Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity.
Isao YagiYuji MasudaTakanobu MizutaPublished in: CoRR (2020)
Keyphrases
- high frequency
- futures market
- financial markets
- short run
- low frequency
- long run
- high resolution
- visual quality
- wavelet transform
- market data
- stock price
- high frequencies
- subband
- stock market
- wavelet decomposition
- wavelet coefficients
- frequency band
- trading strategies
- low pass
- investment strategies
- discrete wavelet transform
- foreign exchange
- blocking artifacts
- trading systems
- portfolio selection
- high frequency components
- electricity markets
- phase shifting
- exchange rate