High-Frequency Trading

A Practical Guide to Algorithmic Strategies and Trading Systems

Author: Irene Aldridge

Publisher: John Wiley and Sons

ISBN:

Category: Business & Economics

Page: 368

View: 568

A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency trading. This book covers all aspects of high-frequency trading, from the business case and 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 market microstructure, event arbitrage, and deviations arbitrage discussed in great detail. Contains the tools and techniques needed for building a high-frequency trading system Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation Written by well-known industry professional Irene Aldridge Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.

High Frequency Trading: Economic Necessity Or Threat to the Economy?

Author: Stefan Höppel

Publisher: Anchor Academic Publishing (aap_verlag)

ISBN:

Category: Business & Economics

Page: 48

View: 645

In the last four decades, technological progress led to an electrification of stock tra-ding systems. It was realized that the profitability of trading strategies could be increased by employing computer algorithms to trade autonomously. This led to the implementation of High Frequency Trading (HFT). Theoretically HFT should increase efficiency in financial markets but it seems that, at least under certain circumstances, it causes market instability. The aim of this paper is to discuss the effect of HFT on market quality and why HFT cannot be fully explained by the neoclassical theory of economics. Therefore, the controversial positions in literature will be presented and discussed. It is especially referred to the influence of HFT on liquidity, price discovery and volatility. Primarily, its negative effect on volatility seems to contravene the modern finance. Furthermore, in the course of this work it will be illustrated that, by employing strict regulation of financial markets, this negative impact cannot be reduced to a suf-ficient extent in order for HFT to be characterized as market optimizing, accor-ding to the neoclassical theory of economics."

Dark Pools and High Frequency Trading For Dummies

Author: Jay Vaananen

Publisher: John Wiley & Sons

ISBN:

Category: Business & Economics

Page: 240

View: 899

A plain English guide to high frequency trading and off-exchange trading practices In Dark Pools & High Frequency Trading For Dummies, senior private banker Jukka Vaananen has created an indispensable and friendly guide to what really goes on inside dark pools, what rewards you can reap as an investor and how wider stock markets and pricing may be affected by dark pools. Written with the classic For Dummies style that has become a hallmark of the brand, Vaananen makes this complex material easy to understand with an insider's look into the topic. The book takes a detailed look at the pros and the cons of trading in dark pools, and how this type of trading differs from more traditional routes. It also examines how dark pools are currently regulated, and how the regulatory landscape may be changing. Learn what types of dark pools exist, and how a typical transaction works Discover the rules and regulations for dark pools, and some of the downsides to trading Explore how dark pools can benefit investors and banks, and who can trade in them Recognize the ins and outs of automated and high frequency trading Because dark pools allow companies to trade stocks anonymously and away from the public exchange, they are not subject to the peaks and troughs of the stock market, and have only recently begun to take off in a big way. Written with investors and finance students in mind, Dark Pools & High Frequency Trading For Dummies is the ultimate reference guide for anyone looking to understand dark pools and dark liquidity, including the different order types and key HFT strategies.

Handbook of High Frequency Trading

Author: Greg N. Gregoriou

Publisher: Academic Press

ISBN:

Category: Business & Economics

Page: 494

View: 402

This comprehensive examination of high frequency trading looks beyond mathematical models, which are the subject of most HFT books, to the mechanics of the marketplace. In 25 chapters, researchers probe the intricate nature of high frequency market dynamics, market structure, back-office processes, and regulation. They look deeply into computing infrastructure, describing data sources, formats, and required processing rates as well as software architecture and current technologies. They also create contexts, explaining the historical rise of automated trading systems, corresponding technological advances in hardware and software, and the evolution of the trading landscape. Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy. Answers all questions about high frequency trading without being limited to mathematical modelling Illuminates market dynamics, processes, and regulations Explains how high frequency trading evolved and predicts its future developments

Searching for High-Frequency Trading Opportunities

Author: Irene Aldridge

Publisher: John Wiley and Sons

ISBN:

