Online algorithms in high-frequency trading.
Jacob LovelessSasha StoikovRolf WaeberPublished in: Commun. ACM (2013)
Keyphrases
- high frequency
- online algorithms
- online learning
- low frequency
- lower bound
- worst case
- learning algorithm
- wavelet transform
- electronic commerce
- high resolution
- subband
- high frequencies
- average case
- wavelet coefficients
- discrete wavelet transform
- pattern recognition
- multiscale
- decision boundary
- asymptotically optimal
- upper bound
- computational complexity
- np hard
- nearest neighbor
- machine learning