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Full-Text Articles in Business
Momentum Returns To S&P/Asx 100 Constituents, Bruce Vanstone, Tobias Hahn, Gavin Finnie
Momentum Returns To S&P/Asx 100 Constituents, Bruce Vanstone, Tobias Hahn, Gavin Finnie
Tobias Hahn
No abstract provided.
Developing High Frequency Foreign Exchange Trading Systems, Bruce Vanstone, Tobias Hahn, Gavin Finnie
Developing High Frequency Foreign Exchange Trading Systems, Bruce Vanstone, Tobias Hahn, Gavin Finnie
Tobias Hahn
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.