First steps in developing high-frequency trading models

Bruce J Vanstone, Tobias Hahn

Research output: Contribution to journalArticleResearchpeer-review

Abstract

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
Volume10
Issue number2
DOIs
Publication statusPublished - 2015

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High-frequency trading
Dimension reduction
Stylized facts
Trading rules
Spot market
Foreign exchange
Robustness

Cite this

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First steps in developing high-frequency trading models. / Vanstone, Bruce J; Hahn, Tobias.

In: The Journal of Trading, Vol. 10, No. 2, 2015, p. 54-71.

Research output: Contribution to journalArticleResearchpeer-review

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