PT  - JOURNAL ARTICLE
AU  - Ricky A. Cooper
AU  - Ben Van Vliet
TI  - Whole-Distribution Statistical Process Control in High-Frequency Trading
AID  - 10.3905/jot.2012.7.2.057
DP  - 2012 Mar 31
TA  - The Journal of Trading
PG  - 57--68
VI  - 7
IP  - 2
4099  - https://pm-research.com/content/7/2/57.short
4100  - https://pm-research.com/content/7/2/57.full
AB  - 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.TOPICS: Statistical methods, volatility measures, tail risks