108 citations · 435 across the 38 of their papers we have counts for
4 papers · 1 filter
Comparing the market microstructure between two South African exchanges
Ivan Jericevich, Patrick Chang, Tim Gebbie
We consider shared listings on two South African equity exchanges: the Johannesburg Stock Exchange (JSE) and the A2X Exchange. A2X is an alternative exchange that provides for both…
The Epps effect under alternative sampling schemes
Patrick Chang, Etienne Pienaar, Tim Gebbie
Time and the choice of measurement time scales is fundamental to how we choose to represent information and data in finance. This choice implies both the units and the aggregation…
Learning low-frequency temporal patterns for quantitative trading
Joel da Costa, Tim Gebbie
We consider the viability of a modularised mechanistic online machine learning framework to learn signals in low-frequency financial time series data. The framework is proved on da…
Detecting discrete processes with the Epps effect
Patrick Chang, Etienne Pienaar, Tim Gebbie
The Epps effect is key phenomenology relating to high frequency correlation dynamics in financial markets. We argue that it can be used to provide insight into whether tick data is…