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 proceedingConference article published in proceeding or bookAcademic researchpeer-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 languageEnglish
Title of host publicationIEEE International Engineering Management Conference
Pages1293-1297
Number of pages5
Publication statusPublished - 1 Dec 2004
Externally publishedYes
EventProceedings - 2004 IEEE International Engineering Management Conference: Innovation and Entrepreneurship for Sustainable Development, IEMC 2004 - , Singapore
Duration: 18 Oct 200421 Oct 2004

Conference

ConferenceProceedings - 2004 IEEE International Engineering Management Conference: Innovation and Entrepreneurship for Sustainable Development, IEMC 2004
Country/TerritorySingapore
Period18/10/0421/10/04

Keywords

  • Currency trading
  • Euro/USD
  • Market Dynamics
  • Signal processing

ASJC Scopus subject areas

  • Engineering(all)
  • Management Science and Operations Research

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