Developing high frequency foreign exchange trading systems

Bruce J Vanstone, Tobias Hahn, Gavin Finnie

Research output: Chapter in Book/Report/Conference proceedingConference contributionResearchpeer-review

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.
Original languageEnglish
Title of host publicationProceedings of the 25th Australasian Finance & Banking Conference
EditorsF. Moshirian
Place of PublicationAustralia
PublisherUniversity of New South Wales
Number of pages6
DOIs
Publication statusPublished - 2012
Event25th Australasian Finance and Banking Conference 2012 - Sydney, Sydney, Australia
Duration: 16 Dec 201218 Dec 2012

Conference

Conference25th Australasian Finance and Banking Conference 2012
CountryAustralia
CitySydney
Period16/12/1218/12/12

Fingerprint Dive into the research topics of 'Developing high frequency foreign exchange trading systems'. Together they form a unique fingerprint.

  • Cite this

    Vanstone, B. J., Hahn, T., & Finnie, G. (2012). Developing high frequency foreign exchange trading systems. In F. Moshirian (Ed.), Proceedings of the 25th Australasian Finance & Banking Conference Australia: University of New South Wales. https://doi.org/10.2139/ssrn.2132390