Financial Analytics: Science and Experience

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Financial Analytics: Science and Experience

16(154) - 2013 April

Identification of insider transactions in high-frequency trading major currency pairs in FOREX market

Vol. 6, Iss. 16, APRIL 2013

Available online: 27 April 2013

Subject Heading: MATHEMATICAL METHODS OF ANALYSIS IN ECONOMY

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Kritski O.L. PhD of Physical and Mathematical Sciences, Associate Professor, Department "Higher Mathematics and Mathematical Physics", the Tomsk Polytechnic University
olegkol@tpu.ru

Glik L.A. Student, Department "Higher Mathematics and Mathematical Physics", the Tomsk Polytechnic University
olegkol@tpu.ru

Mathematical procedure for the detection of insider trading in intraday trading the most liquid currency pairs EUR / USD, GBP / USD, EUR / GBP, USD / JPY, EUR / JPY on the FOREX market is offered. The conclusion is drawn that high productivity of this methodology in the analysis of high-frequency data.

Keywords: insider high-frequency trade, stability, ARMA model, criterion, FOREX

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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