arXiv 2017-12-28 EN How Short Sales Circumvent the Capital Gains Tax System Geronimo, Russell Stanley Q.
arXiv 2017-12-27 EN An Artificial Neural Network-based Stock Trading System Using Technical Analysis and Big Data Framework Sezer, O. B. · Ozbayoglu, M. · Dogdu, E.
arXiv 2017-12-14 EN Urn model for products' shares in international trade Barbier, Matthieu · Lee, D. -S.
arXiv 2017-12-07 EN Compound Hawkes Processes in Limit Order Books Swishchuk, Anatoliy · Remillard, Bruno · Elliott, Robert · Chavez-Casillas, Jonathan
arXiv 2017-12-04 EN Inferring agent objectives at different scales of a complex adaptive system Hendricks, Dieter · Cobb, Adam · Everett, Richard · Downing, Jonathan +1
arXiv 2017-12-01 EN Empirical comparison of three models for determining market clearing prices in Turkish day-ahead electricity market Ceyhan, Gökhan · Kurt, Nermin Elif · Sahin, H. Bahadir · Derinkuyu, Kürşad
arXiv 2017-11-23 EN Impact of Cross-Listing Chinese Stock Returns. A and N Shares Rate of Return Comparison Sabitova, Kamilla
arXiv 2017-11-09 EN Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis Magris, Martin · Kim, Jiyeong · Rasanen, Esa · Kanniainen, Juho
arXiv 2017-10-24 EN A Topological Approach to Scaling in Financial Data de Carufel, Jean · Brooks, Martin · Stieber, Michael · Britton, Paul
arXiv 2017-10-17 EN Navigating dark liquidity (How Fisher catches Poisson in the Dark) Zovko, Ilija I.
arXiv 2017-10-10 EN Market impact with multi-timescale liquidity Benzaquen, Michael · Bouchaud, Jean-Philippe
arXiv 2017-10-04 EN Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading Gao, Xuefeng · Zhou, Xiang · Zhu, Lingjiong
arXiv 2017-09-18 EN Optimal Liquidation Problems in a Randomly-Terminated Horizon Yang, Qing-Qing · Ching, Wai-Ki · Gu, Jia-Wen · Wong, Tak Kwong
arXiv 2017-08-29 EN Stock Trading via Feedback Control: Stochastic Model Predictive or Genetic? Plessen, Mogens Graf · Bemporad, Alberto
arXiv 2017-08-14 EN Optimal placement of a small order in a diffusive limit order book Figueroa-López, José E. · Lee, Hyoeun · Pasupathy, Raghu
arXiv 2017-08-09 EN Order Flows and Limit Order Book Resiliency on the Meso-Scale Bechler, Kyle · Ludkovski, Michael
arXiv 2017-08-08 EN Behind the price: on the role of agent's reflexivity in financial market microstructure Barucca, Paolo · Lillo, Fabrizio
arXiv 2017-08-08 EN Nonlinear price impact from linear models Patzelt, Felix · Bouchaud, Jean-Philippe
