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@article{DBLP:journals/access/ParkKH24,
author = {Ji{-}Heon Park and
Jae{-}Hwan Kim and
Jun{-}Ho Huh},
title = {Deep Reinforcement Learning Robots for Algorithmic Trading: Considering
Stock Market Conditions and {U.S.} Interest Rates},
journal = {{IEEE} Access},
volume = {12},
pages = {20705--20725},
year = {2024}
}
@article{DBLP:journals/access/TudorS24,
author = {Cristiana Tudor and
Robert Sova},
title = {Enhancing Trading Decision in Financial Markets: An Algorithmic Trading
Framework With Continual Mean-Variance Optimization, Window Presetting,
and Controlled Early-Stopping},
journal = {{IEEE} Access},
volume = {12},
pages = {87633--87644},
year = {2024}
}
@article{DBLP:journals/eswa/HuangWZL24,
author = {Yuling Huang and
Xiaoxiao Wan and
Lin Zhang and
Xiaoping Lu},
title = {A novel deep reinforcement learning framework with BiLSTM-Attention
networks for algorithmic trading},
journal = {Expert Syst. Appl.},
volume = {240},
pages = {122581},
year = {2024}
}
@article{DBLP:journals/eswa/KhM24,
author = {Mahdi Massahi Kh. and
Masoud Mahootchi},
title = {A deep Q-learning based algorithmic trading system for commodity futures
markets},
journal = {Expert Syst. Appl.},
volume = {237},
number = {Part {C}},
pages = {121711},
year = {2024}
}
@article{DBLP:journals/eswa/MajidiSM24,
author = {Naseh Majidi and
Mahdi Shamsi and
Farokh Marvasti},
title = {Algorithmic trading using continuous action space deep reinforcement
learning},
journal = {Expert Syst. Appl.},
volume = {235},
pages = {121245},
year = {2024}
}
@article{DBLP:journals/eswa/SevastjanovKR24,
author = {Pavel V. Sevastjanov and
Krzysztof Kaczmarek and
Leszek Rutkowski},
title = {A multi-model approach to the development of algorithmic trading systems
for the Forex market},
journal = {Expert Syst. Appl.},
volume = {236},
pages = {121310},
year = {2024}
}
@article{DBLP:journals/sncs/LeonSCHS24,
author = {Diego Le{\'{o}}n and
Javier Sandoval and
Andrea Cruz and
Germ{\'{a}}n Jairo Hern{\'{a}}ndez and
Oscar Sierra},
title = {Deep Heterogeneous AutoML Trend Prediction Model for Algorithmic Trading
in the {USD/COP} Colombian {FX} Market Through Limit Order Book {(LOB)}},
journal = {{SN} Comput. Sci.},
volume = {5},
number = {5},
pages = {631},
year = {2024}
}
@inproceedings{DBLP:conf/amcis/SengewaldL24a,
author = {Julian Sengewald and
Richard Lackes},
title = {Robo-Advisory and Algorithmic Trading via Evolutionary Discretization
and Rule-Mining},
booktitle = {{AMCIS}},
publisher = {Association for Information Systems},
year = {2024}
}
@inproceedings{DBLP:conf/pakdd/ChengZZX24,
author = {Xi Cheng and
Jinghao Zhang and
Yunan Zeng and
Wenfang Xue},
title = {{MOT:} {A} Mixture of Actors Reinforcement Learning Method by Optimal
Transport for Algorithmic Trading},
booktitle = {{PKDD} {(4)}},
series = {Lecture Notes in Computer Science},
volume = {14648},
pages = {30--42},
publisher = {Springer},
year = {2024}
}
@article{DBLP:journals/corr/abs-2403-12285,
author = {Thanos Konstantinidis and
Giorgos Iacovides and
Mingxue Xu and
Tony G. Constantinides and
Danilo P. Mandic},
title = {FinLlama: Financial Sentiment Classification for Algorithmic Trading
Applications},
journal = {CoRR},
volume = {abs/2403.12285},
year = {2024}
}
@phdthesis{DBLP:phd/basesearch/Felder23,
author = {Christopher Felder},
title = {Algorithmic Trading with Machine Learning},
school = {T{\"{u}}bingen University, Germany},
year = {2023}
}
