Rights Contact Login For More Details
- Wiley
More About This Title High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems
English
English
Chapter 1 Introduction.
Chapter 2 Evolution of High-Frequency Trading.
Financial Markets And Technological Innovation.
Evolution Of Trading Methodology.
Chapter 3 Overview of the Business of High-Frequency Trading.
Comparison With Traditional Approaches to Trading.
Market Participants.
Operating Model.
Economics.
Capitalizing a High-Frequency Trading Business.
Conclusion.
Chapter 4 Financial Markets Suitable for High-Frequency Trading.
Financial Markets and Their Suitability for High-Frequency Trading.
Conclusion.
Chapter 5 Evaluating Performance of High-Frequency Strategies.
Basic Return Characteristics.
Comparative Ratios.
Performance Attribution.
Other Considerations in Strategy Evaluation.
Conclusion.
Chapter 6: Orders, Traders and their Applicability to High-Frequency Trading.
Order Types.
Order Distributions.
Conclusion.
Chapter 7: Market Inefficiency and Profit Opportunities at Different Frequencies.
Predictability of Price Moves at High Frequencies.
Conclusion.
Chapter: 8: Searching for High-Frequency Trading Opportunities.
Statistical Properties of Returns.
Linear Econometric Models.
Volatility Modeling.
Nonlinear Models.
Conclusion.
Chapter 9: Working with Tick Data.
Properties of Tick Data.
Quantity and Quality of Tick Data.
Bid-Ask Spreads.
Bid-Ask Bounce.
Modeling Arrivals of Tick Data.
Applying Traditional Econometric Techniques to Tick Data.
Conclusion.
Chapter 10: Trading on Market Microstructure Inventory Models.
Overview of Inventory Trading Strategies.
Orders, Traders and Liquidity.
Profitable Market Making.
Directional Liquidity Provision.
Conclusion.
Chapter 11: Trading on Market Microstructure Information Models.
Measures of Asymmetric Information.
Information-Based Trading Models.
Conclusion.
Chapter 12: Event Arbitrage.
Developing Event Arbitrage Trading Strategies.
What Constitutes an Event?
Forecasting Methodologies.
Tradeable News.
Application of Event Arbitrage.
Conclusion.
Chapter 13: Statistical Arbitrage in High Frequency Settings.
Mathematical Foundations.
Practical Applications of Statistical Arbitrage.
Conclusion.
Chapter 14: Creating and Managing Portfolios of High-Frequency Strategies.
Analytical Foundations of Portfolio Optimization.
Effective Portfolio Management Practices.
Conclusion.
Chapter 15: Back-Testing Trading Models.
Evaluating Point Forecasts.
Evaluating Directional Forecasts.
Conclusion.
Chapter 16: Implementing High-Frequency Trading Systems.
Model Development Lifecycle.
System Implementation.
Testing Trading Systems.
Conclusion.
Chapter 17: Risk Management.
Determining Risk Management Goals.
Measuring Risk.
Managing Risk.
Conclusion.
Chapter 18: Executing and Monitoring High-Frequency Trading.
Executing High-Frequency Trading Systems.
Monitoring High-Frequency Execution.
Conclusion.
Chapter 19: Post-Trade Profitability Analysis.
Post-Trade Cost Analysis.
Post-Trade Performance Analysis.
References.
About the Web Site.
About The Author.
Index.
