Aldridge High-Frequency Trading

A Practical Guide to Algorithmic Strategies and Trading Systems
1. Auflage 2009
ISBN: 978-0-470-57976-3
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 368 Seiten, E-Book

Reihe: Wiley Trading Series

A hands-on guide to the fast and ever-changing world ofhigh-frequency, algorithmic trading
Financial markets are undergoing rapid innovation due to thecontinuing proliferation of computer power and algorithms. Thesedevelopments have created a new investment discipline calledhigh-frequency trading.
This book covers all aspects of high-frequency trading, from thebusiness case and formulation of ideas through the development oftrading systems to application of capital and subsequentperformance evaluation. It also includes numerous quantitativetrading strategies, with market microstructure, event arbitrage,and deviations arbitrage discussed in great detail.
* Contains the tools and techniques needed for building ahigh-frequency trading system
* Details the post-trade analysis process, including keyperformance benchmarks and trade quality evaluation
* Written by well-known industry professional Irene Aldridge
Interest in high-frequency trading has exploded over the pastyear. This book has what you need to gain a better understanding ofhow it works and what it takes to apply this approach to yourtrading endeavors.

Autoren/Hrsg.

Aldridge, Irene

Inhaltsverzeichnis

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-FrequencyTrading.
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-FrequencyTrading.
Financial Markets and Their Suitability for High-FrequencyTrading.
Conclusion.
Chapter 5 Evaluating Performance of High-FrequencyStrategies.
Basic Return Characteristics.
Comparative Ratios.
Performance Attribution.
Other Considerations in Strategy Evaluation.
Conclusion.
Chapter 6: Orders, Traders and their Applicability toHigh-Frequency Trading.
Order Types.
Order Distributions.
Conclusion.
Chapter 7: Market Inefficiency and Profit Opportunities atDifferent Frequencies.
Predictability of Price Moves at High Frequencies.
Conclusion.
Chapter: 8: Searching for High-Frequency TradingOpportunities.
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 InventoryModels.
Overview of Inventory Trading Strategies.
Orders, Traders and Liquidity.
Profitable Market Making.
Directional Liquidity Provision.
Conclusion.
Chapter 11: Trading on Market Microstructure InformationModels.
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 FrequencySettings.
Mathematical Foundations.
Practical Applications of Statistical Arbitrage.
Conclusion.
Chapter 14: Creating and Managing Portfolios ofHigh-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 TradingSystems.
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-FrequencyTrading.
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.

Über Autor(innen)

Irene Aldridge is an expert on the subject of high-frequencytrading. She is currently a Managing Partner and QuantitativePortfolio Manager at ABLE Alpha Trading, LTD, a proprietary tradingvehicle specializing in high-frequency systematic tradingstrategies. Prior to ABLE Alpha, Aldridge worked for variousinstitutions on Wall Street and in Toronto, including Goldman Sachsand CIBC. She also taught finance at the University of Toronto. Sheholds an MBA from INSEAD, an MS in financial engineering fromColumbia University, and a BE in electric engineering from theCooper Union in New York. Aldridge is a frequent speaker at topindustry events and a contributor to academic and practitionerpublications, including the Journal of Trading, E-Forex,HedgeWorld, FXWeek, FINalternatives, and Dealing with Technology.She also appears frequently on business television, includingappearances on CNBC, Fox Business, and The Daily Show with JonStewart. Aldridge has been quoted by Bloomberg LP and other majorbusiness news outlets.