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Wenchang Jiang

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Open access Jul 2026

Research on Machine Learning High-Frequency Trading Strategies Under Transaction Cost

There is a significant disconnect between model prediction accuracy and actual net returns; marginal improvements in prediction brought by complex models cannot offset profit losses caused by transaction frictions in high-frequency trading.

Wei-Jian Huang, Zhanwei Wang, Wenchang Jiang · 0 citations

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