A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

We propose a dynamical theory of market liquidity that predicts that the average
supply/demand profile is V shaped and vanishes around the current price. This result is …

We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann–
Morgenstern investor in the liquidity model of Almgren (Appl. Math. Finance 10: 1–18, 2003) …

In electronic financial markets, algorithmic trading refers to the use of computer programs to
automate one or more stages of the trading process: pretrade analysis (data analysis) …

The Science of Algorithmic Trading and Portfolio Management, with its emphasis on
algorithmic trading processes and current trading models, sits apart from others of its kind …

Electronic trading of equities and other securities makes heavy use of “arrival price”
algorithms, that determine optimal trade schedules by balancing the market impact cost of …

Innovative automated execution strategies like Algorithmic Trading gain significant market
share on electronic market venues worldwide, although their impact on market outcome has …

Standard models of algorithmic trading neglect the presence of a daily cycle. We construct a
model in which the trader uses information from observations of price evolution during the …

In this paper, we present the QuantCloud infrastructure, designed for performing big data
analytics in modern quantitative finance. Through analyzing market observations …

The rapidly increasing amount of data available in society and business drives the
development of Artificial Intelligence (AI). As the number of AI-based services is increasing …