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 language | English |
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| Title of host publication | Proceedings of the 25th Australasian Finance & Banking Conference |
| Editors | F. Moshirian |
| Place of Publication | Australia |
| Publisher | University of New South Wales |
| Number of pages | 6 |
| DOIs | |
| Publication status | Published - 2012 |
| Event | 25th Australasian Finance and Banking Conference 2012 - Sydney, Sydney, Australia Duration: 16 Dec 2012 → 18 Dec 2012 |
Conference
| Conference | 25th Australasian Finance and Banking Conference 2012 |
|---|---|
| Country/Territory | Australia |
| City | Sydney |
| Period | 16/12/12 → 18/12/12 |