Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/USD, JPY/USD, and GBP/USD. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility...

Denoising analysis imposes new challenge for mining high-frequency financial data due to its irregularities and roughness. Inefficient decomposition of the systematic pattern (the trend) and noises of high-frequency data will lead to erroneous conclusion as the irregularities and roughness of...

We build an optimal trading model for submitting market orders in volatile market. We show some analytical properties of our computational solution. We conduct numerical simulations to investigate the model performance. In comparison with other two alternative models, the simulation results show...