By Xin Guo,Tze Leung Lai,Howard Shek,Samuel Po-Shing Wong
The first a part of this publication discusses associations and mechanisms of algorithmic buying and selling, industry microstructure, high-frequency facts and stylized evidence, time and occasion aggregation, order e-book dynamics, buying and selling recommendations and algorithms, transaction charges, industry effect and execution techniques, chance research, and administration. the second one half covers industry impression versions, community versions, multi-asset buying and selling, desktop studying concepts, and nonlinear filtering. The 3rd half discusses digital marketplace making, liquidity, systemic threat, fresh advancements and debates at the subject.
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