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vivekarora + high_frequency   53

Trading Physics Market structure Resources/Papers
Prediction  Algorithmic_Trading  High_Frequency  WhitePaperIdeas  LockedMarkets 
5 weeks ago by vivekarora
Market MicroStructure Models
Notes on models used by HFT
Market_Microstructure  High_Frequency  Prediction  Limit_Order_Book 
march 2012 by vivekarora
A Point Process Model for the High-Frequency Dynamics of Limit Order Books
High_Frequency  Hawkes_Process  Limit_Order_Book 
february 2012 by vivekarora
Stochastic Control Theory and High Frequency Trading
Market_Making  Stochastic_Calculus  High_Frequency  Knight 
february 2012 by vivekarora
Electronic Market Making Potential Profits and Research Opportunities
High_Frequency  Market_Making  Microprice  Prediction  Kalman_Filter 
february 2012 by vivekarora
The Price Impact of Order Book Events
High_Frequency  Limit_Order_Book  Prediction 
february 2012 by vivekarora
Quantitative Trading Links
High_Frequency  Statistical_Arbitrage  Technical_Analysis 
february 2012 by vivekarora
High Frequency Trade Prediction with Bivariate Hawkes Process 1
Hawkes_Process  High_Frequency  Prediction 
november 2011 by vivekarora
High-Frequency Financial Data Analysis with R
High_Frequency  R 
september 2011 by vivekarora
Automated High Frequency Market Making
Adverse  High_Frequency  Limit_Order_Model  Market_Making 
september 2011 by vivekarora
Modelling Stock Orders Using Hawkes's Self-Exciting Process
High_Frequency  Limit_Order_Book  Prediction 
august 2011 by vivekarora
Realised Kernels in Practice: Trades and Quotes
High_Frequency  Intra-day_volatility 
august 2011 by vivekarora
Optimal High Frequency Trading with Limit and Market Orders
High_Frequency  Market_Making 
july 2011 by vivekarora
Jonathon Kilay
Blogs  High_Frequency  quantitative_finance  Prediction  Hidden_Markov_Models 
july 2011 by vivekarora
Market Micro structure Models HFT
Forecasting  High_Frequency 
july 2011 by vivekarora
Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges by Rama Cont :: SSRN
High_Frequency  Limit_Order_Book 
july 2011 by vivekarora
Forecasting Prices in the Presence of Hidden Liquidity by Marco Avellaneda, Josh Reed, Sasha Stoikov :: SSRN
Hidden_Liquidity_Prediction  Hidden_ORders  High_Frequency  Prediction 
july 2011 by vivekarora
High Frequency Correlation
Correlation  High_Frequency 
june 2011 by vivekarora
HFT Regime Switching Project
High_Frequency  Prediction 
may 2011 by vivekarora
Developing High Frequency Trading models
High_Frequency  PCA  Prediction 
may 2011 by vivekarora
Efficient Estimation of Volatility using High Frequency Data
High_Frequency  Intra-day_volatility 
may 2011 by vivekarora
Modeling Asset Prices for Algorithmic and High Frequency Trading
Algorithmic_Trading  Forecasting  Hidden_Markov_Models  High_Frequency 
may 2011 by vivekarora
Hierarchical Hidden Markov Model of High-Frequency Market Regimes using Trade Price and Limit Order
Forecasting  Hidden_Markov_Models  High_Frequency 
may 2011 by vivekarora
Linear Regression/Kalman Filter
Forecasting  High_Frequency  Kalman_Filter 
may 2011 by vivekarora
Fast Adaptive Linear Regression
Forecasting  High_Frequency  Regression 
may 2011 by vivekarora
Statistical Arbitrage in High Frequency Trading Based on Limit Order Book Dynamics
Forecasting  High_Frequency 
may 2011 by vivekarora
Enhancing High-Frequency Order Placement Strategies with Fuzzy Logic and Fuzzy Inference
Algorithmic_Trading  High_Frequency  Optimal_Execution 
may 2011 by vivekarora
High Frequency Trading Strategies
Forecasting  High_Frequency 
may 2011 by vivekarora
Nonlinear Market Microstructure Noise Models, Particle Filter-Based On-line Estimation of Spot
High_Frequency  Particle_Filter  Volatility 
may 2011 by vivekarora
Particle Filtering in High-Frequency data
Forecasting  High_Frequency  Particle_Filter 
may 2011 by vivekarora
Using News for Automated Trading
Algorithmic_Trading  High_Frequency  News 
may 2011 by vivekarora
Detecting Price Move Order Book
High_Frequency  Limit_Order_Book 
april 2011 by vivekarora
Intrday Technical Trading
Forecasting  High_Frequency  Technical_Analysis 
april 2011 by vivekarora
forecasting non lienar finacial timeseries
High_Frequency  Non_Linear  time_series 
october 2010 by vivekarora
stochastic model limit order book - application...
Forecasting  High_Frequency  Limit_Order_Book 
september 2010 by vivekarora
Mizrach: The next tick on Nasdaq - does level II matter
Forecasting  High_Frequency  Microprice  Limit_Order_Book 
september 2010 by vivekarora
ultra high frequency financial data
Forecasting  High_Frequency 
september 2010 by vivekarora
Adaptive Strategies for High Frequency Trading
Forecasting  High_Frequency 
september 2010 by vivekarora
High Frequency TradingLimit Order Book
Forecasting  High_Frequency  Limit_Order_Book 
august 2010 by vivekarora
Reduced form modeling of limit order markets
High_Frequency  Limit_Order_Book 
august 2010 by vivekarora
High Frquency Trading Limit ORder Book
Forecasting  High_Frequency 
august 2010 by vivekarora
Do Liquidity Measures Measure Liquidity?*
High_Frequency  Spread 
may 2010 by vivekarora
Statistical Arbitrage and High-Frequency Data w...
High_Frequency  Statistical_Arbitrage  cointegration 
may 2010 by vivekarora
Distribution forecasting of high frequency time...
Forecasting  High_Frequency 
may 2010 by vivekarora
Limit Order Book Projects
Forecasting  High_Frequency  Limit_Order_Book 
february 2010 by vivekarora
Intraday Volatility
High_Frequency  Volatility 
february 2010 by vivekarora
JKScales103108.pdf (application/pdf Object)
High_Frequency  Volatility 
october 2009 by vivekarora
Econophysics Empirical Facts & Agent BAsed Models
High_Frequency  Limit_Order_Model 
october 2009 by vivekarora
Technical Analysis: New Articles Stock Price Pr...
Forecasting  High_Frequency 
october 2009 by vivekarora
OrderBook.pdf (application/pdf Object)
Forecasting  High_Frequency  Market_Making 
october 2009 by vivekarora
High frequency data analysis.pdf (application/p...
High_Frequency 
october 2009 by vivekarora
estimating-betas-from-high-frequency-data.pdf (...
Beta  High_Frequency 
june 2009 by vivekarora
www.econ.duke.edu
Forecasting  High_Frequency 
may 2009 by vivekarora

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