High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems (Wiley Trading Series)
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High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems (Wiley Trading Series)

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by Irene Aldridge
     
 

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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. Despite the demand for information on this topic, little has been published to help investors understand and implement high-frequency trading

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Overview

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. Despite the demand for information on this topic, little has been published to help investors understand and implement high-frequency trading systems—until now.

Written by industry expert Irene Aldridge, High-Frequency Trading offers the first applied "how to do it" manual to building high-frequency systems.Covering sufficient depths of material to thoroughly pinpoint issues at hand, High-Frequency Trading leaves mathematical complexities to their original publications, referenced throughout the book.

Page by page, this accessible guide:

  • Discusses the history and business environment of high-frequency trading systems

  • Reviews the statistical and econometric foundations of the common types of high-frequency strategies

  • Examines the details of modeling high-frequency trading strategies

  • Describes the steps required to build a quality high-frequency trading system

  • Addresses the issues of running, monitoring, and benchmarking high-frequency trading systems

Along the way, this reliable resource skillfully high-lights numerous quantitative trading strategies—from market microstructure and event arbitrage to deviations arbitrage—and puts the creation and management of portfolios based on high-frequency strategies in perspective.

High-frequency trading is a difficult, but profitable, endeavor that can generate stable profits in various market conditions. But solid footing in both the theory and practice of this discipline are essential to success. Whether you're an institutional investor seeking a better understanding of high-frequency operations or an individual investor looking for a new way to trade, this book has what you need to make the most of your time in today's dynamic markets.

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Product Details

ISBN-13:
9780470563762
Publisher:
Wiley
Publication date:
12/14/2009
Series:
Wiley Trading Series, #459
Pages:
339
Product dimensions:
6.20(w) x 9.10(h) x 1.30(d)

Meet the Author

Irene Aldridge is an expert on the subject of high-frequency trading. She is currently a Managing Partner and Quantitative Portfolio Manager at ABLE Alpha Trading, LTD, a proprietary trading vehicle specializing in high-frequency systematic trading strategies. Prior to ABLE Alpha, Aldridge worked for various institutions on Wall Street and in Toronto, including Goldman Sachs and CIBC. She also taught finance at the University of Toronto. She holds an MBA from INSEAD, an MS in financial engineering from Columbia University, and a BE in electric engineering from the Cooper Union in New York. Aldridge is a frequent speaker at top industry events and a contributor to academic and practitioner publications, including the Journal of Trading, E-Forex, HedgeWorld, FXWeek, FINalternatives, and Dealing with Technology. She also appears frequently on business television, including appearances on CNBC, Fox Business, and The Daily Show with Jon Stewart. Aldridge has been quoted by Bloomberg LP and other major business news outlets.

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High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems 3.5 out of 5 based on 0 ratings. 6 reviews.
PrivateBanker More than 1 year ago
Irene's new book delivers exactly what it sets out to achieve. It opens the arena of High-Frequency Trading to traders and investors looking to understand why trading is becoming automated and how traders operate in this environment. This books makes academic research useful by explaining how to create trading strategies. This is the only book that shows a trader how to build a trading operation from trading strategies to risk management. This is also the only material that defines what is meant by High Frequency Trading based on an actual survey of Hedge Fund managers from FinAlternatives (rather than rely solely on academics). The overview statistical and econometric techniques is immensely helpful to walk though the details of how to measure performance in a High Frequency environment. The implication of not holding positions overnight on the Sharpe ratio and on risk management is important for traders to understand. The chapters that explain High-Frequency models is excellent. This gives me insight into the research that drives many of the common trading strategies. The media coverage of High-Frequency Trading focuses on flash orders and co-location whereas, this book outlines a broad survey of approaches to High-Frequency Trading. After reading this book, I understand different ways that I can hunt for alpha. For individual investors that do not have the benefit on the risk management infrastructure of an investment bank, this book provides an invaluable guide to building a trading operation. A lot of the effort to develop High-Frequency Trading involves expertise in coding and Irene goes a long way to explain it. Without this book an investor would have no idea of the risks that are unique to High-Frequency Trading and the technique that are used to manage these risks. I recommend this book to you.
Anonymous More than 1 year ago
Purports to be a guide to high frequency and algorithmic trading. Instead a review and compendium of studies about markets and characteristics of high frequency (tick) data. The studies are interesting, the review of how the markets actually work fascinating. Contrary to the PR docs, if you actually READ THE BOOK, you will find no high frequency trading algorithms discussed.
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