High-Frequency Trading
High-Frequency Trading

Author: Irene Aldridge

Publisher: John Wiley & Sons

Published: 2013-04-22

Total Pages: 326

ISBN-13: 1118343506

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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.

Algorithmic and High-Frequency Trading
Algorithmic and High-Frequency Trading

Author: Álvaro Cartea

Publisher: Cambridge University Press

Published: 2015-08-06

Total Pages: 360

ISBN-13: 1316453650

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The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.

An Introduction to Algorithmic Trading
An Introduction to Algorithmic Trading

Author: Edward Leshik

Publisher: John Wiley & Sons

Published: 2011-09-19

Total Pages: 273

ISBN-13: 1119975093

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Interest in algorithmic trading is growing massively – it’s cheaper, faster and better to control than standard trading, it enables you to ‘pre-think’ the market, executing complex math in real time and take the required decisions based on the strategy defined. We are no longer limited by human ‘bandwidth’. The cost alone (estimated at 6 cents per share manual, 1 cent per share algorithmic) is a sufficient driver to power the growth of the industry. According to consultant firm, Aite Group LLC, high frequency trading firms alone account for 73% of all US equity trading volume, despite only representing approximately 2% of the total firms operating in the US markets. Algorithmic trading is becoming the industry lifeblood. But it is a secretive industry with few willing to share the secrets of their success. The book begins with a step-by-step guide to algorithmic trading, demystifying this complex subject and providing readers with a specific and usable algorithmic trading knowledge. It provides background information leading to more advanced work by outlining the current trading algorithms, the basics of their design, what they are, how they work, how they are used, their strengths, their weaknesses, where we are now and where we are going. The book then goes on to demonstrate a selection of detailed algorithms including their implementation in the markets. Using actual algorithms that have been used in live trading readers have access to real time trading functionality and can use the never before seen algorithms to trade their own accounts. The markets are complex adaptive systems exhibiting unpredictable behaviour. As the markets evolve algorithmic designers need to be constantly aware of any changes that may impact their work, so for the more adventurous reader there is also a section on how to design trading algorithms. All examples and algorithms are demonstrated in Excel on the accompanying CD ROM, including actual algorithmic examples which have been used in live trading.

The Financial Mathematics of Market Liquidity
The Financial Mathematics of Market Liquidity

Author: Olivier Gueant

Publisher: CRC Press

Published: 2016-03-30

Total Pages: 302

ISBN-13: 1498725481

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This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app

Volatility Trading, + website
Volatility Trading, + website

Author: Euan Sinclair

Publisher: John Wiley & Sons

Published: 2008-06-23

Total Pages: 228

ISBN-13: 0470181990

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In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.

Trading and Exchanges
Trading and Exchanges

Author: Larry Harris

Publisher: OUP USA

Published: 2003

Total Pages: 664

ISBN-13: 9780195144703

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Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).

The Science of Algorithmic Trading and Portfolio Management
The Science of Algorithmic Trading and Portfolio Management

Author: Robert Kissell

Publisher: Academic Press

Published: 2013-10-01

Total Pages: 492

ISBN-13: 0124016936

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The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. - Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. - Helps readers design systems to manage algorithmic risk and dark pool uncertainty. - Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.

Limit Order Books
Limit Order Books

Author: Frédéric Abergel

Publisher: Cambridge University Press

Published: 2016-05-09

Total Pages: 242

ISBN-13: 1316870480

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A limit order book is essentially a file on a computer that contains all orders sent to the market, along with their characteristics such as the sign of the order, price, quantity and a timestamp. The majority of organized electronic markets rely on limit order books to store the list of interests of market participants on their central computer. A limit order book contains all the information available on a specific market and it reflects the way the market moves under the influence of its participants. This book discusses several models of limit order books. It begins by discussing the data to assess their empirical properties, and then moves on to mathematical models in order to reproduce the observed properties. Finally, the book presents a framework for numerical simulations. It also covers important modelling techniques including agent-based modelling, and advanced modelling of limit order books based on Hawkes processes. The book also provides in-depth coverage of simulation techniques and introduces general, flexible, open source library concepts useful to readers studying trading strategies in order-driven markets.

Algorithmic Market Making
Algorithmic Market Making

Author: William Johnson

Publisher: HiTeX Press

Published: 2024-10-12

Total Pages: 422

ISBN-13:

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In "Algorithmic Market Making: Strategies for Liquidity and Profitability," readers are guided through the transformative landscape of modern financial markets, where algorithms dictate the pace and flow of transactions. This comprehensive volume delves into the core principles of market making, offering an in-depth exploration of the financial structures, mathematical models, and technological advancements that define this field. With an emphasis on both theoretical underpinnings and practical applications, this book equips readers with the essential tools to navigate the complexities of automated trading, from understanding market microstructure to implementing robust algorithms. Structured to benefit both novices and experienced traders, the book balances technical rigor with accessible insights. It covers critical topics such as risk management, regulatory compliance, and the ethical considerations of algorithmic trading, ensuring a holistic view of the industry. Through illustrative case studies and real-world examples, readers gain a rich understanding of how theory translates into practice. Whether you're looking to enhance your knowledge of quantitative finance, or aiming to develop and optimize your trading systems, this text provides a strategic advantage in the rapidly evolving world of financial markets.