Recent advances in Artificial Intelligence (AI) have made algorithmic trading play a central
role in finance. However, current research and applications are disconnected information …

The Handbook of Price Impact Modeling provides practitioners and students with a
mathematical framework grounded in academic references to apply price impact models to …

Many securities markets are organized as double auctions where each incoming limit order-
ie, an order to buy or sell at a specific price-is stored in a data structure called the limit order …

Order execution methods using various combinations of limit and market orders in US and
European futures markets are investigated in this article. Similar to smart order routing in …

This paper gives an overview of algorithmic trading. It is intended to inform interested traders
of the value of incorporating algorithms into their trading strategies. They must also be …

Substantial transaction costs are incurred in exchange-traded fund (ETF) trading each year.
This article examines a vector autoregressive (VAR) model's performance and other trading …

O uso de agentes autônomos de negociação no mercado financeiro se torna cada vez mais
comum, apesar de no Brasil ainda ser muito pouco explorado. Com um grande volume de …

The cryptocurrency market has demonstrated rapid growth with the total market
capitalization hitting $3 trillion in November 2021 and over 10,000 altcoins in existence as of …

The financial markets have changed dramatically the last decades and are no longer what
they used to be. Developments in technology and new innovations have changed how …

The importance of the German intraday electricity market increased significantly over the
past years, however there is limited research about intraday market models in Germany. In …