Developing high frequency foreign exchange trading systems25th Australasian Finance & Banking conference
Date of this Version12-16-2012
Document TypeConference Paper
AbstractThe 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 InformationBruce 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/