High-Frequency Trading A Practical Guide to Algorithmic Strategies and Trading Systems
, by Aldridge, Irene
- ISBN: 9781118343500 | 1118343506
- Cover: Hardcover
- Copyright: 4/22/2013
The second edition of High-Frequency Trading builds on the success of the initial version and incorporates the latest research and questions that have come to light since the publication of the first edition. Specifically, the new version includes the up-to-the-minute material in the following sections: Risk-managing order flow for institutional investors Latest research on safeguarding the information and order flow in both dark and light markets New portfolio management techniques for high-frequency trading Reorganized and updated chapter on risk management of high-frequency strategies, including the cutting edge quantitative approaches The survey of the latest regulatory thought, the latest research underlying the current regulatory directions, and the likely outcomes Step-by-step explanation of implementation of high-frequency trading strategies Techniques for assessing the market quality and the presence of high-frequency traders in the markets at any given time Examples of HFT models performing in different volatility conditions (high vs. low) Latest empirical performance of various HFT strategies Latest technological developments enabling HFT, including state-of-the-art equipment and software The new edition condenses the content devoted to the following topics: The econometrics section is reduced to a few key models and incorporated into the chapter on high-frequency data. The majority of econometric techniques profiled in the previous edition are omitted entirely. This book covers all aspects of high-frequency trading, from formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies (with some like market microstructure, event arbitrage, and deviations arbitrage being discussed in great detail) and tools and techniques for how to build a high-frequency trading system. Finally, High-Frequency Trading discusses the post-trade analysis process, including key performance benchmarks and trade quality evaluation.
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