| 商家名称 | 信用等级 | 购买信息 | 订购本书 |
 |
 |
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems |  |
 |
|
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems | |
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 AldridgeWhile 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.
作者简介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.
目录Preface xi
Acknowledgments xiii
Chapter 1 How Modern Markets Differ from Those Past 1
Media, Modern Markets, and HFT 6
HFT as Evolution of Trading Methodology 7
What Is High-Frequency Trading? 13
What Do High-Frequency Traders Do? 15
How Many High-Frequency Traders Are There? 17
Major Players in the HFT Space 17
Organization of This Book 18
Summary 18
End-of-Chapter Questions 19
Chapter 2 Technological Innovations, Systems, and HFT 21
A Brief History of Hardware 21
Messaging 25
Software 33
Summary 35
End-of-Chapter Questions 35
Chapter 3 Market Microstructure, Orders, and Limit Order Books 37
Types of Markets 37
Limit Order Books 39
Aggressive versus Passive Execution 43
Complex Orders 44
Trading Hours 45
Modern Microstructure: Market Convergence and Divergence 46
Fragmentation in Equities 46
Fragmentation in Futures 50
Fragmentation in Options 51
Fragmentation in Forex 51
Fragmentation in Fixed Income 51
Fragmentation in Swaps 51
Summary 52
End-of-Chapter Questions 52
Chapter 4 High-Frequency Data 53
What Is High-Frequency Data? 53
How Is High-Frequency Data Recorded? 54
Properties of High-Frequency Data 56
High-Frequency Data Are Voluminous 57
High-Frequency Data Are Subject to the Bid-Ask Bounce 59
High-Frequency Data Are Not Normal or Lognormal 62
High-Frequency Data Are Irregularly Spaced in Time 62
Most High-Frequency Data Do Not Contain Buy-and-Sell Identifiers 70
Summary 73
End-of-Chapter Questions 74
Chapter 5 Trading Costs 75
Overview of Execution Costs 75
Transparent Execution Costs 76
Implicit Execution Costs 78
Background and Definitions 82
Estimation of Market Impact 85
Empirical Estimation of Permanent Market Impact 88
Summary 96
End-of-Chapter Questions 96
Chapter 6 Performance and Capacity of High-Frequency Trading Strategies 97
Principles of Performance Measurement 97
Basic Performance Measures 98
Comparative Ratios 106
Performance Attribution 110
Capacity Evaluation 112
Alpha Decay 116
Summary 116
End-of-Chapter Questions 116
Chapter 7 The Business of High-Frequency Trading 117
Key Processes of HFT 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 201
Quote Stuffing 201
Spoofing 202
Pump-and-Dump 202
Machine Learning 207
Summary 208
End-of-Chapter Questions 208
Chapter 13 Regulation 209
Key Initiatives of Regulators Worldwide 209
Summary 222
End-of-Chapter Questions 223
Chapter 14 Risk Management of HFT225
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
Advanced Models 262
Practical Implementation of Optimal Execution Strategies 269
Summary 269
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
网友对High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems的评论
This book gives the reader a broad introduction to the controversial and highly-competitive world of high-frequency trading. It is written in language clear enough for non-technical readers to benefit while dipping sufficiently deep into information technology and trading mathematics to satisfy those seeking more detail on the methods and mechanics involved in HFT. On the other hand, based on comments by other reviewers, it does not appear to satisfy the demands of the top technologists in the field for a magnum opus on the transmutation of C# code into gold.
The book is well organized and illustrated with numerous graphs, tables and formulas that facilitate comprehension of the subject matter. Speculators familiar with algorithmic trading may see direct application to their current strategies as implemented on available commercial trading platforms. Professional money managers get a glimpse behind the smokescreen that that shrouds HFT enabling development of risk-mitigation strategies suited to the evolving world of high-frequency trading. Regulatory personnel can familiarize with the terminology, technologies and strategies to ask better informed questions leading the way to effective policies that limit market manipulation while minimizing harmful unintended consequences.
As a private speculator with experience programming and operating algorithmic trading systems on somewhat longer timeframes than microseconds, I find Irene Aldridge's "High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems" an informative and useful reference book on the subject. Whether or not the shortcomings noted by other reviewers are technically correct they do not detract from the overall value of the material towards a better understanding of the field of high-frequency trading. I rate this book five stars on the basis that it should be on every trader's bookshelf.
This book presents an excelent introduction for High-Frequency Trading. You will need to get expirience to understand the area, but this book will give you a good start point. Some books will introduce unnecessary mathematical details in an initial vision. This is not the case of this book. It presents the concepts in a good flow of ideas. I recommend.
I regret deciding not to buy this book last year after reading a very negative review written by someone who had only read a preview of the book. After finally reading this book, I've realized the arguments by the negative review were actually off-topic and irrelevant, so I decided to post a review from a real market player's perspective so people won't make the same mistake as I did.
I develop and run proprietary HFT algo/platform and I have many recent books on this subject, but this book is by far the most useful one for the practitioners. There are some minor "bugs" in the book, like the line that says FIX protocol is "XML-based", where the author most likely meant "XML-like" (which some people might still disagree with). However, these are really negligible compared to the value of this book filled with real-life practical ideas for the latest HFT business.
If you think you know enough about HFT or if you want to satisfy yourself with rigorous mathematical proofs, try some other books. This is a book for practitioners and those who want to learn the most relevant concepts of HFT in a simple, easy-to-understand language. You don't need to be a technical person to understand most of the concepts.
I particularly liked the chapters on automated market making (ch. 10) and the use of Fourier analysis (ch. 15). I have written automated market making strategies but still found it useful. Very concise and easy to understand, the book successfully filters out unnecessary "noise" of irrelevant details.
喜欢High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems请与您的朋友分享,由于版权原因，读书人网不提供图书下载服务
