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

被引：12

作者：

Aghamohammadi, Cina ^{[1
]}

Ebrahimian, Mehran ^{[2
]}

Tahmooresi, Hamed ^{[3
]}

机构：

[1] Univ Calif Davis, Dept Phys, Davis, CA 95616 USA

[2] Sharif Univ Technol, Grad Sch Management & Econ, Tehran 863911155, Iran

[3] Sharif Univ Technol, Dept Comp Engn, Tehran 111559517, Iran

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2014年 / 413卷

关键词：

Permutation entropy; Financial time series; High frequency trading; Micro patterns; ENTROPY;

D O I：

10.1016/j.physa.2014.06.027

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：25 / 30

页数：6

共 33 条

[1] TOPOLOGICAL ENTROPY [J].