Developing high frequency foreign exchange trading systems
Allbwn ymchwil: Pennod mewn Llyfr/Adroddiad/Trafodion Cynhadledd › Cyfraniad i Gynhadledd
Fersiynau electronig
Dangosydd eitem ddigidol (DOI)
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.
| Iaith wreiddiol | Saesneg |
|---|---|
| Teitl | Proceedings of the 25th Australasian Finance & Banking Conference |
| Golygyddion | F. Moshirian |
| Man cyhoeddi | Australia |
| Cyhoeddwr | Australian School of Business, University of New South Wales |
| Dynodwyr Gwrthrych Digidol (DOIs) | |
| Statws | Cyhoeddwyd - 2012 |
| Cyhoeddwyd yn allanol | Ie |