TY - JOUR T1 - First Steps in Developing High-Frequency Trading Models JF - The Journal of Trading SP - 54 LP - 71 DO - 10.3905/jot.2015.10.2.054 VL - 10 IS - 2 AU - Bruce Vanstone AU - Tobias Hahn Y1 - 2015/03/31 UR - https://pm-research.com/content/10/2/54.abstract N2 - 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 ER -