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Contribution to Book
Data characteristics for high-frequency trading systems
Handbook of High Frequency Trading
  • Bruce Vanstone, Bond University
  • Tobias Hahn, Bond University
Date of this Version
1-1-2015
Document Type
Book Chapter
Publication Details

Citation only

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). London: Academic Press/Elsevier

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2015 HERDC submission

Copyright © 2015 Elsevier Inc. All rights reserved.

ISBN
9780128022054
Disciplines
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.
Citation Information
Bruce Vanstone and Tobias Hahn. "Data characteristics for high-frequency trading systems" LondonHandbook of High Frequency Trading (2015) p. 47 - 57
Available at: http://works.bepress.com/bruce_vanstone/49/