Authors: Irene Aldridge

Citations: 353

Published: 2009-11-25T00:00:00.000Z

Why It Matters

Year: 2009. Citations: 353. Abstract signal: 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-Frequen...

Abstract

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 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.