Special Issue "Stochastic Difference and Differential Equations with Applications in Algorithmic Trading"
Deadline for manuscript submissions: closed (31 July 2023) | Viewed by 733
Interests: difference equations; scientific computation; economics; plasma physics
Stochastic difference equations and systems of stochastic difference equations usually refer to unpredictable events. The solution of stochastic difference equations is a stochastic process. Stochastic difference equations can be thought of as discrete time approximations of stochastic differential equations.
Stochastic models are interesting in their own right and as such, their study is one of the purposes of this section. Furthermore, this section focuses its study within specific applications, of such types of equations, related with the stock market and in particular, with algorithmic trading or high-frequency trading.
A group of six people four of them employees of the Futures Trading Commission and two market representatives established “a definition” of high-frequency trading published on June 22, 2012, in a Special Issue of Futures Industry Association.
Among others, some of the basic characteristics of such algorithms are: decision making, order initiation, routing or execution without human transaction, low-latency technology designed such that response times are minimum, high message rates (orders, quotes cancellations). Computerised trading is estimated to account for half the shares traded in the United States, although other types of traders try to curb certain services for high-frequency traders. Defenders of high-frequency trading say that the practice makes trading easier and cheaper for investors of all kinds.
Stochastic equations studied in this section might as well consider the metrics of price impact, liquidity, volatility, and volume in electronic markets whose participants along with high-frequency traders also contain among others: financial companies, market makers, fundamental and technical traders.
The equations might focus to closed form solutions in the case of analytic approach, or even dynamic programming techniques solving Optimization problems related to market portfolios. It should be clear to the authors of this section that their study of stochastic model might as well be independent from applications to high frequency, algorithmic or other type of trading. Additionally, welcome are the trading models whose empirical evidence and numerical or statistical analysis evaluation contains high levels of stochastic patterns. Finally, in some special cases papers examining difference equations might as well be considered for publication in this session.
Dr. Elias Camouzis
Prof. Dr. John Leventides
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Axioms is an international peer-reviewed open access monthly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 2400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
- difference equations and systems of difference equations
- stochastic difference equations and systems
- stochastic differential games
- noise correlated stochastic models
- stochastic control
- optimal stochastic algorithms
- wiener processes
- ornstein–uhlen processes
- ito processes
- stratonovic processes
- stochastic difference equations and systems in high-frequency trading
- cryptocurrency forecasting and stochastic equations
- optimal trading strategies-analytic approach-dynamic programming
- reversion of the mean—legend or lie?
- cox–ingersoll–ross models