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

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

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by Irene Aldridge
     
 

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A fully revised second edition of the best guide to high-frequency trading

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

Overview

A fully revised second edition of the best guide to high-frequency trading

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.

Building on the success of the original edition, the Second Edition of High-Frequency Trading incorporates the latest research and questions that have come to light since the publication of the first edition. It skillfully covers everything from new portfolio management techniques for high-frequency trading and the latest technological developments enabling HFT to updated risk management strategies and how to safeguard information and order flow in both dark and light markets.

  • Includes numerous quantitative trading strategies and tools for building a high-frequency trading system
  • Address the most essential aspects of high-frequency trading, from formulation of ideas to performance evaluation
  • The book also includes a companion Website where selected sample trading strategies can be downloaded and tested
  • Written by respected industry expert Irene Aldridge

While interest in high-frequency trading continues to grow, little has been published to help investors understand and implement this approach—until now. This book has everything you need to gain a firm grip on how high-frequency trading works and what it takes to apply it to your everyday trading endeavors.

Product Details

ISBN-13:
9781118416822
Publisher:
Wiley
Publication date:
04/01/2013
Series:
Wiley Trading
Sold by:
Barnes & Noble
Format:
NOOK Book
Pages:
320
File size:
5 MB

Meet the Author

IRENE ALDRIDGE is an investment consultant, portfolio manager, a recognized expert on the subjects of quantitative investing and high-frequency trading, and a seasoned educator. She is currently Industry Professor at New York University, Department of Finance and Risk Engineering, Polytechnic Institute, as well as Managing Partner and Quantitative Portfolio Manager at Able Alpha Trading Ltd., an investment consulting firm and a proprietary trading vehicle specializing in quantitative and high-frequency trading strategies. Aldridge is also a founder of AbleMarkets.com, an online resource making the latest high-frequency research for institutional investors and broker-dealers. Aldridge holds an MBA from INSEAD, an MS in financial engineering from Columbia University, a BE in electric engineering from the Cooper Union in New York, and is in the process of completing her PhD at New York University. She is a frequent speaker at top industry events and a contributor to academic, practitioner, and mainstream media publications, including the Journal of Trading, Futures magazine, Reuters HedgeWorld, Advanced Trading, FX Week, FINalternatives, Dealing With Technology, and Huffington Post.

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High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems 4 out of 5 based on 0 ratings. 5 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.
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