Dr Harvey holds a Ph.D. in Astrophysics from Harvard University, and an undergraduate Masters degree in Physics from the University of Oxford (UK).
Dr Harvey holds a Ph.D. in Astrophysics from Harvard University, and an undergraduate Masters degree in Physics from the University of Oxford (UK).

Technological Demands in Foreign Exchange

Daniel Harvey traces how recent technological advances now permit the application of powerful and computationally intensive numerical methods to foreign exchange data.

First Published: e-Forex Magazine 13 / Retail Forex Client / January, 2004

Recent technological advances now permit the application of powerful and computationally intensive numerical methods to foreign exchange data.We ask Daniel Harvey, research scientist at Financial Labs LLC, an investment firm that applies scientific methods to develop systematic, computer-driven models, to outline some recent developments in this field.The foreign exchange market is the largest financial market worldwide. The market trades 24 hours a day, involving dealers in different geographical locations, and with a wide span of trading time-horizons. The liquidity of this market is so high that a data vendor like Reuters transmits roughly 300,000 prices (‘ticks') per day. Unfortunately, the lack of a central trading exchange renders it problematic to ascertain true price series at this frequency. Erroneous quotes occur in foreign exchange for a number of reasons. Some market makers may have a preference for either buying or selling, and therefore publish quotes that are competitive in the bid or the...continued

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