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Presentation
Developing high frequency foreign exchange trading systems
25th Australasian Finance & Banking conference
  • Bruce Vanstone, Bond University
  • Tobias Hahn, Bond University
  • Gavin Finnie, Bond University
Date of this Version
12-16-2012
Document Type
Conference Paper
Publication Details

Accepted Version.

Vanstone, B., Hahn, T., & Finnie, G. (2012). Developing high frequency foreign exchange trading systems. Paper presented at the 25th Australasian Finance & Banking conference, Sydney, Australia.

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© Copyright Bruce Vanstone, Tobias Hahn & Gavin Finnie, 2012

Abstract

The foreign exchange (FX) spot markets are well suited to high frequency trading. They are highly liquid, allow leverage, and trade 24 hours a day, 5 days a week. This paper documents and tests the stylized facts known about high-frequency FX markets. It then postulates a high frequency trading system on the basis of these stylized facts. Benchmarking confirms the robustness of the approach, demonstrating the role algorithmic trading has to play in higher frequency trading environments.

Citation Information
Bruce Vanstone, Tobias Hahn and Gavin Finnie. "Developing high frequency foreign exchange trading systems" 25th Australasian Finance & Banking conference (2012) p. 1 - 6
Available at: http://works.bepress.com/bruce_vanstone/36/