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[HTML][HTML] Identification of high-frequency trading: A machine learning approach
This study aims to develop a probabilistic model using machine learning techniques to
identify high-frequency trading (HFT) based on order book data. The model enables precise …
identify high-frequency trading (HFT) based on order book data. The model enables precise …
[HTML][HTML] Does high-frequency trading actually improve market liquidity? A comparative study for selected models and measures
The increasing volume of messages sent to the exchange by algorithmic traders stimulates a
fierce debate among academics and practitioners on the impacts of high-frequency trading …
fierce debate among academics and practitioners on the impacts of high-frequency trading …
The performance of selected high-frequency trading proxies: An application on Turkish index futures market
This paper intends to provide evidence for how well high-frequency trading (HFT) proxies
capture low-latency activity in rarely explored futures markets. We first run suggested …
capture low-latency activity in rarely explored futures markets. We first run suggested …
The effect of technological developments on the stock market: evidence from emerging market
This study investigates the effect of High-Frequency Trading on stock liquidity and volatility
in Borsa Istanbul, Turkey which is one of the largest emerging markets where high …
in Borsa Istanbul, Turkey which is one of the largest emerging markets where high …
High-frequency trading and its impact on market liquidity: A review of literature
High-frequency trading (HFT) has been dominating the activity in developed financial
markets in the last two decades. Despite its recent formation, the literature on the impacts of …
markets in the last two decades. Despite its recent formation, the literature on the impacts of …
Exploring the multifaceted impacts of convertible bond issuance on stock market quality: Evidence from China
J **n, Q Ye, H **a - Journal of Financial Research, 2024 - Wiley Online Library
We investigate how convertible bond issuance impacts stock market quality across four
dimensions: liquidity, price efficiency, excess returns, and volatility, using Chinese market …
dimensions: liquidity, price efficiency, excess returns, and volatility, using Chinese market …
Do computerized traders follow social norms? Evidence from the holocaust remembrance moment of silence
This paper employs a unique social setting, in which human activity halts during a siren
alarm for two minutes to commemorate the Israeli Holocaust Remembrance Day. When the …
alarm for two minutes to commemorate the Israeli Holocaust Remembrance Day. When the …
[HTML][HTML] Information shocks and the cross section of expected returns
This paper examines the risk premium associated with information shocks in equity markets.
For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we …
For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we …
Identification of High-Frequency Trading: A Machine Learning Approach
This study aims to develop a probabilistic model using machine learning techniques to
identify high-frequency trading (HFT) based on order book data. The model enables precise …
identify high-frequency trading (HFT) based on order book data. The model enables precise …
SERMAYE PİYASALARINDA ALGORİTMİK VE YÜKSEK FREKANSLI İŞLEM STRATEJİLERİ
MS Çelik, MB Öztürk - Niğde Ömer Halisdemir Üniversitesi Sosyal Bilimler … - dergipark.org.tr
Bilinilirliği artarak devam eden algoritmik ve yüksek frekanslı işlemlere olan ilgi her geçen
gün artmaktadır. Algoritmik ve yüksek frekanslı işlemlere ilişkin uygulanan stratejiler hem …
gün artmaktadır. Algoritmik ve yüksek frekanslı işlemlere ilişkin uygulanan stratejiler hem …