{"product_id":"highfrequency-trading-9781118343500","title":"HighFrequency Trading","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cb\u003eA fully revised second edition of the best guide to high-frequency trading\u003c\/b\u003e  \u003cp\u003eHigh-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.\u003c\/p\u003e \u003cp\u003eBuilding on the success of the original edition, the \u003ci\u003eSecond Edition\u003c\/i\u003e of \u003ci\u003eHigh-Frequency Trading\u003c\/i\u003e 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 i\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003eAcknowledgments xiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 How Modern Markets Differ from Those Past 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMedia, Modern Markets, and HFT 6\u003c\/p\u003e \u003cp\u003eHFT as Evolution of Trading Methodology 7\u003c\/p\u003e \u003cp\u003eWhat Is High-Frequency Trading? 13\u003c\/p\u003e \u003cp\u003eWhat Do High-Frequency Traders Do? 15\u003c\/p\u003e \u003cp\u003eHow Many High-Frequency Traders Are There? 17\u003c\/p\u003e \u003cp\u003eMajor Players in the HFT Space 17\u003c\/p\u003e \u003cp\u003eOrganization of This Book 18\u003c\/p\u003e \u003cp\u003eSummary 18\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 19\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Technological Innovations, Systems, and HFT 21\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Brief History of Hardware 21\u003c\/p\u003e \u003cp\u003eMessaging 25\u003c\/p\u003e \u003cp\u003eSoftware 33\u003c\/p\u003e \u003cp\u003eSummary 35\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 35\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Market Microstructure, Orders, and Limit Order Books 37\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTypes of Markets 37\u003c\/p\u003e \u003cp\u003eLimit Order Books 39\u003c\/p\u003e \u003cp\u003eAggressive versus Passive Execution 43\u003c\/p\u003e \u003cp\u003eComplex Orders 44\u003c\/p\u003e \u003cp\u003eTrading Hours 45\u003c\/p\u003e \u003cp\u003eModern Microstructure: Market Convergence and Divergence 46\u003c\/p\u003e \u003cp\u003eFragmentation in Equities 46\u003c\/p\u003e \u003cp\u003eFragmentation in Futures 50\u003c\/p\u003e \u003cp\u003eFragmentation in Options 51\u003c\/p\u003e \u003cp\u003eFragmentation in Forex 51\u003c\/p\u003e \u003cp\u003eFragmentation in Fixed Income 51\u003c\/p\u003e \u003cp\u003eFragmentation in Swaps 51\u003c\/p\u003e \u003cp\u003eSummary 52\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 52\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 High-Frequency Data 53\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat Is High-Frequency Data? 53\u003c\/p\u003e \u003cp\u003eHow Is High-Frequency Data Recorded? 54\u003c\/p\u003e \u003cp\u003eProperties of High-Frequency Data 56\u003c\/p\u003e \u003cp\u003eHigh-Frequency Data Are Voluminous 57\u003c\/p\u003e \u003cp\u003eHigh-Frequency Data Are Subject to the Bid-Ask Bounce 59\u003c\/p\u003e \u003cp\u003eHigh-Frequency Data Are Not Normal or Lognormal 62\u003c\/p\u003e \u003cp\u003eHigh-Frequency Data Are Irregularly Spaced in Time 62\u003c\/p\u003e \u003cp\u003eMost High-Frequency Data Do Not Contain Buy-and-Sell Identifiers 70\u003c\/p\u003e \u003cp\u003eSummary 73\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 74\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Trading Costs 75\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOverview of Execution Costs 75\u003c\/p\u003e \u003cp\u003eTransparent Execution Costs 76\u003c\/p\u003e \u003cp\u003eImplicit Execution Costs 78\u003c\/p\u003e \u003cp\u003eBackground and Definitions 82\u003c\/p\u003e \u003cp\u003eEstimation of Market Impact 85\u003c\/p\u003e \u003cp\u003eEmpirical Estimation of Permanent Market Impact 88\u003c\/p\u003e \u003cp\u003eSummary 96\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 96\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Performance and Capacity of High-Frequency Trading Strategies 97\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePrinciples of Performance Measurement 97\u003c\/p\u003e \u003cp\u003eBasic Performance Measures 98\u003c\/p\u003e \u003cp\u003eComparative Ratios 106\u003c\/p\u003e \u003cp\u003ePerformance Attribution 110\u003c\/p\u003e \u003cp\u003eCapacity Evaluation 112\u003c\/p\u003e \u003cp\u003eAlpha Decay 116\u003c\/p\u003e \u003cp\u003eSummary 116\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 116\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 The Business of High-Frequency Trading 117\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eKey Processes of HFT 