@article{DBLP:journals/access/Jin23,
author = {Boyi Jin},
title = {A Mean-VaR Based Deep Reinforcement Learning Framework for Practical
Algorithmic Trading},
journal = {{IEEE} Access},
volume = {11},
pages = {28920--28933},
year = {2023}
}
@article{DBLP:journals/air/AdegboyeKO23,
author = {Adesola Adegboye and
Michael Kampouridis and
Fernando E. B. Otero},
title = {Algorithmic trading with directional changes},
journal = {Artif. Intell. Rev.},
volume = {56},
number = {6},
pages = {5619--5644},
year = {2023}
}
@article{DBLP:journals/apin/LiuZBYZ23,
author = {Peipei Liu and
Yunfeng Zhang and
Fangxun Bao and
Xunxiang Yao and
Caiming Zhang},
title = {Multi-type data fusion framework based on deep reinforcement learning
for algorithmic trading},
journal = {Appl. Intell.},
volume = {53},
number = {2},
pages = {1683--1706},
year = {2023}
}
@article{DBLP:journals/apin/SunS23,
author = {Qizhou Sun and
Yain{-}Whar Si},
title = {Supervised actor-critic reinforcement learning with action feedback
for algorithmic trading},
journal = {Appl. Intell.},
volume = {53},
number = {13},
pages = {16875--16892},
year = {2023}
}
@article{DBLP:journals/asc/HuangLMG23,
author = {Zhen Huang and
Ning Li and
Wenliang Mei and
Wenyong Gong},
title = {Algorithmic trading using combinational rule vector and deep reinforcement
learning},
journal = {Appl. Soft Comput.},
volume = {147},
pages = {110802},
year = {2023}
}
@article{DBLP:journals/bdcc/OmranEY23,
author = {Sherin M. Omran and
Wessam H. El{-}Behaidy and
Aliaa A. A. Youssif},
title = {Optimization of Cryptocurrency Algorithmic Trading Strategies Using
the Decomposition Approach},
journal = {Big Data Cogn. Comput.},
volume = {7},
number = {4},
pages = {174},
year = {2023}
}
@article{DBLP:journals/es/Malik23,
author = {Avinash Malik},
title = {A comparison of machine learning and econometric models for pricing
perpetual Bitcoin futures and their application to algorithmic trading},
journal = {Expert Syst. J. Knowl. Eng.},
volume = {40},
number = {10},
year = {2023}
}
@article{DBLP:journals/jifs/HuangS23,
author = {Yuling Huang and
Yunlin Song},
title = {A new hybrid method of recurrent reinforcement learning and BiLSTM
for algorithmic trading},
journal = {J. Intell. Fuzzy Syst.},
volume = {45},
number = {2},
pages = {1939--1951},
year = {2023}
}
@article{DBLP:journals/jtaer/PauleVianezOGE23,
author = {Jessica Paule{-}Vianez and
Carmen Orden{-}Cruz and
Ra{\'{u}}l G{\'{o}}mez{-}Mart{\'{\i}}nez and
Sandra Escamilla{-}Solano},
title = {Fear of {COVID-19} Effect on Stock Markets: {A} Proposal for an Algorithmic
Trading System Based on Fear},
journal = {J. Theor. Appl. Electron. Commer. Res.},
volume = {18},
number = {2},
pages = {1142--1156},
year = {2023}
}
@inproceedings{DBLP:conf/bcd/Patil23,
author = {Tanaya Patil},
title = {From ML-Infused Algorithms to Financial Agents, transforming Algorithmic
Trading Excellence: {A} Comprehensive Study},
booktitle = {{BCD}},
pages = {64--68},
publisher = {{IEEE}},
year = {2023}
}
@inproceedings{DBLP:conf/ccia/DiazG23,
author = {Fernando Villamar{\'{\i}}n D{\'{\i}}az and
Carlos Guerrero{-}Mosquera},
title = {Navigating Black Swan Events in Algorithmic Trading: {A} Reinforcement
Learning Perspective},
booktitle = {{CCIA}},
series = {Frontiers in Artificial Intelligence and Applications},
volume = {375},
pages = {110--114},
publisher = {{IOS} Press},
year = {2023}
}
@inproceedings{DBLP:conf/dese/BlackmunAA23,
author = {Piers Blackmun and
