Algorithmic trading (English Wikipedia)

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Hilbert, M., & Darmon, D. (2020). How Complexity and Uncertainty Grew with Algorithmic Trading. Entropy, 22(5), 499. https://doi.org/10.3390/e22050499 ; https://www.martinhilbert.net/how-complexity-and-uncertainty-grew-with-algorithmic-trading/
Sornette (2003), "Critical Market Crashes", Physics Reports, 378 (1): 1–98, arXiv:cond-mat/0301543, Bibcode:2003PhR...378....1S, doi:10.1016/S0370-1573(02)00634-8, S2CID 12847333, archived from the original on May 3, 2010
He, Yan (2022). "Decimal Trading in the U.S. Stock Markets". In Lee, Cheng-Few; Lee, Alice C. (eds.). Encyclopedia of Finance. Springer. pp. 719–722. doi:10.1007/978-3-030-91231-4_17. ISBN 978-3-030-91231-4.
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Leshik, Edward A; Cralle, Jane, eds. (January 2, 2012). An Introduction to Algorithmic Trading: Basic to Advanced Strategies (1 ed.). Wiley. doi:10.1002/9781119206033. ISBN 978-0-470-68954-7.
Kissell, Robert (June 30, 2006). "The Expanded Implementation Shortfall: Understanding Transaction Cost Components". The Journal of Trading. 1 (3): 6–16. doi:10.3905/jot.2006.644083. ISSN 1559-3967.
Petajisto, Antti (2011). "The index premium and its hidden cost for index funds" (PDF). Journal of Empirical Finance. 18 (2): 271–288. doi:10.1016/j.jempfin.2010.10.002. Retrieved March 26, 2013.
Sattarov, Otabek; Muminov, Azamjon; Lee, Cheol Won; Kang, Hyun Kyu; Oh, Ryumduck; Ahn, Junho; Oh, Hyung Jun; Jeon, Heung Seok (January 1, 2020). "Recommending Cryptocurrency Trading Points with Deep Reinforcement Learning Approach". Applied Sciences. 10 (4): 1506. doi:10.3390/app10041506. ISSN 2076-3417.
Shen, Jackie (2013). "A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD)". SSRN. arXiv:1309.5046. doi:10.2139/ssrn.2327835.
Maneesilp, K.; Prasatkaew, C. (November 1, 2014). "Price Pattern Detection Using Finite State Machine with Fuzzy Transitions". 2014 IEEE 11th International Conference on e-Business Engineering. pp. 126–130. doi:10.1109/ICEBE.2014.31. ISBN 978-1-4799-6563-2.
Kenett, Dror Y.; Stanley, H. Eugene; Ben-Jacob, Eshel (July 2, 2013). "How High Frequency Trading Affects a Market Index". Scientific Reports. 3: 2110. Bibcode:2013NatSR...3E2110K. doi:10.1038/srep02110. PMC 3743071. PMID 23817553.
Hendershott, Terrence, Charles M. Jones, and Albert J. Menkveld. (2010), "Does Algorithmic Trading Improve Liquidity?", Journal of Finance, 66: 1–33, doi:10.1111/j.1540-6261.2010.01624.x, hdl:10.1111/j.1540-6261.2010.01624.x, S2CID 30441, SSRN 1100635{{citation}}: CS1 maint: multiple names: authors list (link)
Diaz, David; Theodoulidis, Babis (January 10, 2012). "Financial Markets Monitoring and Surveillance: A Quote Stuffing Case Study". doi:10.2139/ssrn.2193636. S2CID 166680108. SSRN 2193636. {{cite journal}}: Cite journal requires |journal= (help)
Saar, Gideon; Hasbrouck, Joel (May 22, 2013). "Low-Latency Trading". doi:10.2139/ssrn.1695460. S2CID 219368985. SSRN 1695460. {{cite journal}}: Cite journal requires |journal= (help)
Preis, T.; Paul, W.; Schneider, J. J. (2008), "Fluctuation patterns in high-frequency financial asset returns", EPL, 82 (6): 68005, Bibcode:2008EL.....8268005P, doi:10.1209/0295-5075/82/68005, S2CID 56283521
Hendershott, Terrence; Jones, Charles M.; Menkveld, Albert J. (2010), "HENDERSHOTT, TERRENCE, CHARLES M. JONES, AND ALBERT J. MENKVELD. Does Algorithmic Trading Improve Liquidity?" (PDF), Journal of Finance, 66: 1–33, CiteSeerX 10.1.1.105.7253, doi:10.1111/j.1540-6261.2010.01624.x, S2CID 30441, archived from the original (PDF) on July 16, 2010
Farmer, J. Done (November 1999). "Physicists attempt to scale the ivory towers of finance". Computing in Science & Engineering. 1 (6): 26–39. arXiv:adap-org/9912002. Bibcode:1999CSE.....1f..26D. doi:10.1109/5992.906615. S2CID 9058415.

