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The Alpha Engine: Designing an Automated Trading Algorithm

https://doi.org/10.1201/9781315372006-3
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Elements of Information Theory
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High Frequency Finance: Using Scaling Laws to Build Trading Models
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The variation of certain speculative prices
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Decoding complexity : uncovering patterns in economic networks
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Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis
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The economy needs agent-based modelling
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Power laws, Pareto distributions and Zipf's law
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Patterns in high-frequency FX data: discovery of 12 empirical scaling laws
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The Variation of Certain Speculative Prices
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Statistical mechanics of complex networks
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Minimal agent-based model for the origin of trading activity in Foreign exchange market
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On the achievable information rates of finite state ISI channels
inferredcites →https://doi.org/10.1109/mcse.2016.74openalex-snapshot
The Evolution of Computing: AlphaGo
inferredcites →https://doi.org/10.1126/science.276.5309.122openalex-snapshot
A General Model for the Origin of Allometric Scaling Laws in Biology
inferredcites →https://doi.org/10.1126/science.286.5439.509openalex-snapshot
Emergence of Scaling in Random Networks
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The Structure and Function of Complex Networks
inferredcites →https://doi.org/10.1142/s0219024900000826openalex-snapshot
VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
inferredcites →https://doi.org/10.1209/epl/i2005-10033-3openalex-snapshot
A mechanism for pockets of predictability in complex adaptive systems
inferredcites →https://doi.org/10.2139/ssrn.1973471openalex-snapshot
A Directional-Change Events Approach for Studying Financial Time Series
inferredcites →https://doi.org/10.2139/ssrn.2393428openalex-snapshot
Multi-Scale Representation of High Frequency Market Liquidity
inferredcites →https://doi.org/10.2307/2295953openalex-snapshot
A New Model of Economic Growth
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Options, Futures, and Other Derivative Securities.
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Multi-scale representation of high frequency market liquidity
inferredcites →https://doi.org/10.3917/droz.paret.1964.01openalex-snapshot
Cours d'économie politique

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Agent-Based Model in Directional-Change Intrinsic Time
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Stock Price Prediction Using Kernel Adaptive Filtering Within a Stock Market Interdependence Approach
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Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data
inferred← citeshttps://doi.org/10.1002/isaf.1425openalex-snapshot
TSFDC: A trading strategy based on forecasting directional change
inferred← citeshttps://doi.org/10.1002/isaf.1510openalex-snapshot
Measuring relative volatility in high‐frequency data under the directional change approach
inferred← citeshttps://doi.org/10.1002/isaf.1552openalex-snapshot
Nowcasting directional change in high frequency FX markets
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Volume II: The Simplicity of Complexity
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Applied Complexity: Finance and Economics in a New Light
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General Observations
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Directional Changes: A New Way to Look at Price Dynamics
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Event prediction within directional change framework using a CNN-LSTM model
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Stock returns prediction using kernel adaptive filtering within a stock market interdependence approach
inferred← citeshttps://doi.org/10.1016/j.physa.2023.128810openalex-snapshot
Incorporating improved directional change and regime change detection to formulate trading strategies in foreign exchange markets
inferred← citeshttps://doi.org/10.1080/14697688.2019.1669809openalex-snapshot
Agent-based modelling in directional-change intrinsic time
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Constructing a bellwether theory: Regime change detection using directional change
inferred← citeshttps://doi.org/10.1109/cifer.2019.8759111openalex-snapshot
Tacking Regime Changes in the Markets
inferred← citeshttps://doi.org/10.1109/cifer.2019.8759120openalex-snapshot
Trading Algorithms Built with Directional Changes
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Instantaneous Volatility Seasonality of Bitcoin in Directional-Change Intrinsic Time
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Algorithm-Based Intraday Trading Strategies and their Market Impact
inferred← citeshttps://doi.org/10.21919/remef.v16i4.505openalex-snapshot
Autómata Evolutivo (AE) para el mercado accionario usando Martingalas y un Algoritmo Genético
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Intelligent Dynamic Backlash Agent: A Trading Strategy Based on the Directional Change Framework
inferred← citeshttps://doi.org/10.3390/jrfm12020054openalex-snapshot
Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time
inferred← citeshttps://doi.org/10.3390/jrfm14020054openalex-snapshot
Observation Time Effects in Reinforcement Learning on Contracts for Difference
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Three Essays on Stopping
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Integration of Artificial Intelligence in DeFi
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