Sahar Al{-}Sudani and
Dhiya Al{-}Jumeily},
title = {Design and Implementation of Algorithmic Stock Trading},
booktitle = {DeSE},
pages = {149--153},
publisher = {{IEEE}},
year = {2023}
}
@inproceedings{DBLP:conf/ecai/HudaszekCA23,
author = {Kamil Hudaszek and
Iwona Chomiak{-}Orsa and
Saeed Abdullah M. AL{-}Dobai},
title = {Green Hardware Infrastructure for Algorithmic Trading},
booktitle = {{ECAI} Workshops {(2)}},
series = {Communications in Computer and Information Science},
volume = {1948},
pages = {194--200},
publisher = {Springer},
year = {2023}
}
@inproceedings{DBLP:conf/gecco/ChristodoulakiK23,
author = {Evangelia Christodoulaki and
Michael Kampouridis and
Maria Kyropoulou},
title = {Enhanced Strongly typed Genetic Programming for Algorithmic Trading},
booktitle = {{GECCO}},
pages = {1055--1063},
publisher = {{ACM}},
year = {2023}
}
@inproceedings{DBLP:conf/iclr/AbediniHHM23,
author = {Tohid Abedini and
Samin Heydarian and
Moein Heidari and
Alireza Morsali},
title = {Chaotic Transformers for Deep Reinforcement Learning in Algorithmic
Trading},
booktitle = {Tiny Papers @ {ICLR}},
publisher = {OpenReview.net},
year = {2023}
}
@inproceedings{DBLP:conf/ifip12/ZahrahT23,
author = {Hasna Haifa Zahrah and
Jimmy Tirtawangsa},
title = {Algorithmic Forex Trading Using Q-learning},
booktitle = {{AIAI} {(1)}},
series = {{IFIP} Advances in Information and Communication Technology},
volume = {675},
pages = {24--35},
publisher = {Springer},
year = {2023}
}
@inproceedings{DBLP:conf/ssci/ChristodoulakiK23,
author = {Eva Christodoulaki and
Michael Kampouridis},
title = {Fundamental, Technical and Sentiment Analysis for Algorithmic Trading
with Genetic Programming},
booktitle = {{SSCI}},
pages = {83--89},
publisher = {{IEEE}},
year = {2023}
}
@article{DBLP:journals/corr/abs-2307-09377,
author = {Vikram Duvvur and
Aashay Mehta and
Edward Sun and
Bo Wu and
Ken Yew Chan and
Jeff Schneider},
title = {Data Cross-Segmentation for Improved Generalization in Reinforcement
Learning Based Algorithmic Trading},
journal = {CoRR},
volume = {abs/2307.09377},
year = {2023}
}
@article{DBLP:journals/corr/abs-2309-01784,
author = {Song Wei and
Andrea Coletta and
Svitlana Vyetrenko and
Tucker Balch},
title = {{ATMS:} Algorithmic Trading-Guided Market Simulation},
journal = {CoRR},
volume = {abs/2309.01784},
year = {2023}
}
@article{DBLP:journals/corr/abs-2312-12774,
author = {Nassi Ebadifard and
Ajitesh Parihar and
Youry Khmelevsky and
Ga{\'{e}}tan Hains and
Albert Wong and
Frank Zhang},
title = {Data Extraction, Transformation, and Loading Process Automation for
Algorithmic Trading Machine Learning Modelling and Performance Optimization},
journal = {CoRR},
volume = {abs/2312.12774},
year = {2023}
}
@article{DBLP:journals/access/TudorS22,
author = {Cristiana Tudor and
Robert Sova},
title = {Flexible Decision Support System for Algorithmic Trading: Empirical
Application on Crude Oil Markets},
journal = {{IEEE} Access},
volume = {10},
pages = {9628--9644},
year = {2022}
}
@article{DBLP:journals/af/HurwitzMDB22,
author = {Catalina I. Hurwitz and
Suchismita Mishra and
Robert T. Daigler and
Ihsan Badshah},
title = {Dynamics of information leadership in the volatility complex with
trading time changes: Evidence from {VIX} futures and {VIX} ETPs},
journal = {Algorithmic Finance},
volume = {9},
number = {3-4},
pages = {63--79},
year = {2022}
}
@article{DBLP:journals/clsr/Schmidt-KessenE22,
author = {Maria Jos{\'{e}} Schmidt{-}Kessen and
Helen Eenmaa and
