Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets.
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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 StratanovichKalmanBucy 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 cutoff 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, stoploss 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, StratanovichKalmanBucy 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  General C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C41  Duration Analysis ; Optimal Timing Strategies C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C46  Specific Distributions ; Specific Statistics C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling F  International Economics > F1  Trade > F17  Trade Forecasting and Simulation F  International Economics > F3  International Finance > F30  General F  International Economics > F3  International Finance > F31  Foreign Exchange F  International Economics > F3  International Finance > F32  Current Account Adjustment ; ShortTerm Capital Movements G  Financial Economics > G1  General Financial Markets G  Financial Economics > G1  General Financial Markets > G17  Financial Forecasting and Simulation 
Item ID:  58297 
Depositing User:  Prof. Viktor O. Ledenyov 
Date Deposited:  04 Sep 2014 08:30 
Last Modified:  26 Sep 2019 12:01 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/58297 
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets. (deposited 05 Jul 2014 06:16)
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