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

Aldridge, Irene

Hardcover

ISBN 10: 0470563761 ISBN 13: 9780470563762

Publisher: Wiley, 2009

Synopsis

A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading

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.

This book covers all aspects of high-frequency trading, from the business case and 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 market microstructure, event arbitrage, and deviations arbitrage discussed in great detail.

• Contains the tools and techniques needed for building a high-frequency trading system
• Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation
• Written by well-known industry professional Irene Aldridge

Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.

About this title

About 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.

From the Back Cover

Praise for

High-Frequency Trading

"A well thought out, practical guide covering all aspects of high-frequency trading and of systematic trading in general. I recommend this book highly."
—Igor Tulchinsky, CEO, WorldQuant, LLC

"For traditional fundamental and technical analysts, Irene Aldridge's book has the effect a first read of quantum physics would have had on traditional Newtonian physicists: eye-opening, challenging, and enlightening."
—Neal M. Epstein, CFA, Managing Director, Research & Product Management, Proctor Investment Managers LLC

Interest in high-frequency trading continues to grow, yet little has been published to help investors understand and implement high-frequency trading systems—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 this approach to your trading endeavors.

Written by industry expert Irene Aldridge, High-Frequency Trading offers innovative insights into this dynamic discipline. Covering all aspects of high-frequency trading—from the formulation of ideas and the development of trading systems to application of capital and subsequent performance evaluation—this reliable resource will put you in a better position to excel in today's turbulent markets.

From the Inside Flap

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.

Edition details

• Publisher: Wiley
• Publication date: 2009
• Language: English
• ISBN 10: 0470563761
• ISBN 13: 9780470563762
• Binding: Hardcover
• Edition number: 1
• Number of pages: 339