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20182026
most citedA parametric approach to information filtering in complex networks: The Pólya filter

60 citations · 104 across the 6 of their papers we have counts for

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Showing 2021Show all

2 papers · 1 filter

q-fin.TR2021★ 23 cited

Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes

Riccardo Marcaccioli, Jean-Philippe Bouchaud, Michael Benzaquen

Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhib…

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…