We propose a mathematical procedure to identify informed traders in ultra-high frequency trading in various world stock markets. We applied calculation to EUR/USD and GBP/USD currency pairs and futures, to the Russian Trade System share index (RTS) and futures on it, to the RTSVX volatility index and gold and silver spot prices. We found that there was no significant influence of the major market players on the pricing process within the period of Dec. 16-20, 2013, concerning the most of the selected assets.
Keywords: informed traders, intraday ultra-high frequency trading, ARMA consistency, detection criterion, FOREX, futures, underlying assets
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