%0 Journal Article %A Bruce Vanstone %A Tobias Hahn %T First Steps in Developing High-Frequency Trading Models %D 2015 %R 10.3905/jot.2015.10.2.054 %J The Journal of Trading %P 54-71 %V 10 %N 2 %X 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.TOPICS: Quantitative methods, currency %U https://jot.pm-research.com/content/iijtrade/10/2/54.full.pdf