This article requires a subscription to view the full text. If you have a subscription you may use the login form below to view the article. Access to this article can also be purchased.
Abstract
High-frequency trading enables real-time control of outputs. However, sampling techniques in traditional statistical process control (SPC) may be too slow to detect rapid changes in market structure. The authors develop statistical tests that examine each event using the generalized lambda distribution. They demonstrate the manner in which this provides a more descriptive and quicker-reacting method of process control than that of traditional SPC.
- © 2012 Pageant Media Ltd
Log in using your username and password
Purchase access
You may purchase access to this article. This will require you to create an account if you don't already have one.