10 citations · 29 across the 6 of their papers we have counts for
Showing q-fin.TRShow all
2 papers · 1 filter
q-fin.TR2020
The Importance of Low Latency to Order Book Imbalance Trading Strategies
David Byrd, Sruthi Palaparthi, Maria Hybinette +1
There is a pervasive assumption that low latency access to an exchange is a key factor in the profitability of many high-frequency trading strategies. This belief is evidenced by t…
q-fin.TR2019★ 8 cited
Get Real: Realism Metrics for Robust Limit Order Book Market Simulations
Svitlana Vyetrenko, David Byrd, Nick Petosa +4
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important…