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High frequency trading: a practical guide to algorithmic strategies and trading systems

Author: Aldridge, Irene Publisher: Wiley, 2010.Language: EnglishDescription: 339 p. : Graphs ; 24 cm.ISBN: 9780470563762Type of document: BookBibliography/Index: Includes bibliographical references and index
Item type Current location Collection Call number Status Date due Barcode Item holds
Book Europe Campus
Main Collection
Print HG4529 .A53 2010
(Browse shelf)
001275124
Available 001275124
Total holds: 0

Includes bibliographical references and index

Digitized

High-Frequency Trading A Practical Guide To Algorithmic Strategies and Trading Systems Contents Acknowledgments xi CHAPTER 1 introduction 1 CHAPTER 2 Evolution of High-Frequency Trading Financial Markets and Technological Innovation Evolution of Trading Methodology 7 7 13 CHAPTER 3 Overview of the Business of High-Frequency Trading Comparison with Traditional Approaches to Trading Market Participants Operating Model Economics Capitalizing a High-Frequency Trading Business Conclusion 21 22 24 26 32 34 35 CHAPTER 4 Financial Markets Suitable for High-Frequency Trading Financial Markets and Their Suitability for High-Frequency Trading Conclusion 37 38 47 CHAPTER 5 Evaluating Performance of High-Frequency Strategies Basic Return Characteristics Comparative Ratios Performance Attribution Other Considerations in Strategy Evaluation Conclusion 49 49 51 57 58 60 CHAPTER 6 Orders, Traders, and Their Applicability to High-Frequency Trading Order Types Order Distributions Conclusion 61 61 70 73 CHAPTER 7 Market Inefficiency and Profit Opportunities at Different Frequencies Predictability of Price Moves at High Frequencies Conclusion 75 78 89 CHAPTER 8 Searching for High-Frequency Trading Opportunities Statistical Properties of Returns Linear Econometric Models Volatility Modeling Nonlinear Models Conclusion 91 91 97 102 108 114 CHAPTER 9 Working with Tick Data Properties of Tick Data Quantity and Quality of Tick Data Bid-Ask Spreads 115 116 117 118 Bid-Ask Bounce Modeling Arrivals of Tick Data Applying Traditional Econometric Techniques to Tick Data Conclusion 120 121 123 125 CHAPTER 10 Trading on Market Microstructure: Inventory Models Overview of Inventory Trading Strategies Orders, Traders, and Liquidity Profitable Market Making Directional Liquidity Provision Conclusion 127 129 130 134 139 143 CHAPTER 1I Trading on Market Microstructure: Information Models Measures of Asymmetric Information Information-Based Trading Models Conclusion 145 146 149 164 CHAPTER 12 Event Arbitrage Developing Event Arbitrage Trading Strategies What Constitutes an Event? Forecasting Methodologies Tradable News Application of Event Arbitrage Conclusion 165 165 167 168 173 175 184 CHAPTER 13 Statistical Arbitrage in High-Frequency Settings Mathematical Foundations Practical Applications of Statistical Arbitrage Conclusion 185 186 188 199 CHAPTER 14 Creating and Managing Portfolios of High-Frequency Strategies Analytical Foundations of Portfolio Optimization Effective Portfolio Management Practices Conclusion 201 202 211 217 CHAPTER 15 Back-Testing Trading Models Evaluating Point Forecasts Evaluating Directional Forecasts Conclusion 219 220 222 231 CHAPTER 16 Implementing High-Frequency Trading Systems Model Development Life Cycle System Implementation Testing Trading Systems Conclusion 233 234 236 246 249 CHAPTER 17 Risk Management Determining Risk Management Goals Measuring Risk Managing Risk Conclusion 251 252 253 266 271 CHAPTER 18 Executing and Monitoring High-Frequency Trading Executing High-Frequency Trading Systems Monitoring High-Frequency Execution Conclusion 273 274 280 281 CHAPTER 19 Post-Trade Profitability Analysis Post-Trade Cost Analysis Post-Trade Performance Analysis Conclusion 283 284 295 301 References About the Web Site About the Author Index 303 323 325 327

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