High Frequency Trading Models, + Website - Hardcover

Ye, Gewei

9780470633731: High Frequency Trading Models, + Website

Hardcover

ISBN 10: 0470633735 ISBN 13: 9780470633731

Publisher: Wiley, 2011

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A hands-on guide to high frequency trading strategies and models

Accounting for over sixty percent of stock market trading volume and generating huge profits for a small number of firms, high frequency trading is one of the most talked about topics in the world of finance. Given the success of this approach, many firms are quickly beginning to implement their own high frequency strategies.

In High Frequency Trading Models, Dr. Gewei Ye describes the technology, architecture, and algorithms underlying current high frequency trading models, which exploit order flow imbalances and temporary pricing inefficiencies. Along the way, he explains how to develop a HFT trading system and introduces you to his own system for building high frequency strategies based on behavioral algorithms.

Discusses how to improve current institutional HFT strategies and suggests directions for new strategies
Companion Website includes algorithms and models discussed throughout the book
Covers essential topics in this field, including rebate trading, arbitrage, flash trading, and other types of trading

Engaging and informative, High Frequency Trading Models is a must-read for anyone who wants to stay ahead of the curve in this hot new area.

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From the Inside Flap:

Accounting for over 60 percent of equity trading volume and generating huge profits for a number of firms, high-frequency trading is one of the most talked about topics in the world of finance. Given the success of this approach, many institutions and individuals are looking for ways to make high-frequency trading work for them.

In High-Frequency Trading Models, Dr. Gewei Ye describes the technology, architecture, and algorithms (algos) underlying current high-frequency trading models, which exploit order flow imbalances and temporary pricing inefficiencies. Along the way, he explains how to develop a high-frequency trading system and introduces you to his own system for building high-frequency strategies based on behavioral algos.

Divided into four comprehensive parts, this timely guide:

Describes the fundamental revenue models of high-frequency trading
Introduces a series of theoretical models—behavioral, financial, and quantitative—for building unique investment strategies for high-frequency trading
Develops a unique set of computer algos, called Sentiment Asset Pricing Engine (SAPE), to automate the process of building behavioral strategies for high-frequency trading and portfolio management
Discusses the potential of new revenue models in derivatives with high-frequency trading systems and the creation of computer algos for high-frequency trading

To help solidify your understanding of the information found here, the author's Web site, Yeswici.com, contains ancillary materials of the models and computer algos mentioned throughout this book. Yeswici.com is also a quantitative modeling and computing platform for innovative investment research, which transfers this research into Internet and mobile applications.

High-frequency trading has quickly become a profitable path in today's market. With the proliferation of computing power and algos, this approach will only continue to grow. Engaging and informative, High-Frequency Trading Models will help you stay ahead of the�curve in this hot new area and put you in a better position to capture consistent profits along the way.

From the Back Cover:

PRAISE FOR
HIGH-FREQUENCY TRADING MODELS

"In his new book, Dr. Ye develops fascinating cross-discipline applications and applies them in a high-frequency setting. Sentiment analysis is a particularly interesting subject included in the book."
—IRENE ALDRIDGE, quantitative portfolio manager and managing partner, Able Alpha Trading, Ltd., and author, High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

"A very detailed discussion on the topic of high-frequency stock trading."
—KARYL B. LEGGIO, PhD, Dean, Sellinger School of Business and Management, Loyola University, Maryland

Filled with in-depth insights and expert advice, this reliable resource takes you through the technology, architecture, and algorithms underlying high-frequency trading models. Along the way, it skillfully covers a variety of issues, including existing revenue models; new revenue models, which include high-frequency trading in derivatives markets; theoretical models for building unique investment strategies for high-frequency trading; and computer algorithms for high-frequency trading and portfolio management.

And to enhance your understanding of the concepts covered within these pages, author Gewei Ye's Web site, Yeswici.com—which is also a quantitative modeling and computing platform for innovative investment research—contains ancillary materials of the models and computer algorithms mentioned throughout this book.

Engaging and informative, High-Frequency Trading Models is a must-read for anyone who wants to make the most of their time in today's dynamic markets.

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