Recent decades have seen a rise in the use of physics methods to study different societal
phenomena. This development has been due to physicists venturing outside of their …

In financial markets, the market-order sign exhibits strong persistence, widely known as the
long-range correlation (LRC) of order flow; specifically, the sign autocorrelation function …

Abstract The Lillo–Mike–Farmer (LMF) model is an established econophysics model
describing the order-splitting behaviour of institutional investors in financial markets. In the …

In this research, we focus on the order-splitting behavior. The order splitting is a trading
strategy to execute their large potential metaorder into small pieces to reduce transaction …

Global financial crises have led to the understanding that classical econometric models are
limited in comprehending financial markets in extreme conditions, partially since they …

Financial prices fluctuate as a results of the market impact of the flow of transactions
between traders. Reciprocally, several studies of market microstructure have shown how …

This study aims to increase the value of an investment in forex transactions by determining
the position of open and close orders. This study uses moving average and relative strength …

In financial markets, the market order sign exhibits strong persistence, widely known as the
long-range correlation (LRC) of order flow; specifically, the sign correlation function displays …

Traders who instantly react to changes in the financial market and place orders in
milliseconds are called high-frequency traders (HFTs). HFTs have recently become more …

Financial organisations such as brokers face a significant challenge in servicing the
investment needs of thousands of their traders worldwide. This task is further compounded …