First steps in developing high-frequency trading models
Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid
Fersiynau electronig
Dangosydd eitem ddigidol (DOI)
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.
| Iaith wreiddiol | Saesneg |
|---|---|
| Tudalennau (o-i) | 54-71 |
| Nifer y tudalennau | 18 |
| Cyfnodolyn | The Journal of Trading |
| Cyfrol | 10 |
| Rhif y cyfnodolyn | 2 |
| Dynodwyr Gwrthrych Digidol (DOIs) | |
| Statws | Cyhoeddwyd - 2015 |
| Cyhoeddwyd yn allanol | Ie |