On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets Report as inadecuate




On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets - Download this document for free, or read online. Document in PDF available to download.

Abstract

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange markets in the conditions of the discrete information absorption processes in the diffusion - type financial systems with the induced nonlinearities. Going from the academic literature, we discuss the probability theory and the statistics theory application to accurately characterize the trends in the foreign currencies exchange rates dynamics in the short and long time periods. We consider the financial analysis methods, including the macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies exchange rates dynamics in the short and long time periods. We discuss the application of the Stratanovich-Kalman-Bucy filtering algorithm in the Stratanovich – Kalman – Bucy filter and the particle filter to accurately estimate the time series and predict the trends in the foreign currencies exchange rates dynamics in the short and long time periods. We research the influence by discrete information absorption on the ultra high frequency electronic trading strategies creation and execution during the electronic trading in the foreign currencies exchange markets. We formulate the Ledenyov law on the limiting frequency the cut-off frequency for the ultra high frequency electronic trading in the foreign currencies exchange markets.



Item Type: MPRA Paper -

Original Title: On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets-

English Title: On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets-

Language: English-

Keywords: absorption of information, diffusion of information, transmission of information, information theory, ultra high frequency electronic trading, processing frequency, algorithmic trading, informed trading, noise trading, currencies exchange rate, vehicle currency, interest rate, retail aggregator, liquidity aggregator, interdealer trade orders flow direction, stop-loss order, bid - ask spreads, price discovery process, capital inflow, capital outflow, carry trade strategy, financial liquidity, foreign currencies exchange market micro structure, foreign currencies exchange rate dynamics, Wiener filtering theory, Stratanovich-Kalman-Bucy filtering algorithm, Stratanovich – Kalman – Bucy filter, particle filter, nonlinearities, Ledenyov law on limiting frequency for ultra high frequency electronic trading in foreign currencies exchange markets, econophysics, econometrics, global foreign exchange market, global capital market-

Subjects: C - Mathematical and Quantitative Methods > C0 - GeneralC - Mathematical and Quantitative Methods > C0 - General > C01 - EconometricsC - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical MethodsC - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: GeneralC - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: GeneralC - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple VariablesC - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space ModelsC - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C41 - Duration Analysis ; Optimal Timing StrategiesC - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C46 - Specific Distributions ; Specific StatisticsC - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation MethodsC - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial EconometricsC - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation ModelingF - International Economics > F1 - Trade > F17 - Trade Forecasting and SimulationF - International Economics > F3 - International Finance > F30 - GeneralF - International Economics > F3 - International Finance > F31 - Foreign ExchangeF - International Economics > F3 - International Finance > F32 - Current Account Adjustment ; Short-Term Capital MovementsG - Financial Economics > G1 - General Financial MarketsG - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation-





Author: Ledenyov, Dimitri O.

Source: https://mpra.ub.uni-muenchen.de/58297/







Related documents