Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7380329 | Physica A: Statistical Mechanics and its Applications | 2014 | 6 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Cina Aghamohammadi, Mehran Ebrahimian, Hamed Tahmooresi,