2 papers
q-fin.CP2025
Binary Tree Option Pricing Under Market Microstructure Effects: A Random Forest Approach
Akash Deep, Chris Monico, W. Brent Lindquist +2
We propose a machine learning-based extension of the classical binomial option pricing model that incorporates key market microstructure effects. Traditional models assume friction…
q-fin.CP2025
Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
Akash Deep, Abootaleb Shirvani, Chris Monico +2
Because of the theoretical challenges posed by the Efficient Market Hypothesis to technical analysis, the effectiveness of technical indicators in high-frequency trading remains in…