High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

摘要: Acknowledgments. Chapter 1 Introduction. 2 Evolution of High-Frequency Trading. Financial Markets And Technological Innovation. Of Trading Methodology. 3 Overview the Business Comparison With Traditional Approaches to Market Participants. Operating Model. Economics. Capitalizing a Business. Conclusion. 4 Suitable for and Their Suitability 5 Evaluating Performance Strategies. Basic Return Characteristics. Comparative Ratios. Attribution. Other Considerations in Strategy Evaluation. 6: Orders, Traders their Applicability Order Types. Distributions. 7: Inefficiency Profit Opportunities at Different Frequencies. Predictability Price Moves High Chapter: 8: Searching Opportunities. Statistical Properties Returns. Linear Econometric Models. Volatility Modeling. Nonlinear 9: Working with Tick Data. Quantity Quality Bid-Ask Spreads. Bounce. Modeling Arrivals Applying Techniques 10: on Microstructure Inventory Liquidity. Profitable Making. Directional Liquidity Provision. 11: Information Measures Asymmetric Information. Information-Based 12: Event Arbitrage. Developing Arbitrage What Constitutes an Event? Forecasting Methodologies. Tradeable News. Application 13: Frequency Settings. Mathematical Foundations. Practical Applications 14: Creating Managing Portfolios Analytical Foundations Portfolio Optimization. Effective Management Practices. 15: Back-Testing Point Forecasts. 16: Implementing Systems. Model Development Lifecycle. System Implementation. Testing 17: Risk Management. Determining Goals. Measuring Risk. 18: Executing Monitoring Execution. 19: Post-Trade Profitability Analysis. Cost References. About Web Site. The Author. Index.