Algorithmic and High Frequency Trading

Algorithmic and High Frequency Trading

A straightforward guide to the mathematics of algorithmic trading that reflects cutting-edge research.

Author: Álvaro Cartea

Publisher: Cambridge University Press

ISBN: 9781107091146

Category: Business & Economics

Page: 356

View: 235

A straightforward guide to the mathematics of algorithmic trading that reflects cutting-edge research.
Categories: Business & Economics

High Frequency Trading and Fragility

High Frequency Trading and Fragility

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' ...

Author:

Publisher:

ISBN: 9289927429

Category:

Page: 48

View: 555

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity degenerates into a liquidity rout (as in a ash crash). While in a transparent market, liquidity is increasing in the proportion of high frequency traders, in an opaque market strategic complementarities can make liquidity U-shaped in this proportion as well as in the degree of transparency.
Categories:

High Frequency Trading Models Website

High Frequency Trading Models    Website

And to enhance your understanding of the concepts covered within these pages, author Gewei Ye's Web site, Yeswici.com—which is also a quantitative modeling and computing platform for innovative investment research—contains ancillary ...

Author: Gewei Ye

Publisher: Yeswici LLC

ISBN: 9780470633731

Category: Business & Economics

Page: 322

View: 732

High frequency trading has swept Wall Street in the past year, creating stunning profits for top tier banks and specialized trading firms. Given the success, many hedge funds and other types of trading firms are implementing or expanding high frequency strategies. As competition increases, existing strategies will become less profitable and new high-frequency strategies will be developed. In High Frequency Trading Models + Website, Dr. Gewei Ye describes the technology, architecture, and algorithms underlying current high frequency trading models, such as rebate trading, arbitrage, flash trading, and other types of trading, which exploit order flow imbalances and temporary pricing inefficiencies. He explains how to develop a HFT trading system and introduces his own system for building high frequency strategies based on behavioral algorithms. Finally, he discusses how to improve current institutional HFT strategies and suggests directions for new strategies.
Categories: Business & Economics

High frequency Trading

High frequency Trading

This book provides an overview of HFT in the equities and derivatives markets regulated by the SEC and the CFTC. It also examines the Flash Crash of 2010 and the role that HFT may have played, as well as recent regulatory developments.

Author: Austin Massey

Publisher:

ISBN: 1633217205

Category: Political Science

Page: 153

View: 499

High-frequency trading (HFT) is a broad term without a precise legal or regulatory definition. It is used to describe what many characterise as a subset of algorithmic trading that involves very rapid placement of orders, in the realm of tiny fractions of a second. This book provides an overview of HFT in the equities and derivatives markets regulated by the SEC and the CFTC. It also examines the Flash Crash of 2010 and the role that HFT may have played, as well as recent regulatory developments.
Categories: Political Science

High Frequency Trading Economic Necessity Or Threat to the Economy

High Frequency Trading  Economic Necessity Or Threat to the Economy

Furthermore, in the course of this work it will be illustrated that, by employing strict regulation of financial markets, this negative impact cannot be reduced to a suf-ficient extent in order for HFT to be characterized as market ...

Author: Stefan Höppel

Publisher: Anchor Academic Publishing (aap_verlag)

ISBN: 9783954892198

Category: Business & Economics

Page: 48

View: 922

In the last four decades, technological progress led to an electrification of stock tra-ding systems. It was realized that the profitability of trading strategies could be increased by employing computer algorithms to trade autonomously. This led to the implementation of High Frequency Trading (HFT). Theoretically HFT should increase efficiency in financial markets but it seems that, at least under certain circumstances, it causes market instability. The aim of this paper is to discuss the effect of HFT on market quality and why HFT cannot be fully explained by the neoclassical theory of economics. Therefore, the controversial positions in literature will be presented and discussed. It is especially referred to the influence of HFT on liquidity, price discovery and volatility. Primarily, its negative effect on volatility seems to contravene the modern finance. Furthermore, in the course of this work it will be illustrated that, by employing strict regulation of financial markets, this negative impact cannot be reduced to a suf-ficient extent in order for HFT to be characterized as market optimizing, accor-ding to the neoclassical theory of economics."
Categories: Business & Economics

Handbook of High Frequency Trading

Handbook of High Frequency Trading

Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy.

