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.
|Number of pages||18|
|Journal||The Journal of Trading|
|Publication status||Published - 2015|
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Option Pricing Using Artificial Neural Networks : an Australian PerspectiveAuthor: Hahn, T., 8 Feb 2014
Supervisor: Vanstone, B. J. (Supervisor) & Finnie, G. (Supervisor)
Student thesis: Doctoral ThesisFile