Using signal processing techniques to characterise change in the dynamics of foreign exchange markets following political and economic events

T. Holden; K. Xu; Siu Lau Ho

Using signal processing techniques to characterise change in the dynamics of foreign exchange markets following political and economic events

T. Holden, K. Xu, Siu Lau Ho

Research output: Chapter in book / Conference proceeding › Conference article published in proceeding or book › Academic research › peer-review

Abstract

The paper proposes a method for investigating the dynamics of foreign exchange markets using power spectral analysis combined with filter design. This has allowed a more precise description and understanding of the way in which the market character has changed following certain key political, economic and technological events such as the growth of electronic trading. Results following investigation of the last ten years' worth of hourly trading for the Euro/$US are presented. Some interesting outcomes and implications of the technique for supporting trading decision-making are discussed.

Original language	English
Title of host publication	IEEE International Engineering Management Conference
Pages	1293-1297
Number of pages	5
Publication status	Published - 1 Dec 2004
Externally published	Yes
Event	Proceedings - 2004 IEEE International Engineering Management Conference: Innovation and Entrepreneurship for Sustainable Development, IEMC 2004 - , Singapore Duration: 18 Oct 2004 → 21 Oct 2004

Conference

Conference	Proceedings - 2004 IEEE International Engineering Management Conference: Innovation and Entrepreneurship for Sustainable Development, IEMC 2004
Country/Territory	Singapore
Period	18/10/04 → 21/10/04

Keywords

Currency trading
Euro/USD
Market Dynamics
Signal processing

ASJC Scopus subject areas

General Engineering
Management Science and Operations Research

Cite this

@inproceedings{36c860e2474347a4b182d98cb11937f1,

title = "Using signal processing techniques to characterise change in the dynamics of foreign exchange markets following political and economic events",

abstract = "The paper proposes a method for investigating the dynamics of foreign exchange markets using power spectral analysis combined with filter design. This has allowed a more precise description and understanding of the way in which the market character has changed following certain key political, economic and technological events such as the growth of electronic trading. Results following investigation of the last ten years' worth of hourly trading for the Euro/$US are presented. Some interesting outcomes and implications of the technique for supporting trading decision-making are discussed.",

keywords = "Currency trading, Euro/USD, Market Dynamics, Signal processing",

author = "T. Holden and K. Xu and Ho, {Siu Lau}",

year = "2004",

month = dec,

day = "1",

language = "English",

pages = "1293--1297",

booktitle = "IEEE International Engineering Management Conference",

note = "Proceedings - 2004 IEEE International Engineering Management Conference: Innovation and Entrepreneurship for Sustainable Development, IEMC 2004 ; Conference date: 18-10-2004 Through 21-10-2004",

}

Holden, T, Xu, K & Ho, SL 2004, Using signal processing techniques to characterise change in the dynamics of foreign exchange markets following political and economic events. in IEEE International Engineering Management Conference. pp. 1293-1297, Proceedings - 2004 IEEE International Engineering Management Conference: Innovation and Entrepreneurship for Sustainable Development, IEMC 2004, Singapore, 18/10/04.

Using signal processing techniques to characterise change in the dynamics of foreign exchange markets following political and economic events. / Holden, T.; Xu, K.; Ho, Siu Lau.
IEEE International Engineering Management Conference. 2004. p. 1293-1297.

Research output: Chapter in book / Conference proceeding › Conference article published in proceeding or book › Academic research › peer-review

TY - GEN

T1 - Using signal processing techniques to characterise change in the dynamics of foreign exchange markets following political and economic events

AU - Holden, T.

AU - Xu, K.

AU - Ho, Siu Lau

PY - 2004/12/1

Y1 - 2004/12/1

N2 - The paper proposes a method for investigating the dynamics of foreign exchange markets using power spectral analysis combined with filter design. This has allowed a more precise description and understanding of the way in which the market character has changed following certain key political, economic and technological events such as the growth of electronic trading. Results following investigation of the last ten years' worth of hourly trading for the Euro/$US are presented. Some interesting outcomes and implications of the technique for supporting trading decision-making are discussed.

AB - The paper proposes a method for investigating the dynamics of foreign exchange markets using power spectral analysis combined with filter design. This has allowed a more precise description and understanding of the way in which the market character has changed following certain key political, economic and technological events such as the growth of electronic trading. Results following investigation of the last ten years' worth of hourly trading for the Euro/$US are presented. Some interesting outcomes and implications of the technique for supporting trading decision-making are discussed.

KW - Currency trading

KW - Euro/USD

KW - Market Dynamics

KW - Signal processing

UR - http://www.scopus.com/inward/record.url?scp=17644380676&partnerID=8YFLogxK

M3 - Conference article published in proceeding or book

SP - 1293

EP - 1297

BT - IEEE International Engineering Management Conference

T2 - Proceedings - 2004 IEEE International Engineering Management Conference: Innovation and Entrepreneurship for Sustainable Development, IEMC 2004

Y2 - 18 October 2004 through 21 October 2004

ER -

Using signal processing techniques to characterise change in the dynamics of foreign exchange markets following political and economic events

Abstract

Conference

Keywords

ASJC Scopus subject areas

Other files and links

Fingerprint

Cite this