Developing High Frequency Foreign Exchange Trading Systems

Bruce J Vanstone

Research output: Contribution to conferencePosterResearch

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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
Publication statusPublished - 2012
EventResearch Week 2012 - Bond University, Gold Coast, Australia
Duration: 4 Sept 20127 Sept 2012


ConferenceResearch Week 2012
CityGold Coast


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