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 …

This article surveys the evolution of stock market trading over a 60-year period. It begins
before 1960, when there was no database widely available to conduct a statistical analysis …

We look at the effect of the tick size changes on the TOPIX 100 index names made by the
Tokyo Stock Exchange on Jan-14-2014 and Jul-22-2104. The intended consequence of the …

We utilize a fundamentally different model of trading costs to look at the effect of the opening
of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities …

We develop a fundamentally different stochastic dynamic programming model of trading
costs. Built on a strong theoretical foundation, our model provides insights to market …

This paper presents two optimisation models for the Saudi central bank, whose reserve
outflows are regular and of significant amounts. The approach adopted here does not view …

This research study examined the viability of the premise of uncovered interest rate parity
(UIP) between the two nations using the United States of America (USA) as the anchor …

Estimation of transaction costs in a stock market is an important issue for stock trading, asset
pricing, stock market regulation and so on, and it is often done by combining the bid-ask …

This paper proposes a performance-driven gradient boosting model (pdGBM) which predicts
short-horizon price movements by combining nonlinear response functions of selected …

Koncepcja kosztów transakcyjnych została wprowadzona przez Coase'a w artykule z 1937
r.[Coase, 1937]. Coase zadaje pytanie o przyczyny istnienia firm. Jeżeli mechanizm cenowy …