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

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Trading systems
High-frequency trading
Foreign exchange
Stylized facts
Algorithmic trading
Benchmarking
Spot market
Robustness
Leverage

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
Vanstone, Bruce J ; Hahn, Tobias ; Finnie, Gavin. / Developing high frequency foreign exchange trading systems. Proceedings of the 25th Australasian Finance & Banking Conference. editor / F. Moshirian. Australia : University of New South Wales, 2012.
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Vanstone, BJ, Hahn, T & Finnie, G 2012, Developing high frequency foreign exchange trading systems. in F Moshirian (ed.), Proceedings of the 25th Australasian Finance & Banking Conference. University of New South Wales, Australia, 25th Australasian Finance and Banking Conference 2012, Sydney, Australia, 16/12/12. https://doi.org/10.2139/ssrn.2132390

Developing high frequency foreign exchange trading systems. / Vanstone, Bruce J; Hahn, Tobias; Finnie, Gavin.

Proceedings of the 25th Australasian Finance & Banking Conference. ed. / F. Moshirian. Australia : University of New South Wales, 2012.

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

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