Maya Mitre},
title = {Machines that make and keep promises - Lessons for contract automation
from algorithmic trading on financial markets},
journal = {Comput. Law Secur. Rev.},
volume = {46},
pages = {105717},
year = {2022}
}
@article{DBLP:journals/eswa/Dubey22,
author = {Ritesh Kumar Dubey},
title = {Algorithmic Trading: The Intelligent Trading Systems and Its Impact
on Trade Size},
journal = {Expert Syst. Appl.},
volume = {202},
pages = {117279},
year = {2022}
}
@article{DBLP:journals/eswa/FelizardoPGMCDB22,
author = {Leonardo Kanashiro Felizardo and
Francisco Caio Lima Paiva and
Catharine de Vita Graves and
Elia Yathie Matsumoto and
Anna Helena Reali Costa and
Emilio Del{-}Moral{-}Hernandez and
Paolo Brandimarte},
title = {Outperforming algorithmic trading reinforcement learning systems:
{A} supervised approach to the cryptocurrency market},
journal = {Expert Syst. Appl.},
volume = {202},
pages = {117259},
year = {2022}
}
@article{DBLP:journals/eswa/ShavandiK22,
author = {Ali Shavandi and
Majid Khedmati},
title = {A multi-agent deep reinforcement learning framework for algorithmic
trading in financial markets},
journal = {Expert Syst. Appl.},
volume = {208},
pages = {118124},
year = {2022}
}
@inproceedings{DBLP:conf/blockchain2/ZhangWLSL22,
author = {Luyao Zhang and
Tianyu Wu and
Saad Lahrichi and
Carlos{-}Gustavo Salas{-}Flores and
Jiayi Li},
title = {A Data Science Pipeline for Algorithmic Trading: {A} Comparative Study
of Applications for Finance and Cryptoeconomics},
booktitle = {Blockchain},
pages = {298--303},
publisher = {{IEEE}},
year = {2022}
}
@inproceedings{DBLP:conf/cec/ChristodoulakiK22,
author = {Eva Christodoulaki and
Michael Kampouridis},
title = {U sing strongly typed genetic programming to combine technical and
sentiment analysis for algorithmic trading},
booktitle = {{CEC}},
pages = {1--8},
publisher = {{IEEE}},
year = {2022}
}
@inproceedings{DBLP:conf/cikm/DuanCCLQ22,
author = {Zhongjie Duan and
Cen Chen and
Dawei Cheng and
Yuqi Liang and
Weining Qian},
title = {Optimal Action Space Search: An Effective Deep Reinforcement Learning
Method for Algorithmic Trading},
booktitle = {{CIKM}},
pages = {406--415},
publisher = {{ACM}},
year = {2022}
}
@inproceedings{DBLP:conf/dexa/NanPZ22,
author = {Abhishek Nan and
Anandh Perumal and
Osmar R. Za{\"{\i}}ane},
title = {Sentiment and Knowledge Based Algorithmic Trading with Deep Reinforcement
Learning},
booktitle = {{DEXA} {(1)}},
series = {Lecture Notes in Computer Science},
volume = {13426},
pages = {167--180},
publisher = {Springer},
year = {2022}
}
@inproceedings{DBLP:conf/gecco/TirumalaBMMZ22,
author = {Abhiram Tirumala and
Rishi Bhatnager and
Sriram Mudireddy and
Pranav Manjunath and
Jason Zutty},
title = {Designing a novel and high performance algorithmic trading model using
evolutionary AutoML and technical analysis},
booktitle = {{GECCO} Companion},
pages = {312--315},
publisher = {{ACM}},
year = {2022}
}
@inproceedings{DBLP:conf/icbdt/XuX22,
author = {Jingxia Xu and
Yun Xiong},
title = {Algorithmic Trading Strategies for Informed Traders},
booktitle = {{ICBDT}},
pages = {160--164},
publisher = {{ACM}},
year = {2022}
}
@inproceedings{DBLP:conf/iccta2/NemethS22,
author = {Marcell N{\'{e}}meth and
G{\'{a}}bor Sz{\"{u}}cs},
title = {Split Feature Space Ensemble Method using Deep Reinforcement Learning
for Algorithmic Trading},
booktitle = {{ICCTA}},
pages = {188--194},
publisher = {{ACM}},
year = {2022}
}
@inproceedings{DBLP:conf/icis/ChoNJ22,
