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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| Publication status | Published - 2012 |
| Event | Research Week 2012 - Bond University, Gold Coast, Australia Duration: 4 Sept 2012 → 7 Sept 2012 |
Conference
| Conference | Research Week 2012 |
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| Country/Territory | Australia |
| City | Gold Coast |
| Period | 4/09/12 → 7/09/12 |