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Searching for High-Frequency Trading Opportunities
High-frequency trading relies on fast, almost instantaneous, execution of orders. Depending on the design of a particular systematic trading mechanism, even a second's worth of delay induced by hesitation or distraction on the part of a human trader can substantially reduce the system's profitability. That is the reason it is crucial to know and understand the field of econometrics.This topic is by no means exhaustive; it is instead intended as a high-level refresher on the core econometric concepts applied to trading at high frequencies. Yet, readers relying on software packages with preconfigured statistical procedures may find the level of detail presented here to be sufficient for quality analysis of trading opportunities.Concepts for identifying and modeling trading opportunities discussed in this chapter fundamental statistical estimatorslinear dependency identification methodsvolatilitymodeling techniquesstandard nonlinear approaches
339 pages, Kindle Edition
First published January 11, 2011
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