A model for unpacking big data analytics in high-frequency trading
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- Donald MacKenzie, 2006. "An Engine, Not a Camera: How Financial Models Shape Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262134608, January.
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- repec:spr:gjofsm:v:18:y:2017:i:3:d:10.1007_s40171-017-0159-3 is not listed on IDEAS
- repec:eee:proeco:v:191:y:2017:i:c:p:97-112 is not listed on IDEAS
- Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2017. "Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods," Papers 1705.03233, arXiv.org, revised Aug 2018.
More about this item
KeywordsBig data; HFT; Latency; Asymmetry; Strategies;
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