Author: Greg N. Gregoriou

Publisher: Academic Press

ISBN: 9780128023624

Category: Business & Economics

Page: 494

View: 967

This comprehensive examination of high frequency trading looks beyond mathematical models, which are the subject of most HFT books, to the mechanics of the marketplace. In 25 chapters, researchers probe the intricate nature of high frequency market dynamics, market structure, back-office processes, and regulation. They look deeply into computing infrastructure, describing data sources, formats, and required processing rates as well as software architecture and current technologies. They also create contexts, explaining the historical rise of automated trading systems, corresponding technological advances in hardware and software, and the evolution of the trading landscape. Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy. Answers all questions about high frequency trading without being limited to mathematical modelling Illuminates market dynamics, processes, and regulations Explains how high frequency trading evolved and predicts its future developments
Categories: Business & Economics

High Frequency Trading

High Frequency Trading

This report provides an overview of high-frequency trading (HFT) in the equities and derivatives markets regulated by the SEC and the Commodity Futures Trading Commission (CFTC).

Author: Gary Shorter

Publisher:

ISBN: OCLC:1053530175

Category:

Page:

View: 309

This report provides an overview of high-frequency trading (HFT) in the equities and derivatives markets regulated by the SEC and the Commodity Futures Trading Commission (CFTC). It also examines the Flash Crash of 2010 and the role that HFT may have played, as well as recent regulatory developments.
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High frequency Trading And Probability Theory

High frequency Trading And Probability Theory

This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences.

Author: Wang Zhaodong

Publisher: World Scientific

ISBN: 9789814616539

Category: Business & Economics

Page: 192

View: 855

This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic.Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis. The authors also discuss technical details of the IT system design for high-frequency trading.
Categories: Business & Economics

All About High Frequency Trading

All About High Frequency Trading

All About High-Frequency Trading examines the practice of deploying advanced computer algorithms to read and interpret market activity, make trades, and pull in huge profi ts—all within milliseconds.

Author: Michael Durbin

Publisher: McGraw Hill Professional

ISBN: 9780071743457

Category: Business & Economics

Page: 240

View: 750

A DETAILED PRIMER ON TODAY'S MOST SOPHISTICATED AND CONTROVERSIAL TRADING TECHNIQUE Unfair . . . brilliant . . . illegal . . . inevitable. High-frequency trading has been described in many different ways, but one thing is for sure--it has transformed investing as we know it. All About High-Frequency Trading examines the practice of deploying advanced computer algorithms to read and interpret market activity, make trades, and pull in huge profi ts—all within milliseconds. Whatever your level of investing expertise, you'll gain valuable insight from All About High-Frequency Trading's sober, objective explanations of: The markets in which high-frequency traders operate How high-frequency traders profi t from mispriced securities Statistical and algorithmic strategies used by high-frequency traders Technology and techniques for building a high-frequency trading system The ongoing debate over the benefi ts, risks, and ever-evolving future of high-frequency trading
Categories: Business & Economics

High Frequency Trading

High Frequency Trading

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.

Author: Irene Aldridge

Publisher: John Wiley & Sons

ISBN: 9781118343500

Category: Business & Economics

Page: 306

View: 712

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. Includes numerous quantitative trading strategies and tools for building a high-frequency trading system Address the most essential aspects of high-frequency trading, from formulation of ideas to performance evaluation The book also includes a companion Website where selected sample trading strategies can be downloaded and tested Written by respected industry expert Irene Aldridge 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.
Categories: Business & Economics

High Frequency Trading and Limit Order Book Dynamics

High Frequency Trading and Limit Order Book Dynamics

The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.

