Does high frequency trading affect technical analysis and market efficiency? And if so, how?
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- @Article{Manahov:2014:JIFMIM,
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author = "Viktor Manahov and Robert Hudson and Bartosz Gebka",
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title = "Does high frequency trading affect technical analysis
and market efficiency? And if so, how?",
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journal = "Journal of International Financial Markets,
Institutions and Money",
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year = "2014",
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volume = "28",
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pages = "131--157",
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keywords = "genetic algorithms, genetic programming, Technical
trading rules, Exchange rate",
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ISSN = "1042-4431",
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URL = "http://www.sciencedirect.com/science/article/pii/S1042443113000954",
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DOI = "doi:10.1016/j.intfin.2013.11.002",
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size = "27 pages",
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abstract = "In this paper we investigate how high frequency
trading affects technical analysis and market
efficiency in the foreign exchange (FX) market by using
a special adaptive form of the Strongly Typed Genetic
Programming (STGP)-based learning algorithm. We use
this approach for real one-minute high frequency data
of the most traded currency pairs worldwide: EUR/USD,
USD/JPY, GBP/USD, AUD/USD, USD/CHF, and USD/CAD. The
STGP performance is compared with that of parametric
and non-parametric models and validated by two formal
empirical tests. We perform in-sample and out-of-sample
comparisons between all models on the basis of forecast
performance and investment return. Furthermore, our
paper shows the relative strength of these models with
respect to the actual trading profit generated by their
forecasts. Empirical experiments suggest that the STGP
forecasting technique significantly outperforms the
traditional econometric models. We find evidence that
the excess returns are both statistically and
economically significant, even when appropriate
transaction costs are taken into account. We also find
evidence that HFT has a beneficial role in the price
discovery process.",
- }
Genetic Programming entries for
Viktor Manahov
Robert Hudson
Bartosz Gebka
Citations