Does high frequency trading affect technical analysis and market efficiency? And if so, how?

Created by W.Langdon from gp-bibliography.bib Revision:1.4208

  author =       "Viktor Manahov and Robert Hudson and Bartosz Gebka",
  title =        "Does high frequency trading affect technical analysis
                 and market efficiency? And if so, how?",
  journal =      "Journal of International Financial Markets,
                 Institutions and Money",
  volume =       "28",
  pages =        "131--157",
  year =         "2014",
  ISSN =         "1042-4431",
  DOI =          "doi:10.1016/j.intfin.2013.11.002",
  URL =          "",
  keywords =     "genetic algorithms, genetic programming, Technical
                 trading rules, Exchange rate",
  size =         "27 pages",
  abstract =     "In this paper we investigate how high frequency
                 trading affects technical analysis and market
                 efficiency in the foreign exchange (FX) market by using
                 a special adaptive form of the Strongly Typed Genetic
                 Programming (STGP)-based learning algorithm. We use
                 this approach for real one-minute high frequency data
                 of the most traded currency pairs worldwide: EUR/USD,
                 USD/JPY, GBP/USD, AUD/USD, USD/CHF, and USD/CAD. The
                 STGP performance is compared with that of parametric
                 and non-parametric models and validated by two formal
                 empirical tests. We perform in-sample and out-of-sample
                 comparisons between all models on the basis of forecast
                 performance and investment return. Furthermore, our
                 paper shows the relative strength of these models with
                 respect to the actual trading profit generated by their
                 forecasts. Empirical experiments suggest that the STGP
                 forecasting technique significantly outperforms the
                 traditional econometric models. We find evidence that
                 the excess returns are both statistically and
                 economically significant, even when appropriate
                 transaction costs are taken into account. We also find
                 evidence that HFT has a beneficial role in the price
                 discovery process.",

Genetic Programming entries for Viktor Manahov Robert Hudson Bartosz Gebka