Related papers: Evolving intraday foreign exchange trading strateg…
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that…
Algorithmic trading relies on machine learning models to make trading decisions. Despite strong in-sample performance, these models often degrade when confronted with evolving real-world market regimes, which can shift dramatically due to…
The finance industry is producing an increasing amount of datasets that investment professionals can consider to be influential on the price of financial assets. These datasets were initially mainly limited to exchange data, namely price,…
In modern society, the trading methods and strategies used in financial market have gradually changed from traditional on-site trading to electronic remote trading, and even online automatic trading performed by a pre-programmed computer…
For classification of the high frequency trading quantities, waiting times, price increments within and between sessions are referred to as the a-, b-, and c-increments. Statistics of the a-b-c-increments are computed for the Time & Sales…
There are inefficiencies in financial markets, with unexploited patterns in price, volume, and cross-sectional relationships. While many approaches use large-scale transformers, we take a domain-focused path: feed-forward and recurrent…
Advanced algorithms based on Deep Reinforcement Learning (DRL) have been able to become a reliable tool for the Forex market traders and provide a suitable strategy for maximizing profit and reducing trading risk. These tools try to find…
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Data Analysis. It is based on a model akin to the stochastic…
A new concept of the available force is proposed to investigate the performance of the complex systems having long-range interactions. Since the covariance of average velocity in double time interval and available force equals zero, it is…
Traditional genetic programming (GP) often struggles in stock alpha factor discovery due to its vast search space, overwhelming computational burden, and sporadic effective alphas. We find that GP performs better when focusing on promising…
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of…
This study presents the approach to analyzing the evolution of an arbitrary complex system whose behavior is characterized by a set of different time-dependent factors. The key requirement for these factors is only that they must contain an…
Synthetic augmentation is increasingly used to mitigate data scarcity in financial machine learning, yet its statistical role remains poorly understood. We formalize synthetic augmentation as a modification of the effective training…
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of…
Previous research primarily characterized price movements according to time intervals, resulting in temporal discontinuity and overlooking crucial activities in financial markets. Directional Change (DC) is an alternative approach to…
Even though computational intelligence techniques have been extensively utilized in financial trading systems, almost all developed models use the time series data for price prediction or identifying buy-sell points. However, in this study…
Algorithm of multicurrency trading at the market of Forex is realized on the basis of nonlinear stochastic wavelets. The distinctive feature of the algorithm is the possibility of weakly- and strongly connected horizontal self-assemblies,…
We propose the sum and the difference of the normalized velocity of two-joint systems to describe its long-range interaction. It is found that the conditional probability distribution function (CPDF) of the normalized velocity between…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
Foreign Exchange (FOREX) is a decentralised global market for exchanging currencies. The Forex market is enormous, and it operates 24 hours a day. Along with country-specific factors, Forex trading is influenced by cross-country ties and a…