Through empirical research, it is found that the traditional autoregressive integrated moving
average (ARIMA) model has a large deviation for the forecasting of high‐frequency financial …

High-frequency financial data is more difficult to predict than low-frequency data because it
possesses nonlinearity, nonstationarity, higher volatility, and long memory and is frequently …

High-frequency trading (HFT) is a financial innovation that focuses on order flow and relies
on quickly evolving information and communication technology. The innovation is …

There has been an increasing interest in financial markets across sociology, history,
anthropology, cultural studies, and related disciplines over the past decades, with particular …

Many researchers have worked to improve the tests. They needed to demonstrate that their
improved tests performed better than alternative tests. Furthermore, to obtain the suitable …

Professional fund managers, investment banks and regulatory authorities raise the question
about the impact of algorithmic trading on trading businesses, economy and market …

Abstract ALGORITHMIC PAIRS TRADING: EMPIRICAL INVESTIGATION OF EXCHANGE
TRADED FUNDS PURPOSE OF THE STUDY The objective of this thesis is to study whether …

This commentary is based on the work of Cooper, Davis, and Van Vliet (2016) and the
commentary focuses on what problem high-frequency trading poses. It lists key literature on …

In a recent article in London Review of Books, Donald Mackenzie (2014a) describes the
construction of fiber-optic cables and how micro wave technology is being developed at …

We investigate the cointegration between VIX and CDS indices, and the possibility of
exploiting it in an existing credit market timing investment model. We find cointegration over …