E-Book, Englisch, 22 Seiten, E-Book
Reihe: Wiley Global Finance Executive Select
ISBN: 978-1-118-00630-6
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
High-Frequency Trading
"A well thought out, practical guide covering all aspects ofhigh-frequency trading and of systematic trading in general. Irecommend this book highly."
--Igor Tulchinsky, CEO, WorldQuant, LLC
"For traditional fundamental and technical analysts, IreneAldridge's book has the effect a first read of quantum physicswould 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 littlehas been published to help investors understand and implementhigh-frequency trading systems--until now. This book haseverything you need to gain a firm grip on how high-frequencytrading works and what it takes to apply this approach to yourtrading endeavors.
Written by industry expert Irene Aldridge, High-FrequencyTrading offers innovative insights into this dynamic discipline.Covering all aspects of high-frequency trading--from theformulation of ideas and the development of trading systems toapplication of capital and subsequent performanceevaluation--this reliable resource will put you in a betterposition to excel in today's turbulent markets.
Autoren/Hrsg.
Weitere Infos & Material
Acknowledgments.
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-FrequencyTrading.
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-FrequencyTrading.
Financial Markets and Their Suitability for High-FrequencyTrading.
Conclusion.
Chapter 5 Evaluating Performance of High-FrequencyStrategies.
Basic Return Characteristics.
Comparative Ratios.
Performance Attribution.
Other Considerations in Strategy Evaluation.
Conclusion.
Chapter 6: Orders, Traders and their Applicability toHigh-Frequency Trading.
Order Types.
Order Distributions.
Conclusion.
Chapter 7: Market Inefficiency and Profit Opportunities atDifferent Frequencies.
Predictability of Price Moves at High Frequencies.
Conclusion.
Chapter: 8: Searching for High-Frequency TradingOpportunities.
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 InventoryModels.
Overview of Inventory Trading Strategies.
Orders, Traders and Liquidity.
Profitable Market Making.
Directional Liquidity Provision.
Conclusion.
Chapter 11: Trading on Market Microstructure InformationModels.
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 FrequencySettings.
Mathematical Foundations.
Practical Applications of Statistical Arbitrage.
Conclusion.
Chapter 14: Creating and Managing Portfolios ofHigh-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 TradingSystems.
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-FrequencyTrading.
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.