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Hendershott, Terrence, Charles M. Jones, and Albert J. Menkveld. (2010), "Does Algorithmic Trading Improve Liquidity?", Journal of Finance, 66: 1–33, doi:10.1111/j.1540-6261.2010.01624.x, hdl:10.1111/j.1540-6261.2010.01624.x, S2CID 30441, SSRN 1100635{{citation}}: CS1 maint: multiple names: authors list (link)

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Sornette (2003), "Critical Market Crashes", Physics Reports, 378 (1): 1–98, arXiv:cond-mat/0301543, Bibcode:2003PhR...378....1S, doi:10.1016/S0370-1573(02)00634-8, S2CID 12847333, archived from the original on May 3, 2010
Kenett, Dror Y.; Stanley, H. Eugene; Ben-Jacob, Eshel (July 2, 2013). "How High Frequency Trading Affects a Market Index". Scientific Reports. 3: 2110. Bibcode:2013NatSR...3E2110K. doi:10.1038/srep02110. PMC 3743071. PMID 23817553.
Preis, T.; Paul, W.; Schneider, J. J. (2008), "Fluctuation patterns in high-frequency financial asset returns", EPL, 82 (6): 68005, Bibcode:2008EL.....8268005P, doi:10.1209/0295-5075/82/68005, S2CID 56283521
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Hilbert, M., & Darmon, D. (2020). How Complexity and Uncertainty Grew with Algorithmic Trading. Entropy, 22(5), 499. https://doi.org/10.3390/e22050499 ; https://www.martinhilbert.net/how-complexity-and-uncertainty-grew-with-algorithmic-trading/
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Kenett, Dror Y.; Stanley, H. Eugene; Ben-Jacob, Eshel (July 2, 2013). "How High Frequency Trading Affects a Market Index". Scientific Reports. 3: 2110. Bibcode:2013NatSR...3E2110K. doi:10.1038/srep02110. PMC 3743071. PMID 23817553.

pubmed.ncbi.nlm.nih.gov

Kenett, Dror Y.; Stanley, H. Eugene; Ben-Jacob, Eshel (July 2, 2013). "How High Frequency Trading Affects a Market Index". Scientific Reports. 3: 2110. Bibcode:2013NatSR...3E2110K. doi:10.1038/srep02110. PMC 3743071. PMID 23817553.

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Hendershott, Terrence; Jones, Charles M.; Menkveld, Albert J. (2010), "HENDERSHOTT, TERRENCE, CHARLES M. JONES, AND ALBERT J. MENKVELD. Does Algorithmic Trading Improve Liquidity?" (PDF), Journal of Finance, 66: 1–33, CiteSeerX 10.1.1.105.7253, doi:10.1111/j.1540-6261.2010.01624.x, S2CID 30441, archived from the original (PDF) on July 16, 2010

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Hendershott, Terrence, Charles M. Jones, and Albert J. Menkveld. (2010), "Does Algorithmic Trading Improve Liquidity?", Journal of Finance, 66: 1–33, doi:10.1111/j.1540-6261.2010.01624.x, hdl:10.1111/j.1540-6261.2010.01624.x, S2CID 30441, SSRN 1100635{{citation}}: CS1 maint: multiple names: authors list (link)
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Saar, Gideon; Hasbrouck, Joel (May 22, 2013). "Low-Latency Trading". doi:10.2139/ssrn.1695460. S2CID 219368985. SSRN 1695460. {{cite journal}}: Cite journal requires |journal= (help)
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Hendershott, Terrence; Jones, Charles M.; Menkveld, Albert J. (2010), "HENDERSHOTT, TERRENCE, CHARLES M. JONES, AND ALBERT J. MENKVELD. Does Algorithmic Trading Improve Liquidity?" (PDF), Journal of Finance, 66: 1–33, CiteSeerX 10.1.1.105.7253, doi:10.1111/j.1540-6261.2010.01624.x, S2CID 30441, archived from the original (PDF) on July 16, 2010
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Saar, Gideon; Hasbrouck, Joel (May 22, 2013). "Low-Latency Trading". doi:10.2139/ssrn.1695460. S2CID 219368985. SSRN 1695460. {{cite journal}}: Cite journal requires |journal= (help)

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[2] Archived August 17, 2013, at the Wayback Machine FIXatdl version 1.1 released March 2010

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Leshik, Edward A; Cralle, Jane, eds. (January 2, 2012). An Introduction to Algorithmic Trading: Basic to Advanced Strategies (1 ed.). Wiley. doi:10.1002/9781119206033. ISBN 978-0-470-68954-7.

worldcat.org

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