Developing High-Frequency Foreign Exchange Trading Systems

6 Pages Posted: 20 Aug 2012

Date Written: August 20, 2012

Abstract

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

Vanstone, Bruce James and Hahn, Tobias and Finnie, Gavin, Developing High-Frequency Foreign Exchange Trading Systems (August 20, 2012). 25th Australasian Finance and Banking Conference 2012. Available at SSRN: https://ssrn.com/abstract=2132390 or http://dx.doi.org/10.2139/ssrn.2132390

Bruce James Vanstone (Contact Author)

Bond University ( email )

Gold Coast, QLD 4229
Australia

Tobias Hahn

Bond University ( email )

Gold Coast, QLD 4229
Australia

Gavin Finnie

Bond University ( email )

Gold Coast, QLD 4229
Australia

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