First step in developing high-frequency trading modelsThe Journal of Trading
Date of this Version1-1-2015
Document TypeJournal Article
AbstractConfirmation of stylized facts and dimension reduction are key first steps in the subsequent development of specific high-frequency trading rules. This article demonstrates the application of these techniques using high-frequency foreign exchange (FX) data as a case study. The FX spot markets are well suited to high-frequency speculative trading. They are highly liquid, leveraged, and trade 24 hours a day, five days a week. This article describes the processes to follow for determining the applicability and robustness of known or suspected stylized facts to speculative trading; it also formalizes the technique of dimension reduction in high-frequency financial datasets.
Citation InformationBruce Vanstone and Tobias Hahn. "First step in developing high-frequency trading models" The Journal of Trading Vol. 10 Iss. 2 (2015) p. 54 - 71 ISSN: 1559-3967
Available at: http://works.bepress.com/bruce_vanstone/48/