Category: Business & Economics

Page: 21

View: 288

Praise for High-Frequency Trading "A well thought out, practical guide covering all aspects of high-frequency trading and of systematic trading in general. I recommend this book highly." —Igor Tulchinsky, CEO, WorldQuant, LLC "For traditional fundamental and technical analysts, Irene Aldridge's book has the effect a first read of quantum physics would have had on traditional Newtonian physicists: eye-opening, challenging, and enlightening." —Neal M. Epstein, CFA, Managing Director, Research & Product Management, Proctor Investment Managers LLC Interest in high-frequency trading continues to grow, yet little has been published to help investors understand and implement high-frequency trading systems—until now. This book has everything you need to gain a firm grip on how high-frequency trading works and what it takes to apply this approach to your trading endeavors. Written by industry expert Irene Aldridge, High-Frequency Trading offers innovative insights into this dynamic discipline. Covering all aspects of high-frequency trading—from the formulation of ideas and the development of trading systems to application of capital and subsequent performance evaluation—this reliable resource will put you in a better position to excel in today's turbulent markets.

High Frequency Trading Models, + Website

Author: Gewei Ye

Publisher: Yeswici LLC

ISBN:

Category: Business & Economics

Page: 322

View: 112

High frequency trading has swept Wall Street in the past year, creating stunning profits for top tier banks and specialized trading firms. Given the success, many hedge funds and other types of trading firms are implementing or expanding high frequency strategies. As competition increases, existing strategies will become less profitable and new high-frequency strategies will be developed. In High Frequency Trading Models + Website, Dr. Gewei Ye describes the technology, architecture, and algorithms underlying current high frequency trading models, such as rebate trading, arbitrage, flash trading, and other types of trading, which exploit order flow imbalances and temporary pricing inefficiencies. He explains how to develop a HFT trading system and introduces his own system for building high frequency strategies based on behavioral algorithms. Finally, he discusses how to improve current institutional HFT strategies and suggests directions for new strategies.

Algorithmic and High-Frequency Trading

Author: Álvaro Cartea

Publisher: Cambridge University Press

ISBN:

Category: Business & Economics

Page: 356

View: 712

A straightforward guide to the mathematics of algorithmic trading that reflects cutting-edge research.

High-frequency Trading And Probability Theory

Author: Wang Zhaodong

Publisher: World Scientific

ISBN:

Category: Business & Economics

Page: 192

View: 518

This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic.Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis. The authors also discuss technical details of the IT system design for high-frequency trading.

Global Algorithmic Capital Markets

High Frequency Trading, Dark Pools, and Regulatory Challenges

Author: Walter Mattli

Publisher: Oxford University Press, USA

ISBN:

Category: Business & Economics

Page: 384

View: 756

Global capital markets have undergone fundamental transformations in recent years and, as a result, have become extraordinarily complex and opaque. Trading space is no longer measured in minutes or seconds but in time units beyond human perception: milliseconds, microseconds, and even nanoseconds. Technological advances have thus scaled up imperceptible and previously irrelevant time differences into operationally manageable and enormously profitable business opportunities for those with the proper high-tech trading tools. These tools include the fastest private communication and trading lines, the most powerful computers and sophisticated algorithms capable of speedily analysing incoming news and trading data and determining optimal trading strategies in microseconds, as well as the possession of gigantic collections of historic and real-time market data. Fragmented capital markets are also becoming a rapidly growing reality in Europe and Asia, and are an established feature of U.S. trading. This raises urgent market governance issues that have largely been overlooked. Global Algorithmic Capital Markets seeks to understand how recent market transformations are affecting core public policy objectives such as investor protection and reduction of systemic risk, as well as fairness, efficiency, and transparency. The operation and health of capital markets affect all of us and have profound implications for equality and justice in society. This unique set of chapters by leading scholars, industry insiders, and regulators discusses ways to strengthen market governance for the benefit of society at whole.

The Truth About High-Frequency Trading

What Is It, How Does It Work, and Is It a Problem?

Author: Rishi K. Narang

Publisher: John Wiley & Sons

ISBN:

Category: Business & Economics

Page: 80

View: 363

The debate about high frequency trading (HFT) has been raging since around the beginning of 2010, after a couple of years of record profits in 2008 and 2009 were reported upon by the press with a generally negative tone. But, it was manageable. Regulators were making careful, but mostly correct moves to fix what needed fixing. Until it all came crashing down. With the release of Michael Lewis's latest best-seller, Flash Boys, potential progress was dramatically and possibly irrevocably set back. This e-only book will provide a close look at the topic of high frequency trading in its various aspects: what it is, how it's done, why it matters, and whether we should have concerns.