Communications of the ACM · 2013 · 21 citations · 1 references
BusinessFinanceAlgorithmsFinancial MarketsTime Series AnalysisAlgorithmic TradingComputational Time Series AnalysisHigh-frequency Data AnalysisOnline AlgorithmsTime Series ComputationTrading StrategiesHigh-frequency Asset PricingHigh-frequency Price DiscoveryHigh-frequency ReturnsRandomized Online Algorithms
The challenges faced by competing HFT algorithms.
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Susanne Albers · Mathematical Programming · 2003 · 256 citations