author = {Kanghyun Cho and
Kihwan Nam and
JaeHwuen Jung},
title = {Blessing or Curse: Impact of Algorithmic Trading Bots Invasion of
the Cryptocurrency Market},
booktitle = {{ICIS}},
publisher = {Association for Information Systems},
year = {2022}
}
@inproceedings{DBLP:conf/ssci/SinghTT22,
author = {Japjeet Singh and
Ruppa K. Thulasiram and
Aerambamoorthy Thavaneswaran},
title = {{LSTM} based Algorithmic Trading model for Bitcoin},
booktitle = {{SSCI}},
pages = {344--351},
publisher = {{IEEE}},
year = {2022}
}
@article{DBLP:journals/corr/abs-2206-14932,
author = {Luyao Zhang and
Tianyu Wu and
Saad Lahrichi and
Carlos{-}Gustavo Salas{-}Flores and
Jiayi Li},
title = {A Data Science Pipeline for Algorithmic Trading: {A} Comparative Study
of Applications for Finance and Cryptoeconomics},
journal = {CoRR},
volume = {abs/2206.14932},
year = {2022}
}
@article{DBLP:journals/corr/abs-2208-10707,
author = {Boyi Jin},
title = {An intelligent algorithmic trading based on a risk-return reinforcement
learning algorithm},
journal = {CoRR},
volume = {abs/2208.10707},
year = {2022}
}
@article{DBLP:journals/corr/abs-2210-03469,
author = {Naseh Majidi and
Mahdi Shamsi and
Farokh Marvasti},
title = {Algorithmic Trading Using Continuous Action Space Deep Reinforcement
Learning},
journal = {CoRR},
volume = {abs/2210.03469},
year = {2022}
}
@phdthesis{DBLP:phd/ethos/Spooner21,
author = {Thomas Spooner},
title = {Algorithmic trading and reinforcement learning: robust methodologies
for {AI} in finance},
school = {University of Liverpool, {UK}},
year = {2021}
}
@article{DBLP:journals/access/AloudA21,
author = {Monira Essa Aloud and
Nora Alkhamees},
title = {Intelligent Algorithmic Trading Strategy Using Reinforcement Learning
and Directional Change},
journal = {{IEEE} Access},
volume = {9},
pages = {114659--114671},
year = {2021}
}
@article{DBLP:journals/access/ParkL21,
author = {Deog{-}Yeong Park and
Ki{-}Hoon Lee},
title = {Practical Algorithmic Trading Using State Representation Learning
and Imitative Reinforcement Learning},
journal = {{IEEE} Access},
volume = {9},
pages = {152310--152321},
year = {2021}
}
@article{DBLP:journals/eswa/TheateE21,
author = {Thibaut Th{\'{e}}ate and
Damien Ernst},
title = {An application of deep reinforcement learning to algorithmic trading},
journal = {Expert Syst. Appl.},
volume = {173},
pages = {114632},
year = {2021}
}
@article{DBLP:journals/peerj-cs/AhmadAAAK21,
author = {Iftikhar Ahmad and
Muhammad Ovais Ahmad and
Mohammed A. Alqarni and
Abdulwahab Ali Almazroi and
Muhammad Imran Khan Khalil},
title = {Using algorithmic trading to analyze short term profitability of Bitcoin},
journal = {PeerJ Comput. Sci.},
volume = {7},
pages = {e337},
year = {2021}
}
@article{DBLP:journals/tcss/LiWWZ21,
author = {Yuze Li and
Shouyang Wang and
Yunjie Wei and
Qing Zhu},
title = {A New Hybrid VMD-ICSS-BiGRU Approach for Gold Futures Price Forecasting
and Algorithmic Trading},
journal = {{IEEE} Trans. Comput. Soc. Syst.},
volume = {8},
number = {6},
pages = {1357--1368},
year = {2021}
}
@inproceedings{DBLP:conf/compsac/HoqueTPT21,
author = {Md. Erfanul Hoque and
Aerambamoorthy Thavaneswaran and
Alex Paseka and
Ruppa K. Thulasiram},
title = {An Algorithmic Multiple Trading Strategy Using Data-Driven Random
Weights Innovation Volatility},
booktitle = {{COMPSAC}},
pages = {1760--1765},
publisher = {{IEEE}},
year = {2021}
}
@inproceedings{DBLP:conf/compsac/Johnson-Skinner21,
author = {Ethan Johnson{-}Skinner and
