EconPapers    
Economics at your fingertips  
 

Permutation approach, high frequency trading and variety of micro patterns in financial time series

Cina Aghamohammadi, Mehran Ebrahimian and Hamed Tahmooresi

Papers from arXiv.org

Abstract: Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time series. Tick to tick exchange rates are considered as examples. It is seen that variety of patterns evolve through time; and that the scale over which the target markets have no dominant patterns, have decreased steadily over time with the emergence of higher frequency trading.

Date: 2014-07
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Published in Physica A: Statistical Mechanics and its Applications 413 (2014), pp. 25-30

Downloads: (external link)
http://arxiv.org/pdf/1407.5254 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1407.5254

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2020-02-19
Handle: RePEc:arx:papers:1407.5254