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

Aghamohammadi, C ; Sharif University of Technology

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  1. Type of Document: Article
  2. DOI: 10.1016/j.physa.2014.06.027
  3. Abstract:
  4. 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
  5. Keywords:
  6. Financial time series ; High frequency trading ; Micro patterns ; Commerce ; Exchange rates ; Financial time series ; High-frequency trading ; Higher frequencies ; Micro pattern ; Permutation approach ; Permutation entropy ; Financial data processing
  7. Source: Physica A: Statistical Mechanics and its Applications ; Vol. 413, issue , 2014 , pp. 25-30 ; ISSN: 03784371
  8. URL: http://www.sciencedirect.com/science/article/pii/S0378437114005020