You Liang and
Na Yu and
Alin Morariu},
title = {A Novel Algorithmic Trading Strategy using Hidden Markov Model for
Kalman Filtering Innovations},
booktitle = {{COMPSAC}},
pages = {1766--1771},
publisher = {{IEEE}},
year = {2021}
}
@inproceedings{DBLP:conf/www/SawhneyAWS21,
author = {Ramit Sawhney and
Shivam Agarwal and
Arnav Wadhwa and
Rajiv Ratn Shah},
title = {Exploring the Scale-Free Nature of Stock Markets: Hyperbolic Graph
Learning for Algorithmic Trading},
booktitle = {{WWW}},
pages = {11--22},
publisher = {{ACM} / {IW3C2}},
year = {2021}
}
@article{DBLP:journals/corr/abs-2105-13126,
author = {Thomas Orton},
title = {An Introduction To Regret Minimization In Algorithmic Trading: {A}
Survey of Universal Portfolio Techniques},
journal = {CoRR},
volume = {abs/2105.13126},
year = {2021}
}
@article{DBLP:journals/corr/abs-2106-00123,
author = {Tidor{-}Vlad Pricope},
title = {Deep Reinforcement Learning in Quantitative Algorithmic Trading: {A}
Review},
journal = {CoRR},
volume = {abs/2106.00123},
year = {2021}
}
@article{DBLP:journals/corr/abs-2109-11270,
author = {Ceren Kocaogullar and
Arthur Gervais and
Benjamin Livshits},
title = {Towards Private On-Chain Algorithmic Trading},
journal = {CoRR},
volume = {abs/2109.11270},
year = {2021}
}
@article{DBLP:journals/corr/abs-2110-14936,
author = {Nathan Crone and
Eoin Brophy and
Tom{\'{a}}s Ward},
title = {Exploration of Algorithmic Trading Strategies for the Bitcoin Market},
journal = {CoRR},
volume = {abs/2110.14936},
year = {2021}
}
@article{DBLP:journals/bigdatasociety/Hansen20,
author = {Kristian Bondo Hansen},
title = {The virtue of simplicity: On machine learning models in algorithmic
trading},
journal = {Big Data Soc.},
volume = {7},
number = {1},
pages = {205395172092655},
year = {2020}
}
@article{DBLP:journals/entropy/HilbertD20,
author = {Martin Hilbert and
David Darmon},
title = {How Complexity and Uncertainty Grew with Algorithmic Trading},
journal = {Entropy},
volume = {22},
number = {5},
pages = {499},
year = {2020}
}
@article{DBLP:journals/eor/HaZ20,
author = {Youngmin Ha and
Hai Zhang},
title = {Algorithmic trading for online portfolio selection under limited market
liquidity},
journal = {Eur. J. Oper. Res.},
volume = {286},
number = {3},
pages = {1033--1051},
year = {2020}
}
@article{DBLP:journals/eswa/LeiZLYS20,
author = {Kai Lei and
Bing Zhang and
Yu Li and
Min Yang and
Ying Shen},
title = {Time-driven feature-aware jointly deep reinforcement learning for
financial signal representation and algorithmic trading},
journal = {Expert Syst. Appl.},
volume = {140},
year = {2020}
}
@article{DBLP:journals/ijais/PeiV20,
author = {Duo Pei and
Miklos A. Vasarhelyi},
title = {Big data and algorithmic trading against periodic and tangible asset
reporting: The need for {U-XBRL}},
journal = {Int. J. Account. Inf. Syst.},
volume = {37},
pages = {100453},
year = {2020}
}
@article{DBLP:journals/informaticaSI/SaifanSAA20,
author = {Ramzi R. Saifan and
Khaled Sharif and
Mohammad Abu{-}Ghazaleh and
Mohammad Abdel{-}Majeed},
title = {Investigating Algorithmic Stock Market Trading using Ensemble Machine
Learning Methods},
journal = {Informatica (Slovenia)},
volume = {44},
number = {3},
year = {2020}
}
@article{DBLP:journals/jcis/VoY20,
author = {Au Vo and
Christopher Yost{-}Bremm},
title = {A High-Frequency Algorithmic Trading Strategy for Cryptocurrency},
journal = {J. Comput. Inf. Syst.},
volume = {60},
number = {6},
pages = {555--568},
