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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.
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  • For correspondence: rcooper3@stuart.iit.edu
Ben Van Vliet
is a lecturer at Illinois Institute of Technology in Chicago, IL.
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  • For correspondence: bvanvliet@stuart.iit.edu
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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.

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The Journal of Trading: 7 (2)
The Journal of Trading
Vol. 7, Issue 2
Spring 2012
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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

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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
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  • 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
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