Skip to main content

Main menu

  • Latest
  • Issues
    • Current
    • Archive
  • About
    • Journal Information
    • Editorial Board
    • About IIJ
  • Information for
    • Advertisers and Sponsors
    • Agents
    • Authors
    • Institutions
  • Events
  • Videos
  • Institutional Investor Journals: Home
    • The Journal of Alternative Investments
    • The Journal of Derivatives
    • The Journal of Fixed Income
    • The Journal of Index Investing
    • The Journal of Investing
    • The Journal of Portfolio Management
    • The Journal of Private Equity
    • The Journal of Retirement
    • The Journal of Structured Finance
    • The Journal of Wealth Management
    • Practical Applications
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook

User menu

  • Register
  • Subscribe
  • My alerts
  • Log in

Search

  • Advanced search
The Journal of Trading
  • Institutional Investor Journals: Home
    • The Journal of Alternative Investments
    • The Journal of Derivatives
    • The Journal of Fixed Income
    • The Journal of Index Investing
    • The Journal of Investing
    • The Journal of Portfolio Management
    • The Journal of Private Equity
    • The Journal of Retirement
    • The Journal of Structured Finance
    • The Journal of Wealth Management
    • Practical Applications
  • Register
  • Subscribe
  • My alerts
  • Log in
The Journal of Trading

The Journal of Trading

Advanced Search

  • Latest
  • Issues
    • Current
    • Archive
  • About
    • Journal Information
    • Editorial Board
    • About IIJ
  • Information for
    • Advertisers and Sponsors
    • Agents
    • Authors
    • Institutions
  • Events
  • Videos
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook
Article

Whole-Distribution Statistical Process Control in High-Frequency Trading

Ricky A. Cooper and Ben Van Vliet
The Journal of Trading Spring 2012, 7 (2) 57-68; DOI: https://doi.org/10.3905/jot.2012.7.2.057
Ricky A. Cooper
is an assistant professor of finance at Illinois Institute of Technology in Chicago, IL. rcooper3@stuart.iit.edu
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Ben Van Vliet
is a lecturer at Illinois Institute of Technology in Chicago, IL. bvanvliet@stuart.iit.edu
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

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
View Full Text

Log in using your username and password

Forgot your user name or 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.
PreviousNext
Back to top

In this issue

The Journal of Trading: 7 (2)
The Journal of Trading
Vol. 7, Issue 2
Spring 2012
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Whole-Distribution Statistical Process Control in High-Frequency Trading
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
Citation Tools
Whole-Distribution Statistical Process Control in High-Frequency Trading
Ricky A. Cooper, Ben Van Vliet
The Journal of Trading Mar 2012, 7 (2) 57-68; DOI: 10.3905/jot.2012.7.2.057

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Whole-Distribution Statistical Process Control in High-Frequency Trading
Ricky A. Cooper, Ben Van Vliet
The Journal of Trading Mar 2012, 7 (2) 57-68; DOI: 10.3905/jot.2012.7.2.057
Permalink:
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • PERFORMANCE OUTPUTS
    • TRADITIONAL SPC
    • MONITORING HFT SYSTEMS WITH WHOLE-DISTRIBUTION SPC AND THE GLD
    • NUMERICAL EXAMPLE
    • ATTRIBUTIVE GOAL
    • PROACTIVE GOAL
    • AUTHORITATIVE GOAL
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Cited By...

  • The Rationale for AT 9000: An ISO * 9000-Style Quality Management System Standard * for Automated and Algorithmic Trading
  • A Practical Real Options Approach to Valuing * High-Frequency Trading System R&D Projects
  • Google Scholar

More in this TOC Section

  • Optimal Leverage in Day Trading
  • When Less Is More: Passive Volume Algos for Enhanced Performance
  • Shorting Leveraged ETF Pairs
Show more Article

Similar Articles

II Journals
1120 Avenue of the Americas
New York, NY 10036

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook

ABOUT US

  • Home
  • About IIJ
  • Nobel Laureates
  • Events
  • Awards
  • Careers

OUR OFFERINGS

  • Guides
  • Permissions and Reprints
  • Digital Archives

GET INVOLVED

  • Advertise or sponsor
  • Publish your work
  • Subscribe
  • Agents

CUSTOMER SERVICE

  • Contact Us
  • FAQ's
  • Feedback
  • Publishing Schedule 2017/2018
  • Code of Ethics
  • Subscribe Now
  • Log In

© 2018 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies