First steps in developing high-frequency trading models
Research output: Contribution to journal › Article › peer-review
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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.
| Original language | English |
|---|---|
| Pages (from-to) | 54-71 |
| Number of pages | 18 |
| Journal | The Journal of Trading |
| Volume | 10 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2015 |
| Externally published | Yes |