High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China's Stock Index Futures Market before and after Trading Restrictions.
Guangwei ShiYun ChenPublished in: Complex. (2020)
Keyphrases
- futures market
- high frequency
- investment strategies
- financial markets
- stock exchange
- low frequency
- short run
- stock index
- stock market
- long run
- high resolution
- visual quality
- portfolio optimization
- trading systems
- risk management
- subband
- stock price
- wavelet transform
- discrete wavelet transform
- decision making
- wavelet coefficients
- stock index futures
- autoregressive
- wavelet domain
- trading strategies
- high frequency components
- decision support system
- dynamic programming
- similarity measure