year = {2020}
}
@article{DBLP:journals/jifs/BayramAB20,
author = {Mehmet Bayram and
Muzaffer Akat and
Serol Bulkan},
title = {Algorithmic pairs trading with expert inputs, a fuzzy statistical
arbitrage framework},
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booktitle = {{ICTAI}},
pages = {1494--1498},
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publisher = {Association for Information Systems},
year = {2017}
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author = {James E. Schmitz},
title = {Algorithmic trading in the Iowa electronic markets},
journal = {Algorithmic Finance},
volume = {1},
number = {2},
pages = {157--181},
year = {2011}
}
@article{DBLP:journals/computer/NutiMTY11,
author = {Giuseppe Nuti and
Mahnoosh Mirghaemi and
Philip C. Treleaven and
Chaiyakorn Yingsaeree},
title = {Algorithmic Trading},
journal = {Computer},
volume = {44},
number = {11},
pages = {61--69},
year = {2011}
}
@inproceedings{DBLP:conf/ecms/Kumar11,
author = {Deepak Kumar},
title = {Numerical Methods For Optimal Control Based Schemes For Volatility
Calibration And Algorithmic Tradings},
booktitle = {{ECMS}},
pages = {289--295},
publisher = {European Council for Modeling and Simulation},
year = {2011}
}
@inproceedings{DBLP:conf/wirtschaftsinformatik/Groth11,
author = {Sven S. Groth},
title = {Does Algorithmic Trading Increase Volatility? Empirical Evidence from
the Fully-Electronic Trading Platform Xetra},
booktitle = {Wirtschaftsinformatik},
pages = {112},
year = {2011}
}
@article{DBLP:journals/pvldb/SadoghiJLSS10,
author = {Mohammad Sadoghi and
Hans{-}Arno Jacobsen and
Martin Labrecque and
Warren Shum and
Harsh Singh},
title = {Efficient Event Processing through Reconfigurable Hardware for Algorithmic
Trading},
journal = {Proc. {VLDB} Endow.},
volume = {3},
number = {2},
pages = {1525--1528},
year = {2010}
}
@inproceedings{DBLP:conf/asap/WrayLP10,
author = {Stephen Wray and
Wayne Luk and
Peter R. Pietzuch},
title = {Exploring algorithmic trading in reconfigurable hardware},
booktitle = {{ASAP}},
pages = {325--328},
publisher = {{IEEE} Computer Society},
year = {2010}
}
@inproceedings{DBLP:conf/fc/YuenSLT10,
author = {William Yuen and
Paul F. Syverson and
Zhenming Liu and
Christopher Thorpe},
title = {Intention-Disguised Algorithmic Trading},
booktitle = {Financial Cryptography},
series = {Lecture Notes in Computer Science},
volume = {6052},
pages = {408--415},
publisher = {Springer},
year = {2010}
}
@inproceedings{DBLP:conf/fpl/WrayLP10,
author = {Stephen Wray and
Wayne Luk and
Peter R. Pietzuch},
title = {Run-Time Reconfiguration for a Reconfigurable Algorithmic Trading
Engine},
booktitle = {{FPL}},
pages = {163--166},
publisher = {{IEEE} Computer Society},
year = {2010}
}
@inproceedings{DBLP:conf/iih-msp/ChouC10,
author = {Chia{-}Han Chou and
Allen Y. Chang},
title = {Visual Development Platform for White-Box Algorithmic Trading},
booktitle = {{IIH-MSP}},
pages = {712--715},
publisher = {{IEEE} Computer Society},
year = {2010}
}
@inproceedings{DBLP:conf/iiwas/Rashid10,
author = {Adnan Rashid},
title = {Using a service oriented architecture for simulating algorithmic trading
strategies},
booktitle = {iiWAS},
pages = {925--929},
publisher = {{ACM}},
year = {2010}
}
@inproceedings{DBLP:conf/isica/WangDD10,
author = {Feng Wang and
Keren Dong and
Xiaotie Deng},
title = {Algorithmic Trading Strategy Optimization Based on Mutual Information
Entropy Based Clustering},
booktitle = {{ISICA} {(1)}},
