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Market heterogeneities and the causal structure of volatility - Part 1
FREE ARTICLE The correlation between historical and realized volatilities is studied empirically for a large range of time intervals. Similarly, the correlation between the volatility changes and the realized volatilities is studied. Both quantities measure the respon read this
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Catching up with technology: The impact of regulatory changes on ECNs/MTFs Part 1
FREE ARTICLE In recent years the landscape of trading venues has been transformed by technological advances. New trading concepts and infrastructures along the securities trading value chain have been established. With RegNMS ("Regulation National Market System") in read this
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Pretests for genetic-programming evolved trading programs: “zero-intelligence” strategies and lottery trading - Part 2
FREE ARTICLE Part 2 of Pretests for genetic-programming evolved trading programs: “zero-intelligence” strategies and lottery trading bootstrap paper. By Shu-Heng Chen and Nicolas Navet read this
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Transaction Cost Research
FREE ARTICLE An excerpt from Kendall Kim's forthcoming book "Electronic and Algorithmic Trading Technology: The Complete Guide" Chapter 10: Transaction Cost Research read this
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Assessing the Risk and Return of Financial Trading Systems - a Large Deviation Approach
FREE ARTICLE We apply large deviation theory to assess the probability that a trading system performs below or above a certain threshold. Our technique does not require that the distribution of the performance criterion obeys a closed-form equation, and can accept a read this
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Entropy Rate and Profitability of Technical Analysis: Experiments on the NYSE US 100 Stocks
FREE ARTICLE The entropy rate of a dynamic process measures the uncertainty that remains in the next information produced by the process given complete knowledge of the past. It is thus a natural measure of the difficulty to predict the evolution of the process. T read this
