PT  - JOURNAL ARTICLE
AU  - Bruce Vanstone
AU  - Tobias Hahn
TI  - First Steps in Developing High-Frequency Trading Models
AID  - 10.3905/jot.2015.10.2.054
DP  - 2015 Mar 31
TA  - The Journal of Trading
PG  - 54--71
VI  - 10
IP  - 2
4099  - https://pm-research.com/content/10/2/54.short
4100  - https://pm-research.com/content/10/2/54.full
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.TOPICS: Quantitative methods, currency