TY - JOUR

T1 - First steps in developing high-frequency trading models

AU - Vanstone, Bruce J

AU - Hahn, Tobias

PY - 2015

Y1 - 2015

N2 - 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.

AB - 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.

U2 - 10.3905/jot.2015.10.2.054

DO - 10.3905/jot.2015.10.2.054

M3 - Article

VL - 10

SP - 54

EP - 71

JO - The Journal of Trading

JF - The Journal of Trading

SN - 1559-3967

IS - 2

ER -