Moving averages, which are calculated with statistical approaches, are obtained from the
price, but a horizontal market has noise problems and a trending market has lag problems …

In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize
empirical studies of financial time series, resulting in 11 qualitative properties presumed to …

We explore high-frequency arbitrage activities on international cross-listed stocks and
develop a methodology to study the effect of information latency in high-frequency trading …

The US stock market is one of the largest and most complex marketplaces in the global
financial system. Over the past several decades, this market has evolved at multiple …

We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based
Financial Market (ABFM) that captures much of the complexity present in the US National …

We propose a novel estimation procedure for scale-by-scale lead-lag relationships of
financial assets observed at high-frequency in a non-synchronous manner. The proposed …

Using the most comprehensive, commercially-available dataset of trading activity in US
equity markets, we catalog and analyze quote dislocations between the SIP National Best …

Abstract Machine learning, and the sub-field of deep learning in particular, has experienced
an explosion in research interest and practical applications over the past few decades. Deep …

We explore arbitrage activities for cross-listed stocks and develop a methodology to study
the effect of information latency in high-frequency trading. The strategy is a hybrid between …

The behavior of modern systems lives in a complex landscape that is unique to its particular
application. In this work we describe and analyze the behavior of two modern computational …