Book description
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.
Table of contents
- Copyright
- Acknowledgments
- 1. Introduction
- 2. Evolution of High-Frequency Trading
- 3. Overview of the Business of High-Frequency Trading
- 4. Financial Markets Suitable for High-Frequency Trading
- 5. Evaluating Performance of High-Frequency Strategies
- 6. Orders, Traders, and Their Applicability to High-Frequency Trading
- 7. Market Inefficiency and Profit Opportunities at Different Frequencies
- 8. Searching for High-Frequency Trading Opportunities
- 9. Working with Tick Data
- 10. Trading on Market Microstructure: Inventory Models
- 11. Trading on Market Microstructure: Information Models
- 12. Event Arbitrage
- 13. Statistical Arbitrage in High-Frequency Settings
-
14. Creating and Managing Portfolios of High-Frequency Strategies
-
14.1. ANALYTICAL FOUNDATIONS OF PORTFOLIO OPTIMIZATION
- 14.1.1. Graphical Representation of the Portfolio Optimization Problem
- 14.1.2. Core Portfolio Optimization Framework
- 14.1.3. Portfolio Optimization in the Presence of Transaction Costs
- 14.1.4. Portfolio Diversification with Asymmetric Correlations
- 14.1.5. Dealing with Estimation Errors in Portfolio Optimization
- 14.2. EFFECTIVE PORTFOLIO MANAGEMENT PRACTICES
- 14.3. CONCLUSION
-
14.1. ANALYTICAL FOUNDATIONS OF PORTFOLIO OPTIMIZATION
- 15. Back-Testing Trading Models
- 16. Implementing High-Frequency Trading Systems
- 17. Risk Management
- 18. Executing and Monitoring High-Frequency Trading
- 19. Post-Trade Profitability Analysis
-
References
- About the Web Site
- About the Author
Product information
- Title: High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems
- Author(s):
- Release date: December 2009
- Publisher(s): Wiley
- ISBN: 9780470563762
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