High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems
High-frequency trading has been taking Wall Street by storm, and for a good reason: its immense profitability.High-frequency strategies have little or no correlation with traditional long-term buy and hold strategies, making high-frequency strategies valuable diversification tools for long-term portfolios.
Introduction:
High-frequency strategies identify and trade away temporary market inefficiencies and impound information into prices more quickly. Many high-frequency strategies provide significant liquidity to the markets, making the markets work more smoothly and with fewer frictional costs for all investors. High-frequency traders encourage innovation in computer technology and facilitate new solutions to relieve Internet communication bottlenecks.
They also stimulate the invention of new processors that speed up computation and digital communication. Finally, high-frequency trading stabilizes market systems by flushing out toxic mispricing. This book offers the first applied “how to do it” manual for building high-frequency systems, covering the topic in sufficient depth to thoroughly pinpoint the issues at hand, yet leaving mathematical complexities to their original publications, referenced throughout the book.
This book offers the first applied “how to do it” manual for building high-frequency systems, covering the topic in sufficient depth to thoroughly pinpoint the issues at hand, yet leaving mathematical complexities to their original publications, referenced throughout the book. The following professions will find the book useful:
- Senior management in investment and broker-dealer functions seeking to familiarize themselves with the business of high-frequency trading
- Institutional investors, such as pension funds and funds of funds, desiring to better understand high-frequency operations, returns, and risk
- Quantitative analysts looking for a synthesized guide to contemporary academic literature and its applications to high-frequency trading
- IT staff tasked with supporting a high-frequency operation
- Academics and business students interested in high-frequency trading
- Individual investors looking for a new way to trade
- Aspiring high-frequency traders, risk managers, and government regulators
Contents:
- Evolution of High-Frequency Trading
- Overview of the Business of High-Frequency Trading
- Financial Markets Suitable for High-Frequency Trading
- Evaluating Performance of High-Frequency Strategies
- Orders, Traders, and Their Applicability to High-Frequency Trading
- Market Inefficiency and Profit Opportunities at Different Frequencies
- Searching for High-Frequency Trading Opportunities
- Working with Tick Data
- Creating and Managing Portfolios of High-Frequency Strategies
- Back-Testing Trading Models
- Implementing High-Frequency Trading Systems
- Risk Management
- Executing and Monitoring High-Frequency Trading
- Post-Trade Profitability Analysis