High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

but you won’t learn a lot apart from the basics. The presentation of the market and the technology is well written and give a new overview. It roughly covers all aspects of high-frequency trading expect the most important, the signals. But obviously, nobody would write about a profitable signals. It however gives a few entry points that I found a little bit too old in term of technology. It’s more an invitation to research for the reader rather than a thorouhg explanations of what is reasonable to use or not. By all means, it’s certainly one of the best presentation I saw so far, not because it’s good but because the litterature on trading is generally extremely poor. That book on the other end has a fair and honest presentation of many aspects of high-frequency trading and does a good job as an introduction to anyone who is interested in the topic.

I do not recommend for anyone who is serious about HFT. This is a survey book, the math involved is not expanded upon with just glances of insight along the way. It might provide some beginners with a suelf tidbit of information to do real study into, but is too general for anyone trying to accomplish anything of substance.

It felt like I was reading a report written at the high school level about the business of HFT rather than a practitioner’s guide.

This is a timely book that offers great insights into one of the currently most hyped, but ill-understood aspects of financial markets.

It only takes a bit of background search to tell that some strategies which Aldridge considers “high frequency trading” include SMA crossovers. I don’t consider her an expert in this area. This is not even a MFE’s introduction to the topic, but more of a literature review written by a MBA. The title of the book is highly inaccurate, and the content falls short of a Google search. Alridge’s opinion, rather than adding quality to the already-thin content, disorients the reader from how the topic should actually be structured and viewed. I do not recommend this book. That said, it is true that this is a field where there is hardly any reference material.

I was hoping to get the latest scoop on the state of the HF trading industry, but I could barely get past pages 11 and 12, where the author respectively refers to “market stalwarts such as the NYSE and AMEX” and mentions that the higher the liquidity is on NASDAQ, the higher it is on Island. AMEX was never a market stalwart, except for its ETF niche. Well before the November 2009 publication date, however, AMEX was acquired by NYSE, with most of its ETFs transfered to have NYSE Arca for a primary exchange. Thus, there is no way AMEX can be considered a “market stalwart” by publication date. As for the NASDAQ/Island statements, they are also meaningless because NASDAQ acquired Island long before publication date. Island no longer exists (and before it ceased to exist, was known as INET starting ’03 or ’04), but its former platform is now effectively the primary market center for Tape C securities, as far as I understand. Author probably does not even know what a Tape C security is. Being alarmed with such gross inaccuracies in general introductory topics about the markets, I was too afraid to proceed to high-frequency specifics lest my mind unwittingly gets contaminated by falsehood. This should have been done by a real HF professional or at least by an expert financial reporter, who would have known whom to ask for a thorough fact check.

This is the first book on this subject area. It gives enough information for qualified readers to enter into this new and exciting field, which is rapidly expanding now, even despite the problems with the financial industry as a whole.

For practitioners, this book covers many of the topics people should be thinking about if they want to get into high frequency trading. It presents many of the results across the vast literature at an easy manner and pace, distilling many of the essential ideas and formulas. Besides the convenience of having all these results in one place, there are plenty of hints for future directions in researching high frequency alpha.

I’m a financial engr. grad student and I’m reading this book to complement my curriculum and my internship at a stat arb shop. I’ve found the descriptions (particularly stat arb) to be very good introductions. Yes, they don’t contain a lot math and yes, some of the defs may be disagreeable to some, but overall, if you don’t have any experience in this area, it’s a good place to start. There are other books that treat the various subjects in much more detail (see other reviews, but add Intro to High Freq. Finance by Dacorogna to the list). Hope this helps.

Irene Aldridge offers the most complete, up-to-date, well thought out, practical guide in the market today covering nearly all aspects of HFT (high-frequency trading) and of systematic trading in general with a large audience in mind – be it wall street expert or beginning finance student.

Interestingly enough, financial markets are undergoing rapid innovation due to continuing proliferation of computer power and algorithms, yet few quality books are out there to cover the new investment discipline HFT and its quantitative trading strategies.

Irene did a fantastic job in publishing this book. I can tell by reading through it years of efforts were put into generating this high-quality deliverable. Not only the materials covered were quite complete on HFT topics ranging from Searching for High-Frequency Trading Opportunities, Creating/Managing Portfolios of High-Frequency Strategies, Implementing High-Frequency Trading Systems, HFT Risk Management, Executing and Monitoring High-Frequency Trading, to Post-Trade Profitability Analysis, but also all the quantitative mathematical equations employed in all chapters were sturdy and solid.

The book offers an easy to understand approach for the readers. For example, in the post-trade profitability analysis phase for transaction costs, Irene compares the market movements to ocean wave patterns. “High-frequency strategies are like pebbles thrown parallel to the ocean floor and grazing small ripples near the shore.”

Irene is not only an expert and frequent speaker in this red-hot HFT field, but also she has visions way beyond the complex mathematical formulas employed in HFT field. She also understands how the HFT plays such critical role today in financial services industry sector, which perhaps is the most key and too-big-to-fail pillars of the U.S. economy.

This book tries to show the current state of algorithmic trading — although it confuses algorithmic (i.e. programmatic), high-frequency, and microstructure-driven trading. Sadly, the shortcomings in the text will be apparent to anyone with experience in the field. Very little empirical work backs up the assertions; and, no theory is incorporated about strategies and tactics. Even the rare theoretical notes suffer from inconsistent notation: hats and epsilons are added or omitted as though they are mere decorations. Further, there is much to disagree with. When a book mentions the current top high-frequency traders and omits Getco or Lime Brokerage/Tower Capital, you know something is wrong. Another example: The book repeatedly confuses the speed of execution with the investment holding period.

I had hoped to use this book for a market microstructure and trading course I teach. However, this book does not approach the standards: Larry Harris’s Trading and Exchanges ; Joel Hasbrouck’s Empirical Market Microstructure ; and, Maureen O’Hara’s Market Microstructure Theory . O’Hara’s book serves as a proper contrast: While the book is nearly 20 years old, the basic tone and approach are still sound. This book, however, focuses too much on the “here and now” and misses the larger issues behind the move to electronic and algorithmic trading. Further, these issues are not new; many are mentioned offhandedly in Edwin Lefevre’s classic Reminiscences of a Stock Operator (written in 1923).

Aside from the flaws, I am sure some will find this book informative. However, I doubt any serious quants or academics will find it agreeable. Overall, the perspective is too narrow yet is proclaimed to be broad; the ties to theory are weak to non-existent; some minor parts are wrong; and, I found little that was both good and new.