raw data processing Multi-class prediction Ensemble learning

Non-Value-Added Tax to improve market fairness and quality

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Financial Innovation 2022年第1期8卷 523-552页

作者： Iryna Veryzhenko Arthur Jonath Etienne Harb Conservatoire National des Arts et Métiers ParisFrance Profit and Entropy Portola ValleyCAUSA ESSCA School of Management AngersFrance

The promotion of both market fairness and efficiency has long been a goal of securities market regulators *** digital disruption and abusive trading behaviors,such as the GameStop mania,prompt regulatory *** is unclear how this“democratization”of trading power affects market fairness as economies cope with pandemic-driven shifts in basic *** speculation and market manipulation undermine the quality of financial markets in the sense that they cause volatil-ity and increase the pain of bubble and crash ***,they weaken public confidence in financial markets to fulfill their roles in proper capital allocation to irrigate the real economy and generate value for *** previous studies have mostly focused on market efficiency,our study proposes a tool to improve market fairness,even under periods of *** encourage value generation and improve market quality,we advance a graduated Non-Value-Added Tax that we implement in an agent-based model that can realistically capture the properties of real-world financial markets.A profitable transaction is taxed at a higher rate if it does not enhance the efficiency measured by deviation from *** an agent locks in profit not supported by fundamentals but driven by trend-following strategies,the generated profit is taxed at various rates under the Non-Value-Added Tax *** existing financial transaction taxes,the non-value-added tax is levied on profit rather than on price or *** show that the proposed tax encourages profitable trades that add value to the market and discourages valueless *** significantly curtails volatility and prevents the occurrence of extreme market events,such as bubbles and crashes.

关键词： Market fairness Financial transaction tax Non-Value-Added Tax high-frequency trading Bubbles and crashes Efficiency

Latency arbitrage and the synchronized placement of orders

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Financial Innovation 2023年第1期9卷 2650-2667页

作者： Wolfgang Kuhle Department of Economics Corvinus UniversityBudapestHungary MEA Max Planck Institute for Social Law and Social PolicyMunichGermany Zhejiang University HangzhouChina

We argue that owing to traders’inability to fully express their preferences over the execution times of their orders,contemporary stock market designs are prone to latency *** turn,we propose a new order type,which allows traders to specify the time at which their orders are executed after reaching the *** recent latency data,we demonstrate that the order type proposed here allows traders to synchronize order executions across different exchanges,such that high-frequency traders,even if they operate at the speed of light,can no-longer engage in latency arbitrage.

关键词： Market design high-frequency trading Latency arbitrage

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

日本应对高频交易的规制及启示