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...

Hong Kong SAR has, over the recent years, become an equity trading hub catering to domestic and foreign investors, including increasingly investors from Mainland China. Most is conducted on markets operated by recognized exchange companies, with limited happening via automated services (ATS) providers in form of alternative liquidity pools. The introduction Stock Connect 2014 enabled (including...

This paper tests the theoretical assumption of the foreign exchange market microstructure that dealers and non-dealer customers interact over discrete trading rounds. An exhaustive frequencydomain analysis reveals that the interaction is limited and mainly due to the instability of financial markets. The principal finding is that the trading activity of dealers is able to predict the customer o...

A trading and portfolio management system called QSR is proposed. It uses Q-learning and Sharpe ratio maximization algorithm. We use absolute proot and relative risk-adjusted proot as performance function to train the system respectively, and employ a committee of two networks to do the testing. The new proposed algorithm makes use of the advantages of both parts and can be used in a more gener...

The effects of a Tobin tax on foreign exchange markets have long been disputed. We present an experiment with currency trading on two markets, where either none, one, or both markets are taxed. Our results confirm the hitherto undisputed issues: a tax reduces trading volume, shifts market share to untaxed markets, and leads to negligible tax revenues if tax havens exist. Concerning the controve...

In this chapter, the authors use an Agent-Based Modeling (ABM) approach to model trading behavior in the Foreign Exchange (FX) market. They establish statistical properties (stylized facts) of the traders’ trading behavior in the FX market using a high-frequency dataset of anonymised OANDA individual traders’ historical transactions on an account level spanning 2.25 years. Using the identified ...