RT Journal Article
SR Electronic
T1 First Steps in Developing High-Frequency Trading Models
JF The Journal of Trading
FD Institutional Investor Journals
SP 54
OP 71
DO 10.3905/jot.2015.10.2.054
VO 10
IS 2
A1 Bruce Vanstone
A1 Tobias Hahn
YR 2015
UL https://pm-research.com/content/10/2/54.abstract
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