Developing High-Frequency Foreign Exchange Trading Systems
6 Pages Posted: 20 Aug 2012
Date Written: August 20, 2012
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.
Keywords: trading systems, foreign exchange
JEL Classification: F17, F31
Suggested Citation: Suggested Citation