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

Aldridge, Irene

Hardcover

ISBN 10: 1118343506 ISBN 13: 9781118343500

Publisher: Wiley, 2013

Synopsis

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.

About this title

From the Author

High-Frequency Trading Today
By Irene AldridgeNearly four years have passed since the first edition of my High-Frequency Trading book.  Countless debates and numerous research articles later, we now have a much better understanding of both the pro- and con- sides of the HFT equation.  In addition, top academics and practitioners developed ever more sophisticated models and analytical approaches to further harness high-frequency data and deliver precise, value-added forecasts and actionable data points, used to trade, mitigate risks and even successfully regulate the industry.

As time passes, HFT continues to evolve.  HFT programs are smarter, better, and more advanced.  The largest part of HFT today is devoted to market-making, a traditionally-human activity that is now being automated almost entirely, reducing transaction costs for all investors in the process.  Market-making strategies are extensively covered in the 2nd edition of the book.  Order execution models facilitating block trades are now dynamic, extending far beyond VWAP in complexity and skill.  HFT risk management models and frameworks discussed in detail in the 2nd edition have come of age, too, driven by the desire of stable, consistently profitable operations.  

The second edition of high-frequency trading incorporates important developments over the past four years.  The book is completely rewritten based on my own trading and portfolio management experiences at ABLE Alpha Trading and our investment consulting clients, the classroom training sessions I've been leading with executives in the investments, brokerage, and trading business all over the world via HFTTraining.com, as well as my graduate students in the department of Finance and Risk Engineering in New York University, Polytechnic Institute, where I've been called upon to serve as an Industry Assistant Professor.  The opportunity to explain my research to someone else, both relative novices at NYU and 20-40 year industry veterans at HFTTraining.com, made me rethink the organization of the book to streamline the exposition and to just make it better overall.  While the 1st edition of my book detailed many data-driven models, the 2nd edition takes the explanation of old and brand-new HFT models to the next level, often presenting sophisticated ready-to-use frameworks.

Perhaps the most important development over the past four years has been an unparalleled adoption of high-frequency data for analysis and use. It can be hard to believe, but just four years ago many trading desks at top institutions did not think of archiving tick data beyond the 21-day audit trail required then by the regulators.  With the realization that historical tick data is a useful and cost-effective tool in development of automated trading strategies, many organizations have been building up the data and competencies in the area.  The materials in the new, 2nd, edition of the book cover the requirements of entering the HFT space and other relevant considerations. 

HFT is no longer just a convenient way to trade.  It is a solid part of Big Data Finance, and is here to stay.   I had a great pleasure writing the book with the forward-looking Big-Data outlook in mind, and I hope you will enjoy reading it.

From the Back Cover

HIGH-FREQUENCY TRADING

SECOND EDITION

Since its inception in the early 1980s, high-frequency trading (HFT) has continued to evolve and grow. While some have tried to demonize it over the past few years, the fact is that HFT has delivered considerable operational improvements to the markets―most of which have resulted in lower volatility, higher market stability, better market transparency, and lower execution costs for traders and investors.

While "geeks" often claim HFT as their domain, anyone can integrate this proven approach into their trading endeavors. With minimal investment required, the barriers for entry into this field have never been lower, and the opportunity to generate significant profits has never been greater. Nobody understands this better than industry expert Irene Aldridge. And now, with the Second Edition of High-Frequency Trading, she returns to share her experience in this arena with you.

Building on the success of the first edition, this reliable resource incorporates the latest―yet applied and ready-to-implement―information on this essential trading approach. It also includes challenging end-of-chapter questions to test your command of the topics covered. Along the way, it:

• Describes the technological evolution that has enabled algorithmic and HFT, and lays the foundation of analysis via descriptions of modern market microstructure, high-frequency data, and trading costs
• Delves into the economics of HFT, exploring the methodologies for evaluating the performance and capacity of HFT strategies, and outlining the actual business of HFT
• Addresses the actual implementation of HFT by detailing the core models of today's HFT strategies, from statistical arbitrage and directional event-based trading to automated market making and liquidity detection
• Examines the real risks inherent in many HFT strategies and the ways to mitigate or minimize them
• Discusses modern legislation relevant to HFT, traditional and current approaches, and likely imminent directions

High-Frequency Trading, Second Edition is also accompanied by a website that supplements the material found in this book. It includes customizable teaching slides, basic C/C++ code for estimating regression coefficients, a sample of tick data, and much more.

In order to effectively trade in today's markets, you need to quickly adapt to the shifting market landscape. High-Frequency Trading, Second Edition will put you in a better position to achieve this elusive goal and allow you to profit from it in the process.

Edition details

• Publisher: Wiley
• Publication date: 2013
• ISBN 10: 1118343506
• ISBN 13: 9781118343500
• Binding: Hardcover
• Language: English
• Edition number: 2
• Number of pages: 320