Author: Ingmar Nolte

Publisher: Routledge

ISBN: 9781317570776

Category: Business & Economics

Page: 320

View: 405

This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
Categories: Business & Economics

Handbook of High Frequency Trading and Modeling in Finance

Handbook of High Frequency Trading and Modeling in Finance

Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative ...

Author: Maria C. Mariani

Publisher: John Wiley & Sons

ISBN: 9781118443989

Category: Business & Economics

Page: 456

View: 971

Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: • Contributions by well-known experts within the academic, industrial, and regulatory fields • A well-structured outline on the various data analysis methodologies used to identify new trading opportunities • Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets • Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.
Categories: Business & Economics

Global Algorithmic Capital Markets

Global Algorithmic Capital Markets

Global Algorithmic Capital Markets seeks to understand how recent market transformations are affecting core public policy objectives such as investor protection and reduction of systemic risk, as well as fairness, efficiency, and ...

Author: Walter Mattli

Publisher: Oxford University Press, USA

ISBN: 9780198829461

Category: Business & Economics

Page: 384

View: 186

Global capital markets have undergone fundamental transformations in recent years and, as a result, have become extraordinarily complex and opaque. Trading space is no longer measured in minutes or seconds but in time units beyond human perception: milliseconds, microseconds, and even nanoseconds. Technological advances have thus scaled up imperceptible and previously irrelevant time differences into operationally manageable and enormously profitable business opportunities for those with the proper high-tech trading tools. These tools include the fastest private communication and trading lines, the most powerful computers and sophisticated algorithms capable of speedily analysing incoming news and trading data and determining optimal trading strategies in microseconds, as well as the possession of gigantic collections of historic and real-time market data. Fragmented capital markets are also becoming a rapidly growing reality in Europe and Asia, and are an established feature of U.S. trading. This raises urgent market governance issues that have largely been overlooked. Global Algorithmic Capital Markets seeks to understand how recent market transformations are affecting core public policy objectives such as investor protection and reduction of systemic risk, as well as fairness, efficiency, and transparency. The operation and health of capital markets affect all of us and have profound implications for equality and justice in society. This unique set of chapters by leading scholars, industry insiders, and regulators discusses ways to strengthen market governance for the benefit of society at whole.
Categories: Business & Economics

Searching for High Frequency Trading Opportunities

Searching for High Frequency Trading Opportunities

This content is excerpted from HighFrequency Trading: A Practical Guide to
Algorithmic Strategies and Trading Systems, by Irene Aldridge (9780470563762,
2010), with permission from the publisher John Wiley & Sons. You may not make
 ...

Author: Irene Aldridge

Publisher: John Wiley and Sons

ISBN: 9781118006306

Category: Business & Economics

Page: 21

View: 180

Praise for High-Frequency Trading "A well thought out, practical guide covering all aspects of high-frequency trading and of systematic trading in general. I recommend this book highly." —Igor Tulchinsky, CEO, WorldQuant, LLC "For traditional fundamental and technical analysts, Irene Aldridge's book has the effect a first read of quantum physics would have had on traditional Newtonian physicists: eye-opening, challenging, and enlightening." —Neal M. Epstein, CFA, Managing Director, Research & Product Management, Proctor Investment Managers LLC Interest in high-frequency trading continues to grow, yet little has been published to help investors understand and implement high-frequency trading systems—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 this approach to your trading endeavors. Written by industry expert Irene Aldridge, High-Frequency Trading offers innovative insights into this dynamic discipline. Covering all aspects of high-frequency trading—from the formulation of ideas and the development of trading systems to application of capital and subsequent performance evaluation—this reliable resource will put you in a better position to excel in today's turbulent markets.
Categories: Business & Economics

The Impact of High Frequency Trading on Commodity Markets

The Impact of High Frequency Trading on Commodity Markets

Research on the impact of high frequency trading (HFT) on commodity markets is scarce.

