It has been suggested that multiple agent classes operate in this system, with a non-trivial hierarchy of top-down and bottom-up causation classes with different effective models governing each level.
The process of liquidity provision in financial markets can result in prolonged exposure to illiquid instruments for market makers.
We present a scheme for online, unsupervised state discovery and detection from streaming, multi-featured, asynchronous data in high-frequency financial markets.
no code implementations • 9 Sep 2015 • Beate Franke, Jean-François Plante, Ribana Roscher, Annie Lee, Cathal Smyth, Armin Hatefi, Fuqi Chen, Einat Gil, Alexander Schwing, Alessandro Selvitella, Michael M. Hoffman, Roger Grosse, Dieter Hendricks, Nancy Reid
The need for new methods to deal with big data is a common theme in most scientific fields, although its definition tends to vary with the context.
We implement a master-slave parallel genetic algorithm (PGA) with a bespoke log-likelihood fitness function to identify emergent clusters within price evolutions.