This paper examines the relative liquidity and rate of price discovery on floorbased versus screen-based trading systems in the Japanese Yen, British Pound, and Euro foreign exchange futures markets traded on the Chicago Mercantile Exchange (CME). Intra-day data from January 2, 2003 through March 5, 2004 are used in our analysis. We find that liquidity, measured by bid-ask spreads, is tighter i...

In this study, optimal indicators and strategies for foreign exchange trading models are investigated in the framework of genetic algorithms. We rst explain how the relevant quantities of our application can be encoded in "genes" so as to t the requirements of the genetic evolutionary optimization technique. In nancial problems, sharp peaks of high tness are usually not representative of a gene...

In this paper, we examine a relatively novel form of gambling, index (or spread) betting, that mirrors (and indeed overlaps with) practices in conventional financial markets. In this form of betting, a number of bookmakers quote a bid-offer spread about the result of some future event, and bettors are invited to buy (sell) at the top (bottom) end of the quoted spreads. We hypothesise that the e...

T his paper is an attempt investigating the relationship between sanctions implications and geographical shift in trading partners. To this end, we analyze separately foreign trade patterns of two countries namely Iran and Russia - which are under imposed sanctions experience - with two United Nations Regional Groups (The Asia-Pacific and the Western European groups)  using a gravity...

In the course of technological evolution security markets offer low-latency access to their customers. Although latency figures are used as marketing instruments, only little research sheds light on the means of those figures. This paper provides a performance measure on the effect of latency in the context of the competitive advantage of IT. Based on a historical dataset of Deutsche Börse’s el...

The algorithmic stock trading has developed exponentially in the past years, while the automatism of the technical analysis was the main research are for implementing the algorithms. This paper proposes a model for a trading algorithm that combines the signals from different technical indicators in order to provide more accurate trading signals.

We study top trading cycles in a two-sided matching environment (Abdulkadiroglu and Sonmez (2003)) under the assumption that individuals’ preferences and objects’ priorities are drawn iid uniformly. The distributions of agents’ preferences and objects’ priorities remaining after a given round of TTC depend nontrivially on the exact history of the algorithm up to that round (and so need not be u...

The presumed source of the volatility is a trading strategy called “programmed trading.”2 This strategy, which essentially involves trading on small and shortlived price differences for the same group of stocks in the spot, futures and options markets, is not new. The introduction of stock jnde~futures around 1982 and the application of computer techniques to monitor price differences and trigg...

A great deal of work has been published over the past decade on the application of neural networks to stockmarket trading. Individual researchers have developed their own techniques for designing and testing these neural networks, and this presents a difficulty when trying to learn lessons and compare results. This paper aims to present a methodology for designing robust mechanical trading syst...

The emergence of IT-based trading activities like algorithmic trading or high-frequency trading alters the traditional trading environment within financial markets. Thus, the question arises whether this technological arms race positively affects market quality or represents a risk related to market integrity. Within this study, we evaluate the order-to-trade-ratio for measuring overall ITbased...