Finding informed traders in futures and their inderlying assets in intraday trading
AbstractWe propose a mathematical procedure for finding informed traders in ultra-high frequency trading. We wrote it as Vector ARMA and found condition of its stationarity. For the price exposure complied with ARMA(1,2) we proved that underlying asset price difference can be derived as ARMA(1,1) process. For validation of the model, we test an influence of informed traders in EUR/USD, GBP/USD, USD/RUB pairs and futures, in gold and futures prices, in Russian Trade System share index (RTS) and futures trading. We found some evidence of such influence in gold and currency pair USD/RUB pricing, in RTS index in the period from Dec 16 till Dec 20, 2013 and from Jan 28 till Jan 30.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1402.6583.
Date of creation: Feb 2014
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-08 (All new papers)
- NEP-CIS-2014-03-08 (Confederation of Independent States)
- NEP-MST-2014-03-08 (Market Microstructure)
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