Carl Johan Hegerin och Jonas Gustafsson
 
Systematic FX-trading	
	
Abstract
 
The foreign exchange(FX) market is known as one of the most liquid
markets in the world. It is open 24 hours a day 7 days a week and has
a daily turnover of $ 1.9 trillion. The aim of this study has been to
investigate how to proceed when building a Trading System for the
FX-market. The study incorporates characterizing FX rate behavior and
suggesting statistical methods to model the behavior with profit
generating in mind. The data used is high frequency 1 min EUR based
crossrates sampled during 2004.1-12 and 1 min Eur/Usd sampled during
2002.1-2004.12. The study uses theory involving Stochastic
Differential Equations as well as filter techniques using the Kalman
Filter. The study is focused upon the progressive work of the building
of a trading strategy and gives a view of the problems faced.