Author: Bernhard Bärnthaler

Publisher:

ISBN: OCLC:1090797154

Category:

Page:

View: 911

Research on the impact of high frequency trading (HFT) on commodity markets is scarce. This thesis investigates a dataset containing high frequency quotes in the gold and silver future market hosted on COMEX. Analysing the relationship between the number of quote updates and variance ratios I find that a higher number of quote updates is associated with price series that are more similar to a random walk. I also discover that the pattern of the frequency of quote updates differs significantly between the two markets, likely reflecting a higher degree of financialization of the gold future. I also discover that short term returns of the gold and silver future calculated from best bid and ask midpoints are on average less efficient than the returns of US small cap stocks.
Categories:

High frequency Trading

High frequency Trading

Author: David Easley

Publisher:

ISBN: 178272009X

Category: Electronic trading of securities

Page: 236

View: 648

Categories: Electronic trading of securities

Dark Pools and High Frequency Trading For Dummies

Dark Pools and High Frequency Trading For Dummies

However, for traders doing large volume trades or institutions buying large blocks
of shares a few cents can add up to significant money. Many traders and
investors believe that at-market orders are fodder for high frequency traders. If
you have ...

Author: Jay Vaananen

Publisher: John Wiley & Sons

ISBN: 9781118879191

Category: Business & Economics

Page: 240

View: 485

A plain English guide to high frequency trading and off-exchange trading practices In Dark Pools & High Frequency Trading For Dummies, senior private banker Jukka Vaananen has created an indispensable and friendly guide to what really goes on inside dark pools, what rewards you can reap as an investor and how wider stock markets and pricing may be affected by dark pools. Written with the classic For Dummies style that has become a hallmark of the brand, Vaananen makes this complex material easy to understand with an insider's look into the topic. The book takes a detailed look at the pros and the cons of trading in dark pools, and how this type of trading differs from more traditional routes. It also examines how dark pools are currently regulated, and how the regulatory landscape may be changing. Learn what types of dark pools exist, and how a typical transaction works Discover the rules and regulations for dark pools, and some of the downsides to trading Explore how dark pools can benefit investors and banks, and who can trade in them Recognize the ins and outs of automated and high frequency trading Because dark pools allow companies to trade stocks anonymously and away from the public exchange, they are not subject to the peaks and troughs of the stock market, and have only recently begun to take off in a big way. Written with investors and finance students in mind, Dark Pools & High Frequency Trading For Dummies is the ultimate reference guide for anyone looking to understand dark pools and dark liquidity, including the different order types and key HFT strategies.
Categories: Business & Economics

High Frequency Trading A Game Theoretical Analysis

High Frequency Trading   A Game Theoretical Analysis

High-frequency trading uses algorithms with the purpose of executing financial orders in split seconds and without human intervention.

Author: Ferid Dupljak

Publisher:

ISBN: OCLC:958395799

Category:

Page:

View: 781

High-frequency trading uses algorithms with the purpose of executing financial orders in split seconds and without human intervention. I develop a game-theoretical model in order to investigate the decision-making of high-frequency traders concerning the investment into HFT technologies and the choice of manipulative quote stuffing. I find that HFT investment can constitute a prisoner's dilemma for both collective investments (e.g. fiber optic cable) and individual co-location services. This might lead to a socially wasteful arms race that can be prevented by regulators artificially increasing the investment costs. Moreover, I find that a non-manipulative equilibrium cannot exist due to individual incentives to deviate. Hence, regulatory authorities are highly requested to minimize the negative externalities generated through quote stuffing and HFT in general.
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High Frequency Trading A Complete Guide 2020 Edition

High Frequency Trading A Complete Guide   2020 Edition

You will receive the following contents with New and Updated specific criteria: - The latest quick edition of the book in PDF - The latest complete edition of the book in PDF, which criteria correspond to the criteria in.

