Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/18869| Title: | High frequency trading for gold and silver using the Hilbert Transform and event driven volatility modelling |
| Authors: | Kablan, Abdalla Falzon, Joseph |
| Keywords: | Hilbert transform Signal processing -- Digital techniques Gold -- Prices Silver -- Prices |
| Issue Date: | 2014 |
| Publisher: | IAENG |
| Citation: | Kablan, A., & Falzon, J. (2014). High frequency trading for gold and silver using the Hilbert Transform and event driven volatility modelling. World Congress on Engineering, Vol II, London, U.K. |
| Abstract: | In this paper we look at a high frequency trading system which utilizes the principles of the Hilbert Transform as a trading tool and the Intraday Seasonality Observation Model to trade Gold and Silver indices. The paper concludes that whilst it is possible to successfully use such a strategy, the volatility components of both metals exhibit different behaviour which is probably due to the difference in liquidity of both indices. |
| URI: | https://www.um.edu.mt/library/oar//handle/123456789/18869 |
| ISSN: | 20780966 |
| Appears in Collections: | Scholarly Works - FacEMABF |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Conference paper_ Frequency Trading for Gold and Silver using the hilbert transform and event driven volatility modeling.pdf Restricted Access | 1.18 MB | Adobe PDF | View/Open Request a copy |
Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.