High-frequency trading: a practical guide to algorithmic strategies and trading systems
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, N.J.
Wiley
2013
|
| Edition: | 2. ed. |
| Series: | Wiley trading series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 306 S. Ill., graf. Darst. |
| ISBN: | 9781118343500 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | CONTENTS
Preface
Acknowledgments
Xl
xiii
CHAPTER
1
How Modern Markets Differ from Those Past
Media, Modern Markets, and HFT
HFT as Evolution of Trading Methodology
What Is High-Frequency Trading?
What Do High-Frequency Traders Do?
How Many High-Frequency Traders Are There?
Major Players in the HFT Space
Organization of This Book
Summary
End-of-Chapter Questions
CHAPTER
2
Technological Innovations, Systems, and HFT
A Brief History of Hardware
Messaging
Software
Summary
End-of-Chapter Questions
CHAPTER
3
Market Microstructure, Orders, and
Limit Order Books
Types of Markets
Limit Order Books
Aggressive versus Passive Execution
Complex Orders
Trading Hours
1
6
7
13
15
17
17
18
18
19
21
21
25
33
35
35
37
37
39
43
44
45
VII
Modern Microstructure: Market Convergence and Divergence
46
Vlil
z
с
Fragmentation in Equities
Fragmentation in Futures
Fragmentation in Options
Fragmentation in Forex
Fragmentation in Fixed Income
Fragmentation in Swaps
Summary
End-of-Chapter Questions
CHAPTER
4
High-Frequency Data
What Is High-Frequency Data?
How Is High-Frequency Data Recorded?
Properties of High-Frequency Data
High-Frequency Data Are Voluminous
High-Frequency Data Are Subject to the Bid-Ask Bounce
High-Frequency Data Are Not Normal or
Lognormal
High-Frequency Data Are Irregularly Spaced in Time
Most High-Frequency Data Do Not Contain
Buy-and-Sell Identifiers
Summary
End-of-Chapter Questions
CHAPTER
5
Trading Costs
Overview of Execution Costs
Transparent Execution Costs
Implicit Execution Costs
Background and Definitions
Estimation of Market Impact
Empirical Estimation of Permanent Market Impact
Summary
End-of-Chapter Questions
CHAPTER
6
Performance and Capacity of High-Frequency
Trading Strategies
Principles of Performance Measurement
Basic Performance Measures
Comparative Ratios
Performance Attribution
Capacity Evaluation
Alpha Decay
Summary
End-of-Chapter Questions
CHAPTER
7
The Business of High-Frequency Trading
Key Processes of HFT
46
50
51
51
51
51
52
52
S3
53
54
56
57
59
62
62
70
73
74
75
75
76
78
82
85
88
96
96
97
97
98
106
110
112
116
116
116
117
117
Financial Markets
Suitable for HFT
121
Economics of HFT
122
Market Participants
129
Summary
130
End-of-Chapter Questions
130
CHAPTER
8
Statistical Arbitrage Strategies
131
Practical Applications of Statistical Arbitrage
133
Summary
144
End-of-Chapter Questions
144
CHAPTER
9
Directional Trading Around Events
147
Developing Directional Event-Based Strategies
148
What Constitutes an Event?
149
Forecasting Methodologies
150
Tradable News
153
Application of Event Arbitrage
155
Summary
163
End-of-Chapter Questions
163
CHAPTER
10
Automated Market Making
—
Naïve
Inventory Models
165
Introduction
165
Market Making: Key Principles
167
Simulating a Market-Making Strategy
167
Naïve
Market-Making Strategies
168
Market Making as a Service
173
Profitable Market Making
176
Summary
178
End-of-Chapter Questions
178
CHAPTER
11
Automated Market Making II
179
What s in the Data?
179
Modeling Information in Order Flow
182
Summary
193
End-of-Chapter Questions
193
CHAPTER
12
Additional HFT Strategies, Market Manipulation,
and Market Crashes
195
Latency Arbitrage
196
Spread Scalping
197
Rebate Capture
198
Quote Matching
199
Layering
200
Ignition
201
Pinging/Sniping/Sniffing/Phishing
20
1
Quote Stuffing
2Ш
Spoofing
~
Pump-and-Dump
207
Machine Learning
Summary 2O8
End-of-Chapter
Questions 2O8
CHAPTER
13
Regulation 209
Key Initiatives of Regulators Worldwide
209
Summary 2 2 2
End-of-Chapter Questions
223
CHAPTER
14
Risk Management of HFT
225
Measuring HFT Risk
225
Summary
244
End-of-Chapter Questions
244
CHAPTER
15
Minimizing Market Impact
245
Why Execution Algorithms?
245
Order-Routing Algorithms
247
___......._
Issues with Basic Models
258
x Advanced Models
262
h
Practical Implementation of Optimal Execution Strategies
269
«J
Summary
269
q
End-of-Chapter Questions
270
CHAPTER
16
Implementation of HFT Systems
271
Model Development Life Cycle
271
System Implementation
273
Testing Trading Systems
283
Summary
286
End-of-Chapter Questions
287
About the Author
288
About the Web Site
290
References
291
Index
303
|
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| isbn | 9781118343500 |
| language | English |
| lccn | 2012048967 |
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| physical | XIII, 306 S. Ill., graf. Darst. |
| publishDate | 2013 |
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| series2 | Wiley trading series |
| spelling | Aldridge, Irene 1975- Verfasser (DE-588)1038826160 aut High-frequency trading a practical guide to algorithmic strategies and trading systems Irene Aldridge 2. ed. Hoboken, N.J. Wiley 2013 XIII, 306 S. Ill., graf. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley trading series Computerbörse (DE-588)4309946-4 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s Computerbörse (DE-588)4309946-4 s b DE-604 Erscheint auch als Online-Ausgabe 978-1-118-41682-2 Erscheint auch als Online-Ausgabe 978-1-118-42011-9 Erscheint auch als Online-Ausgabe 978-1-118-43401-7 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027451603&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Aldridge, Irene 1975- High-frequency trading a practical guide to algorithmic strategies and trading systems Computerbörse (DE-588)4309946-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4309946-4 (DE-588)4115601-8 |
| title | High-frequency trading a practical guide to algorithmic strategies and trading systems |
| title_auth | High-frequency trading a practical guide to algorithmic strategies and trading systems |
| title_exact_search | High-frequency trading a practical guide to algorithmic strategies and trading systems |
| title_full | High-frequency trading a practical guide to algorithmic strategies and trading systems Irene Aldridge |
| title_fullStr | High-frequency trading a practical guide to algorithmic strategies and trading systems Irene Aldridge |
| title_full_unstemmed | High-frequency trading a practical guide to algorithmic strategies and trading systems Irene Aldridge |
| title_short | High-frequency trading |
| title_sort | high frequency trading a practical guide to algorithmic strategies and trading systems |
| title_sub | a practical guide to algorithmic strategies and trading systems |
| topic | Computerbörse (DE-588)4309946-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Computerbörse Portfoliomanagement |
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