Author: Gerardus Blokdyk

Publisher: 5starcooks

ISBN: 0655940308

Category:

Page: 306

View: 523

Do you combine technical expertise with business knowledge and High-frequency trading Key topics include lifecycles, development approaches, requirements and how to make a business case? How can the phases of High-frequency trading development be identified? What must you excel at? What is an unauthorized commitment? What were the criteria for evaluating a High-frequency trading pilot? Defining, designing, creating, and implementing a process to solve a challenge or meet an objective is the most valuable role... In EVERY group, company, organization and department. Unless you are talking a one-time, single-use project, there should be a process. Whether that process is managed and implemented by humans, AI, or a combination of the two, it needs to be designed by someone with a complex enough perspective to ask the right questions. Someone capable of asking the right questions and step back and say, 'What are we really trying to accomplish here? And is there a different way to look at it?' This Self-Assessment empowers people to do just that - whether their title is entrepreneur, manager, consultant, (Vice-)President, CxO etc... - they are the people who rule the future. They are the person who asks the right questions to make High Frequency Trading investments work better. This High Frequency Trading All-Inclusive Self-Assessment enables You to be that person. All the tools you need to an in-depth High Frequency Trading Self-Assessment. Featuring 2144 new and updated case-based questions, organized into seven core areas of process design, this Self-Assessment will help you identify areas in which High Frequency Trading improvements can be made. In using the questions you will be better able to: - diagnose High Frequency Trading projects, initiatives, organizations, businesses and processes using accepted diagnostic standards and practices - implement evidence-based best practice strategies aligned with overall goals - integrate recent advances in High Frequency Trading and process design strategies into practice according to best practice guidelines Using a Self-Assessment tool known as the High Frequency Trading Scorecard, you will develop a clear picture of which High Frequency Trading areas need attention. Your purchase includes access details to the High Frequency Trading self-assessment dashboard download which gives you your dynamically prioritized projects-ready tool and shows your organization exactly what to do next. You will receive the following contents with New and Updated specific criteria: - The latest quick edition of the book in PDF - The latest complete edition of the book in PDF, which criteria correspond to the criteria in... - The Self-Assessment Excel Dashboard - Example pre-filled Self-Assessment Excel Dashboard to get familiar with results generation - In-depth and specific High Frequency Trading Checklists - Project management checklists and templates to assist with implementation INCLUDES LIFETIME SELF ASSESSMENT UPDATES Every self assessment comes with Lifetime Updates and Lifetime Free Updated Books. Lifetime Updates is an industry-first feature which allows you to receive verified self assessment updates, ensuring you always have the most accurate information at your fingertips.
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Flash Boys Not So Fast

Flash Boys  Not So Fast

In Flash Boys, Michael Lewis alleged that the entire U.S. stock market is rigged. This is an extraordinarily serious accusation.

Author: Peter Kovac

Publisher:

ISBN: 0692336907

Category:

Page: 184

View: 202

In Flash Boys, Michael Lewis alleged that the entire U.S. stock market is rigged. This is an extraordinarily serious accusation. If it is true that a conspiracy of stock exchanges, banks, regulators and high-frequency traders has rigged the market, this has profound implications for every aspect of our financial system. It's rather surprising, then, that this book alleging a vast high-frequency trading conspiracy included no high-frequency traders. Flash Boys lacks a single insider's account, and it shows. Electronic trading is extremely complicated, and if you neglect to talk to any electronic traders, you're probably going to get it wrong. Flash Boys: Not So Fast, written by a former high-frequency trading executive and regulatory compliance expert, provides the missing insider's perspective on today's stock market and answers the question of whether or not Michael Lewis is right. Not So Fast reviews the alleged scams described by Lewis and applies the same rigorous analysis that real trading strategies are subjected to, methodically walking through them step by step and explaining what is actually possible in today's markets and what is not. Extensively researched and documented, Not So Fast provides a clear, accurate picture of how today's markets operate, including what works, what doesn't work, and what changes need to be made.
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