117\u003c\/p\u003e \u003cp\u003eFinancial Markets Suitable for HFT 121\u003c\/p\u003e \u003cp\u003eEconomics of HFT 122\u003c\/p\u003e \u003cp\u003eMarket Participants 129\u003c\/p\u003e \u003cp\u003eSummary 130\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 130\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Statistical Arbitrage Strategies 131\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePractical Applications of Statistical Arbitrage 133\u003c\/p\u003e \u003cp\u003eSummary 144\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 144\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Directional Trading Around Events 147\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDeveloping Directional Event-Based Strategies 148\u003c\/p\u003e \u003cp\u003eWhat Constitutes an Event? 149\u003c\/p\u003e \u003cp\u003eForecasting Methodologies 150\u003c\/p\u003e \u003cp\u003eTradable News 153\u003c\/p\u003e \u003cp\u003eApplication of Event Arbitrage 155\u003c\/p\u003e \u003cp\u003eSummary 163\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 163\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Automated Market Making—Naïve Inventory Models 165\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 165\u003c\/p\u003e \u003cp\u003eMarket Making: Key Principles 167\u003c\/p\u003e \u003cp\u003eSimulating a Market-Making Strategy 167\u003c\/p\u003e \u003cp\u003eNaïve Market-Making Strategies 168\u003c\/p\u003e \u003cp\u003eMarket Making as a Service 173\u003c\/p\u003e \u003cp\u003eProfitable Market Making 176\u003c\/p\u003e \u003cp\u003eSummary 178\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 178\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Automated Market Making II 179\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat’s in the Data? 179\u003c\/p\u003e \u003cp\u003eModeling Information in Order Flow 182\u003c\/p\u003e \u003cp\u003eSummary 193\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 193\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Additional HFT Strategies, Market Manipulation, and Market Crashes 195\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLatency Arbitrage 196\u003c\/p\u003e \u003cp\u003eSpread Scalping 197\u003c\/p\u003e \u003cp\u003eRebate Capture 198\u003c\/p\u003e \u003cp\u003eQuote Matching 199\u003c\/p\u003e \u003cp\u003eLayering 200\u003c\/p\u003e \u003cp\u003eIgnition 201\u003c\/p\u003e \u003cp\u003ePinging\/Sniping\/Sniffing\/Phishing 201\u003c\/p\u003e \u003cp\u003eQuote Stuffing 201\u003c\/p\u003e \u003cp\u003eSpoofing 202\u003c\/p\u003e \u003cp\u003ePump-and-Dump 202\u003c\/p\u003e \u003cp\u003eMachine Learning 207\u003c\/p\u003e \u003cp\u003eSummary 208\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 208\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Regulation 209\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eKey Initiatives of Regulators Worldwide 209\u003c\/p\u003e \u003cp\u003eSummary 222\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 223\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Risk Management of HFT 225\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMeasuring HFT Risk 225\u003c\/p\u003e \u003cp\u003eSummary 244\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 244\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Minimizing Market Impact 245\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhy Execution Algorithms? 245\u003c\/p\u003e \u003cp\u003eOrder-Routing Algorithms 247\u003c\/p\u003e \u003cp\u003eIssues with Basic Models 258\u003c\/p\u003e \u003cp\u003eAdvanced Models 262\u003c\/p\u003e \u003cp\u003ePractical Implementation of Optimal Execution Strategies 269\u003c\/p\u003e \u003cp\u003eSummary 269\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 270\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16 Implementation of HFT Systems 271\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eModel Development Life Cycle 271\u003c\/p\u003e \u003cp\u003eSystem Implementation 273\u003c\/p\u003e \u003cp\u003eTesting Trading Systems 283\u003c\/p\u003e \u003cp\u003eSummary 286\u003c\/p\u003e \u003cp\u003eEnd-of-Chapter Questions 287\u003c\/p\u003e \u003cp\u003eAbout the Author 288\u003c\/p\u003e \u003cp\u003eAbout the Web Site 290\u003c\/p\u003e \u003cp\u003eReferences 291\u003c\/p\u003e \u003cp\u003eIndex 303\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":48866369372503,"sku":"9781118343500","price":51.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781118343500.jpg?v=1722278320","url":"https:\/\/bookcurl.com\/products\/highfrequency-trading-9781118343500","provider":"Book Curl","version":"1.0","type":"link"}