8 citations · 16 across the 6 of their papers we have counts for
Showing 2021Show all
3 papers · 1 filter
q-fin.TR2021
Self-organised criticality in high frequency finance: the case of flash crashes
Jeremy D. Turiel, Tomaso Aste
With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling…
q-fin.TR2021★ 8 cited
Heterogenous criticality in high frequency finance: a phase transition in flash crashes
Jeremy Turiel, Tomaso Aste
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audien…
cs.LG2021★ 6 cited
Deep Reinforcement Learning for Active High Frequency Trading
Antonio Briola, Jeremy Turiel, Riccardo Marcaccioli +2
We introduce the first end-to-end Deep Reinforcement Learning (DRL) based framework for active high frequency trading in the stock market. We train DRL agents to trade one unit of…