Remember Me
Or use your Academic/Social account:


Or use your Academic/Social account:


You have just completed your registration at OpenAire.

Before you can login to the site, you will need to activate your account. An e-mail will be sent to you with the proper instructions.


Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version of the site upon release.

Thank you for your patience,
OpenAire Dev Team.

Close This Message


Verify Password:
Verify E-mail:
*All Fields Are Required.
Please Verify You Are Human:
fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
: Roman Kozhan; Mark Salmon (2010)
Publisher: Elsevier BV
Types: Preprint
Subjects: HG
In this paper we examine the question of whether knowledge of the information contained in a limit order book helps to provide economic value in a simple trading scheme. Given the greater information content of the order book, over simple price information, it might naturally be expected that the order book would dominate. Using Dollar Sterling tick data, we find that despite the in-sample statistical significance of variables describing the structure of the limit order book in explaining tick-by-tick returns, they do not consistently add significant economic value out-of-sample. We show this using a simple linear model to determine trading activity, as well as a model-free genetic algorithm based on price, order flow, and order book information. We also find that the profitability of all trading rules based on genetic algorithms dropped substantially in 2008 compared to 2003 data.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • Neely, C., Weller, P., 2001. Technical analysis and central bank intervantion. Journal of International Money and Finance 20, 949{970.
    • Neely, C., Weller, P., 2003. Intraday technical trading in the foreign exchange market. Journal of International Money and Finance 22, 223{237.
    • Neely, C., Weller, P., Dittmar, R., 1997. Is technical analysis in the foreign exchange market pro table? Journal of Financial and Quantitative Analysis 32, 405{426.
    • Nix, A., Vose, M., 1992. Modeling genetic algorithms with markov chains. Annals of Mathematics and Arti cial Intelligence 5, 79{88.
    • Parlour, C., 1998. Price dynamics in limit order markets. Review of Financial Studies 11, 789{816.
    • Pesaran, H., Skouras, S., 2002. Companion to Economic Forecasting. Blackwell Publishers. chapter Decision-based methods for forecast evaluation. pp. 241{267.
    • Ranaldo, A., 2004. Order aggressiveness in limit order book markets. Journal of Financial Markets 7, 53{74.
    • Rime, D., Sarno, L., Sojli, E., 2010. Exchange rate forecasting, order ow and macroeconomic information. Journal of International Economics 80, 72{88.
    • Rock, K., 1996. The specialist's order book and price anomalies. Working paper, Harvard University .
    • Sager, M., Taylor, M., 2008. Commercially available order ow data and exchange rate movements: Caveat emptor. Journal of Money, Credit and Banking 40, 583{625.
    • Satchell, S., Timmermann, A., 1995. An assesment of the economic value of non-linear foreign exchange rate forecasts. Journal of Forecasting 14, 477{497.
    • Seppi, D., 1997. Liquidity provision with limit orders and a strategic specialist. Review of Financial Studies 10, 103{150.
    • Shadwick, W., Keating, C., 2002. A universal performance measure. Journal of Performance Measurement 6, 59{85.
    • Vose, M., 1993. Modeling Simple Genetic Algorithms. In: Whitley, L. (Ed.) Foundations of Genetic Algorithms 2, Morgan Kaufman. S sp
    • c f fo 00 in s an " d r 1 i
    • n d s n f n io i e l 0
    • m d o t d d e 0 c e r v 2 re n n e ic
  • No related research data.
  • No similar publications.

Share - Bookmark

Cite this article