Date of this Version

12-16-2012

Document Type

Conference Paper

Publication Details

Accepted Version.

Vanstone, B., Hahn, T., & Finnie, G. (2012). Developing high frequency foreign exchange trading systems. Paper presented at the 25th Australasian Finance & Banking conference, Sydney, Australia.

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© Copyright Bruce Vanstone, Tobias Hahn & Gavin Finnie, 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.

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