bala wrote on 07/30/08 at 03:10:15:Please point me to some research papers on FX trading algorithms. I've been search hard for good papers with limited success.
You are right. Normally access to research papers is limited for outsiders. Once you are in you can access research papers of different institutions like JP Morgan, Citigroup and so on.
For a start you can check these papers:
Dunis, C. L. and J. Miao, June 2005
Trading Foreign Exchange Portfolios with Volatility Filters: The Carry Model Revisitedhttp://www.ljmu.ac.uk/AFE/AFE_docs/artcdjm_0605.PDFAbstract
The rejection of the simple risk-neutral efficient market hypothesis in the foreign exchange (FX) market opens the possibility of the profitable use of a carry model taking full advantage of interest rate differentials to trade currencies. A first motivation for this paper is to study whether a simple passive carry model can outperform a typical currency fund manager replicated by dynamic technical Moving Average Convergence and Divergence (MACD) models as in Lequeux and Acar (1998). Secondly, we study whether the addition of volatility filters can further improve the carry model performance.
Lyytinen, J.-P., Spring 2007,
Masterīs thesisCurrency Carry Trades - Betting Against the Uncovered Interest Parityhttp://www.hse.fi/NR/rdonlyres/57C53D18-8447-4DEB-BD87-91B7F584AD76/0/CarryTrade...Hint: Go to the reference section of these papers. It will direct you further