Statistical predictions of trading strategies in electronic markets
We build statistical models to describe how market participants choose the direction, price, and volume of orders. Our dataset, which spans sixteen weeks for four shares traded in Euronext Amsterdam, contains all messages sent to the exchange and includes algorithm identification and member identifi...
| Main Authors: | , , , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Oxford University Press
2024
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