Developing high frequency foreign exchange trading systems
Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
Electronic versions
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.
| Original language | English |
|---|---|
| Title of host publication | Proceedings of the 25th Australasian Finance & Banking Conference |
| Editors | F. Moshirian |
| Place of Publication | Australia |
| Publisher | Australian School of Business, University of New South Wales |
| DOIs | |
| Publication status | Published - 2012 |
| Externally published | Yes |