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Record Nr. |
UNINA9910583473003321 |
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Autore |
Gregoriou Greg |
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Titolo |
The handbook of high frequency trading / / Greg N. Gregoriou ; contributors, Erdinç Akyildirim [and forty-nine others] |
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Pubbl/distr/stampa |
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London, England : , : Academic Press, , 2015 |
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©2015 |
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ISBN |
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1-78684-106-1 |
0-12-802362-7 |
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Descrizione fisica |
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1 online resource (495 p.) |
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Disciplina |
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Soggetti |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references at the end of each chapters and index. |
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Nota di contenuto |
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Front Cover; The Handbook of High Frequency Trading; Copyright; CONTENTS; LIST OF CONTRIBUTORS; CONTRIBUTORS BIOGRAPHIES; EDITOR BIOGRAPHY; ACKNOWLEDGMENTS; INTRODUCTION; PART 1 Trading Activity; Chapter 1 - High-Frequency Activity on NASDAQ; 1.1 INTRODUCTION; 1.2 DATA; 1.3 RESULTS; 1.4 CONCLUSION; ACKNOWLEDGMENTS; REFERENCES; Chapter 2 - The Profitability of High-Frequency Trading: Is It for Real?; 2.1 INTRODUCTION; 2.2 DEFINITION AND CHARACTERISTICS OF HFT; 2.3 WHAT CONSTITUTES HFT?; 2.4 THE PROFITABILITY OF HFT; 2.5 PROFITABILITY AS A FUNCTION OF THE HOLDING PERIOD; 2.6 METHODOLOGY |
2.7 DATA AND EMPIRICAL RESULTS2.8 CONCLUSION; REFERENCES; Chapter 3 - Data Characteristics for High-Frequency Trading Systems; 3.1 INTRODUCTION; 3.2 LITERATURE REVIEW; 3.3 METHODOLOGY; 3.4 ANALYSIS OF DATA; 3.5 CONCLUSION; ACKNOWLEDGMENTS; REFERENCES; Chapter 4 - The Relevance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High-Frequency Fi ...; 4.1 INTRODUCTION; 4.2 METHOD; 4.3 DATA; 4.4 RESULTS; 4.5 DISCUSSION; 4.6 CONCLUSION; REFERENCES; Chapter 5 - Game Theoretical Aspects of Colocation in High-Speed Financial Markets; 5.1 INTRODUCTION |
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5.2 LITERATURE AND STRUCTURE OF THE CHAPTER5.3 COLOCATION AND LATENCY REDUCTION; 5.4 EMPIRICAL EVIDENCE: TECHNICAL ARBITRAGE THROUGH LATENCY REDUCTION; 5.5 MODELING STRATEGIC CHOICES ON COLOCATION; 5.6 DISCUSSION: EVOLUTIONARY OPTIMIZATION AND SPATIAL DYNAMICS; 5.7 CONCLUSION, LIMITATIONS, AND IMPLICATIONS FOR MONEY MANAGERS; REFERENCES; Chapter 6 - Describing and Regulating High-Frequency Trading: A European Perspective; 6.1 INTRODUCTION; 6.2 HFT DESCRIPTION AND DRIVERS; 6.3 HIGH FREQUENCY TRADING VERSUS ALGORITHMIC TRADING; 6.4 STRATEGIES OF HFT; 6.5 CHARACTERISTICS OF AT AND HFT |
6.6 ABOUT THE CONCEPT OF LIQUIDITY6.7 HFT AND FLASH CRASHES; 6.8 MIFID II AND HFT REGULATION IN THE EU; REFERENCES; PART 2 Evolution and the Future; Chapter 7 - High-Frequency Trading: Implications for Market Efficiency and Fairness; 7.1 INTRODUCTION; 7.2 NATURE OF HFT AND RECENT TRENDS; 7.3 SOME SALIENT ISSUES RELATED TO HFT; 7.4 HFT AND "FAIRNESS"; 7.5 CONCLUDING REMARKS; REFERENCES; Chapter 8 - Revisioning Revisionism: A Glance at HFT's Critics; 8.1 INTRODUCTION: HIGH-FREQUENCY TRADING UNDER SIEGE; 8.2 THE LEWIS DEBATE IN CONTEXT; 8.3 AN HFT TABLEAU: PERCEPTION VERSUS REALITY |
8.4 CONCLUSIONREFERENCES; Chapter 9 - High-Frequency Trading: Past, Present, and Future; 9.1 INTRODUCTION; 9.2 THE ORIGINS OF HFT; 9.3 HFT TODAY; 9.4 HFT GOING FORWARD; 9.5 HEDGE FUNDS; 9.6 CONCLUSION; REFERENCES; Chapter 10 - High-Frequency Trading and Its Regulation in the Australian Equity Markets; 10.1 INTRODUCTION; 10.2 REGULATORY RESPONSE; 10.3 CONCLUSION; REFERENCES; Chapter 11 - Global Exchanges in the HFT Nexus; 11.1 INTRODUCTION; 11.2 THE NEXUS OF AN EXCHANGE; 11.3 EXCHANGES AND THEIR CUSTOMERS; 11.4 REGULATORS AND EXCHANGES; 11.5 CONCLUSION; ACKNOWLEDGMENTS; REFERENCES |
PART 3 Liquidity and Execution |
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Sommario/riassunto |
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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 technologi |
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