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Developing High Frequency Foreign Exchange Trading Systems
Research Week Posters
  • Bruce Vanstone, Bond University
Description

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.

Publication Date
1-1-2012
Citation Information
Bruce Vanstone. "Developing High Frequency Foreign Exchange Trading Systems" (2012)
Available at: http://works.bepress.com/bruce_vanstone/45/