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Developing high frequency foreign exchange trading systems

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Standard Standard

Developing high frequency foreign exchange trading systems. / Vanstone, Bruce J; Hahn, Tobias; Finnie, Gavin.
Proceedings of the 25th Australasian Finance & Banking Conference. ed. / F. Moshirian. Australia: Australian School of Business, University of New South Wales, 2012.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

HarvardHarvard

Vanstone, BJ, Hahn, T & Finnie, G 2012, Developing high frequency foreign exchange trading systems. in F Moshirian (ed.), Proceedings of the 25th Australasian Finance & Banking Conference. Australian School of Business, University of New South Wales, Australia. https://doi.org/10.2139/ssrn.2132390

APA

Vanstone, B. J., Hahn, T., & Finnie, G. (2012). Developing high frequency foreign exchange trading systems. In F. Moshirian (Ed.), Proceedings of the 25th Australasian Finance & Banking Conference Australian School of Business, University of New South Wales. https://doi.org/10.2139/ssrn.2132390

CBE

Vanstone BJ, Hahn T, Finnie G. 2012. Developing high frequency foreign exchange trading systems. Moshirian F, editor. In Proceedings of the 25th Australasian Finance & Banking Conference. Australia: Australian School of Business, University of New South Wales. https://doi.org/10.2139/ssrn.2132390

MLA

Vanstone, Bruce J, Tobias Hahn and Gavin Finnie "Developing high frequency foreign exchange trading systems". Moshirian, F. (ed.). Proceedings of the 25th Australasian Finance & Banking Conference. Australia: Australian School of Business, University of New South Wales. 2012. https://doi.org/10.2139/ssrn.2132390

VancouverVancouver

Vanstone BJ, Hahn T, Finnie G. Developing high frequency foreign exchange trading systems. In Moshirian F, editor, Proceedings of the 25th Australasian Finance & Banking Conference. Australia: Australian School of Business, University of New South Wales. 2012 doi: 10.2139/ssrn.2132390

Author

Vanstone, Bruce J ; Hahn, Tobias ; Finnie, Gavin. / Developing high frequency foreign exchange trading systems. Proceedings of the 25th Australasian Finance & Banking Conference. editor / F. Moshirian. Australia : Australian School of Business, University of New South Wales, 2012.

RIS

TY - GEN

T1 - Developing high frequency foreign exchange trading systems

AU - Vanstone, Bruce J

AU - Hahn, Tobias

AU - Finnie, Gavin

N1 - 25th Australasian Finance and Banking Conference 2012 ; Conference date: 16-12-2012 Through 18-12-2012

PY - 2012

Y1 - 2012

N2 - 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.

AB - 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.

U2 - 10.2139/ssrn.2132390

DO - 10.2139/ssrn.2132390

M3 - Conference contribution

BT - Proceedings of the 25th Australasian Finance & Banking Conference

A2 - Moshirian, F.

PB - Australian School of Business, University of New South Wales

CY - Australia

ER -