922 citations · 4.9k across the 110 of their papers we have counts for
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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…
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…
An Information Filtering approach to stress testing: an application to FTSE markets
Isobel Seabrook, Fabio Caccioli, Tomaso Aste
We present a novel methodology to quantify the "impact" of and "response" to market shocks. We apply shocks to a group of stocks in a part of the market, and we quantify the effect…
Portfolio Optimization with Sparse Multivariate Modelling
Pier Francesco Procacci, Tomaso Aste
Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy. In this paper, we address three sources of error related to the modeling of t…
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…