Revisiting stylized facts for modern stock markets
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 …
empirical studies of financial time series, resulting in 11 qualitative properties presumed to …
Adaptive Agents and Data Quality in Agent-Based Financial Markets
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 …
Financial Market (ABFM) that captures much of the complexity present in the US National …
Price discovery and the accuracy of consolidated data feeds in the US equity markets
Both the scientific community and the popular press have paid much attention to the speed
of the Securities Information Processor—the data feed consolidating all trades and quotes …
of the Securities Information Processor—the data feed consolidating all trades and quotes …
[图书][B] Leveraging Domain Knowledge in Deep Learning Systems
CM Van Oort - 2021 - search.proquest.com
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 …
an explosion in research interest and practical applications over the past few decades. Deep …
Towards a Model of the National Market System: Fragmented and Heterogenous Venues
BF Tivnan, CD Burke, MTK Koehler… - Proceedings of the 2020 …, 2021 - Springer
The US stock market, more precisely known as the National Market System (NMS), is
fragmented into various trading venues. The heterogeneity across this set of venues spans …
fragmented into various trading venues. The heterogeneity across this set of venues spans …