High-frequency trading a practical guide to algorithmic strategies and trading system
A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency tradi...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
Wiley
c2010.
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| Edición: | 1st edition |
| Colección: | Wiley trading series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627815106719 |
Tabla de Contenidos:
- High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems; Contents; 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-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; OVERVIEW OF INVENTORY TRADING STRATEGIES; ORDERS, TRADERS, AND LIQUIDITY; PROFITABLE MARKET MAKING; DIRECTIONAL LIQUIDITY PROVISION; CONCLUSION
- Chapter 11: Trading on Market MicrostructureMEASURES OF ASYMMETRIC INFORMATION; INFORMATION-BASED TRADING MODELS; CONCLUSION; Chapter 12: Event Arbitrage; DEVELOPING EVENT ARBITRAGE TRADING STRATEGIES; WHAT CONSTITUTES AN EVENT?; FORECASTING METHODOLOGIES; TRADABLE 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 LIFE CYCLE; 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
