Data Characteristics for High-Frequency Trading Systems

Bruce Vanstone, Tobias Hahn

Research output: Chapter in Book/Report/Conference proceedingOther chapter contributionResearchpeer-review

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 languageEnglish
Title of host publicationHandbook of High Frequency Trading
EditorsG N Gregoriou
PublisherElsevier
Pages47-57
Number of pages11
ISBN (Electronic)9780128023624
ISBN (Print)9780128022054
DOIs
Publication statusPublished - 4 Feb 2015

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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
Vanstone, Bruce ; Hahn, Tobias. / Data Characteristics for High-Frequency Trading Systems. Handbook of High Frequency Trading. editor / G N Gregoriou. Elsevier, 2015. pp. 47-57
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Vanstone, B & Hahn, T 2015, Data Characteristics for High-Frequency Trading Systems. in GN Gregoriou (ed.), Handbook of High Frequency Trading. Elsevier, pp. 47-57. https://doi.org/10.1016/B978-0-12-802205-4.00003-8

Data Characteristics for High-Frequency Trading Systems. / Vanstone, Bruce; Hahn, Tobias.

Handbook of High Frequency Trading. ed. / G N Gregoriou. Elsevier, 2015. p. 47-57.

Research output: Chapter in Book/Report/Conference proceedingOther chapter contributionResearchpeer-review

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Vanstone B, Hahn T. Data Characteristics for High-Frequency Trading Systems. In Gregoriou GN, editor, Handbook of High Frequency Trading. Elsevier. 2015. p. 47-57 https://doi.org/10.1016/B978-0-12-802205-4.00003-8