High–Frequency Trading + Website, Second Edition – A Practical Guide to Algorithmic Strategies and Trading Systems A Practical Guide to Algorithmic Strategies and Trading Systems

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.

The second edition of High-Frequency Trading builds on the success of the initial version and incorporates the latest research and questions that have come to light since the publication of the first edition. Specifically, the new version includes the up-to-the-minute material in the following sections: Risk-managing order flow for institutional investors Latest research on safeguarding the information and order flow in both dark and light markets New portfolio management techniques for high-frequency trading Reorganized and updated chapter on risk management of high-frequency strategies, including the cutting edge quantitative approaches The survey of the latest regulatory thought, the latest research underlying the current regulatory directions, and the likely outcomes Step-by-step explanation of implementation of high-frequency trading strategies Techniques for assessing the market quality and the presence of high-frequency traders in the markets at any given time Examples of HFT models performing in different volatility conditions (high vs. low) Latest empirical performance of various HFT strategies Latest technological developments enabling HFT, including state-of-the-art equipment and softwareThe new edition condenses the content devoted to the following topics: The econometrics section is reduced to a few key models and incorporated into the chapter on high-frequency data. The majority of econometric techniques profiled in the previous edition are omitted entirely.This book covers all aspects of high-frequency trading, from formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies (with some like market microstructure, event arbitrage, and deviations arbitrage being discussed in great detail) and tools and techniques for how to build a high-frequency trading system. Finally, High-Frequency Trading discusses the post-trade analysis process, including key performance benchmarks and trade quality evaluation.

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 approachuntil 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.