First steps in developing high-frequency trading models

Bruce J Vanstone, Tobias Hahn

Research output: Contribution to journalArticleResearchpeer-review


Confirmation of stylized facts and dimension reduction are key first steps in the subsequent development of specific high-frequency trading rules. This article demonstrates the application of these techniques using high-frequency foreign exchange (FX) data as a case study. The FX spot markets are well suited to high-frequency speculative trading. They are highly liquid, leveraged, and trade 24 hours a day, five days a week. This article describes the processes to follow for determining the applicability and robustness of known or suspected stylized facts to speculative trading; it also formalizes the technique of dimension reduction in high-frequency financial datasets.
Original languageEnglish
Pages (from-to)54-71
Number of pages18
JournalThe Journal of Trading
Issue number2
Publication statusPublished - 2015

Fingerprint Dive into the research topics of 'First steps in developing high-frequency trading models'. Together they form a unique fingerprint.

  • Student Theses

    Option Pricing Using Artificial Neural Networks : an Australian Perspective

    Author: Hahn, T., 8 Feb 2014

    Supervisor: Vanstone, B. J. (Supervisor) & Finnie, G. (Supervisor)

    Student thesis: Doctoral Thesis


    Cite this