series = {Lecture Notes in Computer Science},
volume = {6382},
pages = {252--260},
publisher = {Springer},
year = {2010}
}
@inproceedings{DBLP:conf/mkwi/StorkenmaierMW10,
author = {Andreas Storkenmaier and
Marius B. M{\"{u}}ller and
Christof Weinhardt},
title = {A Software Framework for a News Event Driven Simulation of Algorithmic
Trading Strategies},
booktitle = {{MKWI}},
pages = {1871--1882},
publisher = {Universit{\"{a}}tsverlag G{\"{o}}ttingen},
year = {2010}
}
@article{DBLP:journals/fcsc/WangDD09,
author = {Feng Wang and
Keren Dong and
Xiaotie Deng},
title = {Algorithmic trading system: design and applications},
journal = {Frontiers Comput. Sci. China},
volume = {3},
number = {2},
pages = {235--246},
year = {2009}
}
@inproceedings{DBLP:conf/ecis/GsellG09,
author = {Markus Gsell and
Peter Gomber},
title = {Algorithmic trading engines versus human traders - Do they behave
different in securities markets?},
booktitle = {{ECIS}},
pages = {98--109},
year = {2009}
}
@inproceedings{DBLP:conf/i3e/Groth09,
author = {Sven S. Groth},
title = {Algorithmic Trading Engines and Liquidity Contribution: The Blurring
of "Traditional" Definitions},
booktitle = {{I3E}},
series = {{IFIP}},
volume = {305},
pages = {210--224},
publisher = {Springer},
year = {2009}
}
@inproceedings{DBLP:conf/pacis/Gsell09,
author = {Markus Gsell},
title = {Technological Innovations in Securities Trading: The Adoption of Algorithmic
Trading},
booktitle = {{PACIS}},
pages = {54},
publisher = {AISeL},
year = {2009}
}
@inproceedings{DBLP:conf/ecis/Gsell08,
author = {Markus Gsell},
title = {Assessing the Impact of Algorithmic Trading on Markets: {A} Simulation
Approach},
booktitle = {{ECIS}},
pages = {587--598},
year = {2008}
}
@inproceedings{DBLP:conf/icai/BarbosaB08,
author = {Rui Pedro Barbosa and
Orlando Belo},
title = {Algorithmic Trading Using Intelligent Agents},
booktitle = {{IC-AI}},
pages = {136--142},
publisher = {{CSREA} Press},
year = {2008}
}
@inproceedings{DBLP:conf/idc/ParaschivRV08,
author = {Daniel Paraschiv and
Srinivas Raghavendra and
Laurentiu Vasiliu},
title = {Algorithmic Trading on an Artificial Stock Market},
booktitle = {{IDC}},
series = {Studies in Computational Intelligence},
volume = {162},
pages = {281--286},
publisher = {Springer},
year = {2008}
}
@inproceedings{DBLP:conf/sac/MontanaTT08,
author = {Giovanni Montana and
Kostas Triantafyllopoulos and
Theodoros Tsagaris},
title = {Data stream mining for market-neutral algorithmic trading},
booktitle = {{SAC}},
pages = {966--970},
publisher = {{ACM}},
year = {2008}
}
@article{DBLP:journals/talg/BhatiaCFN07,
author = {Randeep Bhatia and
Julia Chuzhoy and
Ari Freund and
Joseph Naor},
title = {Algorithmic aspects of bandwidth trading},
journal = {{ACM} Trans. Algorithms},
volume = {3},
number = {1},
pages = {10:1--10:19},
year = {2007}
}
@inproceedings{DBLP:conf/icalp/BhatiaCFN03,
author = {Randeep Bhatia and
Julia Chuzhoy and
Ari Freund and
Joseph Naor},
title = {Algorithmic Aspects of Bandwidth Trading},
booktitle = {{ICALP}},
series = {Lecture Notes in Computer Science},
volume = {2719},
pages = {751--766},
publisher = {Springer},
year = {2003}
}
@article{DBLP:journals/algorithmica/El-YanivFKT01,
author = {Ran El{-}Yaniv and
Amos Fiat and
Richard M. Karp and
G. Turpin},
title = {Optimal Search and One-Way Trading Online Algorithms},
journal = {Algorithmica},
volume = {30},
number = {1},
pages = {101--139},
year = {2001}
}
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