Abstract
Like all trading systems, high-frequency trading systems work by exploiting inefficiencies in the pricing process. Before embarking on designing a high-frequency trading system, it is important to confirm that the price data for the instrument you intend to trade exhibits inefficiencies at the time frame you intend to exploit. Tests for randomness and market efficiency should be conducted at the required time frame to confirm that the instrument is not efficient at that time frame. The results of these tests also give some direction to the future style of trading system that is likely to be successful in the required time frame.
| Original language | English |
|---|---|
| Title of host publication | Handbook of High Frequency Trading |
| Editors | G N Gregoriou |
| Publisher | Elsevier |
| Pages | 47-57 |
| Number of pages | 11 |
| ISBN (Electronic) | 9780128023624 |
| ISBN (Print) | 9780128022054 |
| DOIs | |
| Publication status | Published - 4 Feb 2015 |
Fingerprint Dive into the research topics of 'Data Characteristics for High-Frequency Trading Systems'. Together they form a unique fingerprint.
Cite this
Vanstone, B., & Hahn, T. (2015). Data Characteristics for High-Frequency Trading Systems. In G. N. Gregoriou (Ed.), Handbook of High Frequency Trading (pp. 47-57). Elsevier. https://doi.org/10.1016/B978-0-12-802205-4.00003-8