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High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems
A fully revised second edition of the best guide to high-frequency trading High-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. Building on the success of the original edition, the Second Edition of High-Frequency Trading 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 information and order flow in both dark and light markets. While interest in high-frequency trading continues to grow, little has been published to help investors understand and implement this approach―until now. This book has everything you need to gain a firm grip on how high-frequency trading works and what it takes to apply it to your everyday trading endeavors.
320 pages, Hardcover
First published December 1, 2009
27 people are currently reading
227 people want to read
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Displaying 1 - 11 of 11 reviews
December 14, 2018
An 'OK' introduction for a beginner to the rapidly growing world of High-Frequency trading. This book is broad in content and focuses on theoretical rather than practical aspects of the profession. The main value of this book is that it showers you with references to milestone research papers (albeit outdated) in different sub-fields of the genre from time to time like market micro-structure, limit order book liquidity dynamics and statistical arbitrage which could probably allow you to come up with your own HFT strategy if you dig deep. Lastly, this book is intended for HFT Quant Researchers and not HFT software engineers/trade executioners in the sense that its focus is on generating alpha through sophisticated stochastic/game-theoretic quantitative models rather than through optimization of low-latency infrastructure/hardware/software code
December 27, 2024
So I'm working in FinTech at the moment. And therefore looking for books that talk about implementation around selling and managing stocks, bonds, mutual funds and the like. And this was the closest I found at my library. It was not very close.
It did have a chapter on implementation. And some of that had value. And some of that chapter was about doing a waterfall software development.
A lot of this book was math. Math around optimize make money on statistical analysis, taking advantage on what could essentially be a sure thing. I'm not a big fan of math chapters.
But the terminology seemed valuable. And the general categories of the problems might be interesting to follow-up on.
It did have a chapter on implementation. And some of that had value. And some of that chapter was about doing a waterfall software development.
A lot of this book was math. Math around optimize make money on statistical analysis, taking advantage on what could essentially be a sure thing. I'm not a big fan of math chapters.
But the terminology seemed valuable. And the general categories of the problems might be interesting to follow-up on.
September 26, 2023
The book discusses basic topics of HFTs, such as message structure and server co-location. It explores communication protocols, including the functioning of limit order books and the dynamics of large market orders.
It details explicit and implicit trading costs, with a particular emphasis on latency costs and market impact. It illustrates how the market impact, measured by the adverse change after an order, has become one of the main determinants of transaction costs.
It provides an analysis of metrics such as return, volatility, and drawdown. The concepts of alpha and beta are described as essential for evaluating investment performance, along with other parameters like skewness and kurtosis.
It examines how markets respond to macroeconomic announcements and the significance of high-frequency trading in capitalizing on rapid price adjustments. It brings focus to the need for constant order flow monitoring.
It showcases examples of how Fourier analysis and the Fourier transformation help detect order flow patterns trying to camouflage themselves.
Technical aspects, such as the FIX protocol, are detailed, elucidating the essence of efficient financial information transmission and the importance of a well-tested system to avoid catastrophic costs.
A mediocre book; I expected much more from such a complex topic.
Estimated reading time: 4 hours
It details explicit and implicit trading costs, with a particular emphasis on latency costs and market impact. It illustrates how the market impact, measured by the adverse change after an order, has become one of the main determinants of transaction costs.
It provides an analysis of metrics such as return, volatility, and drawdown. The concepts of alpha and beta are described as essential for evaluating investment performance, along with other parameters like skewness and kurtosis.
It examines how markets respond to macroeconomic announcements and the significance of high-frequency trading in capitalizing on rapid price adjustments. It brings focus to the need for constant order flow monitoring.
It showcases examples of how Fourier analysis and the Fourier transformation help detect order flow patterns trying to camouflage themselves.
Technical aspects, such as the FIX protocol, are detailed, elucidating the essence of efficient financial information transmission and the importance of a well-tested system to avoid catastrophic costs.
A mediocre book; I expected much more from such a complex topic.
Estimated reading time: 4 hours
November 13, 2020
Will you be able to run a successful high-frequency trading shop after reading this book? No.
It does provide a wide overview of published articles on HFT and some related topics, mostly useful for academically inclined and new to the field.
It does provide a wide overview of published articles on HFT and some related topics, mostly useful for academically inclined and new to the field.
May 4, 2025
very good 101 for HFT, despite not going to into much detail
May 31, 2010
This book is pretty devoid of content (shocker -- those that can do, those that can't teach), and the author's reputation among those that I know who have met her is laughable at best. The only valid reason I can think of for buying this book is for the bibliography, which seems to contain references to lots of academic papers and the like.
June 24, 2013
Quite broadly but very shallowly and without insight into actual workings of the funds covers some very basic and rather theoretical aspects of the high frequency trading.
One will find much more about the mechanics of HFT studying the likes of Nanex research.
One will find much more about the mechanics of HFT studying the likes of Nanex research.
September 17, 2010
I know people say this book sucks but while it didn't have a ton of new stuff. I took notes off some of the "new to me" concepts and thought it was solid. I will go back and reference it again.
April 14, 2013
Nice book, well done. Covers pretty much everything
July 29, 2014
No book will tell you how to go make free money.
Good overview of (mostly older) relevant microstructure literature.
Good overview of (mostly older) relevant microstructure literature.
May 26, 2016
Works great as a brief introduction to the high-frequency trading.
Displaying 1 - 11 of 11 reviews