Data Characteristics for High-Frequency Trading Systems

Bruce Vanstone; Tobias Hahn

doi:10.1016/B978-0-12-802205-4.00003-8

Data Characteristics for High-Frequency Trading Systems

Bruce Vanstone^*, Tobias Hahn

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Other chapter contribution › Research › peer-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 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	https://doi.org/10.1016/B978-0-12-802205-4.00003-8
Publication status	Published - 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

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Access to Document

10.1016/B978-0-12-802205-4.00003-8

Link to publication in Scopus