Statistical Predictions of Trading Strategies in Electronic Markets
We build statistical models to describe how market participants choose the direction, price, and...
Cartea, Álvaro and Cohen, Samuel N. and Graumans, Rob and Labyad, Saad and Sánchez-Betancourt, Leandro and van Veldhuijzen, Leon, Statistical Predictions of Trading Strategies in Electronic Markets (May 9, 2023). Available at SSRN: https://ssrn.com/abstract=4442770 or http://dx.doi.org/10.2139/ssrn.4442770