A seismic shift is taking place in the United States securities markets. The fault lines have been present for quite some time; however, it is only now, in the last few years that the ramifications of these displacements have been felt. The traditional approach to investing has gone from a focus on investing – namely examining companies to determine whether they will be a good long-term investm...

In this paper we use a nonlinear processing technique based on mathematical morphology to develop a simple day trading system that automatically decides the timing to commute the marked strategy in terms of sort/long positions. In this short paper we show preliminary results.

This article compares the performance of Adaptive RPCL-CLP [Cheung, Lai and Xu, 1995] with that of RPCL-ART [Leung, Cheung, Lai and Xu, 1995] on financial prediction. They are evaluated in terms of prediction accuracy as well as profit gains under two simple trading systems. Computer experiments show how Adaptive RPCL-CLP out-performs RPCL-ART and some traditional methods such as MA and Random...

In this research we explore the transformative impact of Artificial Intelligence (AI) and Genetic Algorithms (GAs) in context algorithmic trading, with a specific focus on High-Frequency Trading (HFT). Algorithmic trading has gained prominence for its automated execution predefined strategies, HFT, lightning-fast trades, reshaped financial markets. Leveraging power AI GAs, traders can now make ...

Using a change in regulatory fees in Canada in April 2012 that affected algorithmic quoting activities, we analyze the impact of high frequency quoting and trading on market quality, trader behavior, and trading costs and profits. Following the change, algorithmic message traffic, i.e. the number of orders, trades, and order cancellations, dropped by 30% and the bid-ask spread rose by 9%. Using...

The foreign exchange (FX) spot markets are well suited to high frequency trading. They are highly liquid, allow leverage, and trade 24 hours a day, 5 days a week. This paper documents and tests the stylized facts known about high-frequency FX markets. It then postulates a high frequency trading system on the basis of these stylized facts. Benchmarking confirms the robustness of the approach, de...

Outline Motivation / algorithmic pairs trading Model setup Detection of local mean-reversion Adaptive estimation 1. RLS with gradient variable forgetting factor 2. RLS with Gauss-Newton variable forgetting factor 3. RLS with beta-Bernoulli forgetting factor Trading strategy Pepsi and Coca Cola example Introduction Statistical arbitrage. Algorithmic pairs trading market neutral trading. Buy low,...