To old school traders: Dealing with a change in trading structure.
Does anybody have an example of a product (physical or financial) that changed its structure of trading periods from a fixed time trading window to a continuous trading model? (ie: moving from a daily or hourly trading structure to a continuous one like global FX)
The reason I am asking this is that I am interested in studying the effect of spot power markets moving from an hourly trading granularity towards smaller trading intervals (half-hourly, quarters & even 5 mins intervals).
Any inputs or leads would be greatly appreciated.
@"lone wolf" ?
I don't know if this is what you are looking for but this paper demonstrates a shift based on the use of algorithmic activity vs human or event based vs time based.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2034858
With the use of algorithm strategies across all markets, this may provide some insight for further exploration.
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