LEADER 05615nam 2200769Ia 450 001 9910457001703321 005 20210209111226.0 010 $a0-470-57977-3 010 $a1-283-10094-0 010 $a1-282-47175-9 010 $a9786612471759 010 $a9786613100948 010 $a1-118-00631-3 010 $a0-470-57976-5 035 $a(CKB)2550000000002266 035 $a(EBL)477769 035 $a(OCoLC)565680169 035 $a(SSID)ssj0000338591 035 $a(PQKBManifestationID)11271753 035 $a(PQKBTitleCode)TC0000338591 035 $a(PQKBWorkID)10295439 035 $a(PQKB)10092708 035 $a(MiAaPQ)EBC4027555 035 $a(CaSebORM)9780470563762 035 $a(MiAaPQ)EBC477769 035 $a(EXLCZ)992550000000002266 100 $a20090730d2010 uy 0 101 0 $aeng 135 $aurunu||||| 181 $ctxt 182 $cc 183 $acr 200 10$aHigh-frequency trading$b[electronic resource] $ea practical guide to algorithmic strategies and trading system /$fIrene Aldridge 205 $a1st edition 210 $aHoboken, N.J. $cWiley$dc2010 215 $a1 online resource (354 p.) 225 1 $aWiley trading series 300 $aDescription based upon print version of record. 311 $a0-470-56376-1 320 $aIncludes bibliographical references and index. 327 $aHigh-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems; Contents; 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-Frequency Trading; 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-Frequency Trading 327 $aFINANCIAL MARKETS AND THEIR SUITABILITY FOR HIGH-FREQUENCY TRADING CONCLUSION; Chapter 5: Evaluating Performance of High-Frequency Strategies; BASIC RETURN CHARACTERISTICS; COMPARATIVE RATIOS; PERFORMANCE ATTRIBUTION; OTHER CONSIDERATIONS IN STRATEGY EVALUATION; CONCLUSION; Chapter 6: Orders, Traders, and Their Applicability to High-Frequency Trading; ORDER TYPES; ORDER DISTRIBUTIONS; CONCLUSION; Chapter 7: Market Inefficiency and Profit Opportunities at Different Frequencies; PREDICTABILITY OF PRICE MOVES AT HIGH FREQUENCIES; CONCLUSION 327 $aChapter 8: Searching for High-Frequency Trading Opportunities 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; OVERVIEW OF INVENTORY TRADING STRATEGIES; ORDERS, TRADERS, AND LIQUIDITY; PROFITABLE MARKET MAKING; DIRECTIONAL LIQUIDITY PROVISION; CONCLUSION 327 $aChapter 11: Trading on Market MicrostructureMEASURES OF ASYMMETRIC INFORMATION; INFORMATION-BASED TRADING MODELS; CONCLUSION; Chapter 12: Event Arbitrage; DEVELOPING EVENT ARBITRAGE TRADING STRATEGIES; WHAT CONSTITUTES AN EVENT?; FORECASTING METHODOLOGIES; TRADABLE NEWS; APPLICATION OF EVENT ARBITRAGE; CONCLUSION; Chapter 13: Statistical Arbitrage in High-Frequency Settings; MATHEMATICAL FOUNDATIONS; PRACTICAL APPLICATIONS OF STATISTICAL ARBITRAGE; CONCLUSION; Chapter 14: Creating and Managing Portfolios of High-Frequency Strategies; ANALYTICAL FOUNDATIONS OF PORTFOLIO OPTIMIZATION 327 $aEFFECTIVE PORTFOLIO MANAGEMENT PRACTICES CONCLUSION; Chapter 15: Back-Testing Trading Models; EVALUATING POINT FORECASTS; EVALUATING DIRECTIONAL FORECASTS; CONCLUSION; Chapter 16: Implementing High-Frequency Trading Systems; MODEL DEVELOPMENT LIFE CYCLE; 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-Frequency Trading; EXECUTING HIGH-FREQUENCY TRADING SYSTEMS; MONITORING HIGH-FREQUENCY EXECUTION; CONCLUSION 327 $aChapter 19: Post-Trade Profitability Analysis 330 $aA hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency trading. This book covers all aspects of high-frequency trading, from the business case and formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies, with market 410 0$aWiley trading series. 606 $aInvestment analysis 606 $aPortfolio management 606 $aSecurities 606 $aElectronic trading of securities 608 $aElectronic books. 615 0$aInvestment analysis. 615 0$aPortfolio management. 615 0$aSecurities. 615 0$aElectronic trading of securities. 676 $a332.6 676 $a332.64 700 $aAldridge$b Irene$f1975-$0905693 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910457001703321 996 $aHigh-frequency trading$92042540 997 $aUNINA