|
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems (Wiley Trading) |  | Author: Irene Aldridge
Publisher: Wiley
Category: Book
List Price: $70.00
Buy New: $38.67
as of 9/8/2010 16:26 CDT details
You Save: $31.33 (45%)
New (26) Used (10) from $35.50
Seller: indoobestsellers
Rating:  19 reviews
Sales Rank: 44324
Media: Hardcover
Pages: 339
Number Of Items: 1
Shipping Weight (lbs): 1.2
Dimensions (in): 9.1 x 6.4 x 1.3
ISBN: 0470563761
Dewey Decimal Number: 332.64
EAN: 9780470563762
ASIN: 0470563761
Publication Date: November 25, 2009
Availability: Usually ships in 1-2 business days
| |
| Features:
| • | ISBN13: 9780470563762 | | • | Condition: New | | • | Notes: BUY WITH CONFIDENCE, Over one million books sold! 98% Positive feedback. Compare our books, prices and service to the competition. 100% Satisfaction Guaranteed |
|
| Also Available In:
|
| Similar Items:
| |
| Editorial Reviews:
Amazon.com Review
The Evolution of Trading
Amazon-exclusive content from author Irene Aldridge It seems just yesterday traders were chit-chatting with their executing brokers or customers over the telephone, while processing orders. Now, the days of turtle trading are over. Fueled by the plummeting costs of computers, financial sector has managed to dramatically increase profitability by entrusting computers with data analysis, trade signal generation and trade execution. Computers, capable of processing information much faster than humans, began trading rapidly, opening and closing positions to capture minute oscillations in prices; a new discipline, dubbed high-frequency trading, was born. Since its inception, in the early 1980s, high-frequency trading has evolved as computing capacity has grown. Just over the past 5 years, the daily volume of trades executed by computers has doubled. Alongside these developments, new ways to adapt academic research and to computerize trading activity have been developed. While “geeks” often claim high-frequency trading as their domain, anyone with the basic knowledge of computer programming can also participate in high-frequency trading. Minimal investment is required. A computer set up to play online video games is in most cases fast and powerful enough to run a high-frequency trading system. The barriers for entry into the field of trading have never been lower. As a result, the dominant players in the field shift frequently, the markets change and once-profitable strategies become obsolete. Such is the reality of today’s trading landscape. It is also a landscape of opportunity for anyone willing to apply their intellect to instruct computers to solve real-time dependencies in layers of market data. My book, High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems shows this opportunity through aggregating the knowledge required to profitably function in today’s trading environments.
Product Description
A 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 microstructure, event arbitrage, and deviations arbitrage discussed in great detail. - Contains the tools and techniques needed for building a high-frequency trading system
- Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation
- Written by well-known industry professional Irene Aldridge
Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.
|
| Customer Reviews:
Showing reviews 1-5 of 19
 good intro, but don't stop here January 27, 2010
em_everywhere
5 out of 9 found this review helpful
I'm a financial engr. grad student and I'm reading this book to complement my curriculum and my internship at a stat arb shop. I've found the descriptions (particularly stat arb) to be very good introductions. Yes, they don't contain a lot math and yes, some of the defs may be disagreeable to some, but overall, if you don't have any experience in this area, it's a good place to start. There are other books that treat the various subjects in much more detail (see other reviews, but add Intro to High Freq. Finance by Dacorogna to the list). Hope this helps.
Accessible Introduction to High Frequency Trading December 24, 2009
Michael Taylor (Los Angeles, CA)
11 out of 19 found this review helpful
I recently finished this book, and overall, enjoyed reading it. My interest in this book was to better understand the recent trends that have emerged from the intersection of computers and finance. I think one of the book's best features is its accessibility without overly dumbing down the material. I certainly learned a lot from it.
As I gleaned from Professor Rosenthal's review, there are probably other books that more fundamentally outline pedagogic market principles for graduate students. And it seems obvious to me that books on making money generally only come into existence when the actionable value of the information has fallen below the value of writing such a book (e.g. I recall vividly Trump's "Art of the Deal" appearing on bookshelves not long before his bankruptcy.) But, if you want to come up to speed on what was state-of-the-art not too long ago (for most people it's fine, for practitioners, I'm sure it may be an eternity), it's a good read.
One of the things that the book convinces me of, indirectly, is that you should think twice about day trading without some of the inherent advantages that large firms have. High-frequency trading eliminates many of the advantages that the little guy could have in terms of unscalable opportunities that ordinarily would not be worth it for larger firms to persue. Like most things with computers, such as chess, humans have the relative advantage when it comes to strategy, and should increasingly stay away from the tactical or logistical (think Warren Buffett), especially when the information is easily available for computers to process.
Good Overview December 13, 2009
Addison D. Tsai (Greenwich, CT)
6 out of 16 found this review helpful
For practitioners, this book covers many of the topics people should be thinking about if they want to get into high frequency trading. It presents many of the results across the vast literature at an easy manner and pace, distilling many of the essential ideas and formulas. Besides the convenience of having all these results in one place, there are plenty of hints for future directions in researching high frequency alpha.
Excellent Overview of HFT April 18, 2010
Philip X. Wu
2 out of 11 found this review helpful
Irene Aldridge offers the most complete, up-to-date, well thought out, practical guide in the market today covering nearly all aspects of HFT (high-frequency trading) and of systematic trading in general with a large audience in mind - be it wall street expert or beginning finance student.
Interestingly enough, financial markets are undergoing rapid innovation due to continuing proliferation of computer power and algorithms, yet few quality books are out there to cover the new investment discipline HFT and its quantitative trading strategies.
Irene did a fantastic job in publishing this book. I can tell by reading through it years of efforts were put into generating this high-quality deliverable. Not only the materials covered were quite complete on HFT topics ranging from Searching for High-Frequency Trading Opportunities, Creating/Managing Portfolios of High-Frequency Strategies, Implementing High-Frequency Trading Systems, HFT Risk Management, Executing and Monitoring High-Frequency Trading, to Post-Trade Profitability Analysis, but also all the quantitative mathematical equations employed in all chapters were sturdy and solid.
The book offers an easy to understand approach for the readers. For example, in the post-trade profitability analysis phase for transaction costs, Irene compares the market movements to ocean wave patterns. "High-frequency strategies are like pebbles thrown parallel to the ocean floor and grazing small ripples near the shore."
Irene is not only an expert and frequent speaker in this red-hot HFT field, but also she has visions way beyond the complex mathematical formulas employed in HFT field. She also understands how the HFT plays such critical role today in financial services industry sector, which perhaps is the most key and too-big-to-fail pillars of the U.S. economy.
Solid Primer for Traders and Investors December 1, 2009
Steven Krawciw (New York, NY)
13 out of 36 found this review helpful
Irene's new book delivers exactly what it sets out to achieve. It opens the arena of High-Frequency Trading to traders and investors looking to understand why trading is becoming automated and how traders operate in this environment. This books makes academic research useful by explaining how to create trading strategies.
This is the only book that shows a trader how to build a trading operation from the ground up. It explains the topics I need to understand in the High-Frequency space from trading strategies to risk management. This is also the only material that defines what is meant by High Frequency Trading based on an actual survey of Hedge Fund managers from FinAlternatives (rather than rely solely on academics).
The overview of statistical and econometric techniques is immensely helpful to walk through the details of how to measure performance in a High Frequency environment. The implications of not holding positions overnight on the Sharpe ratio and on risk management are important for traders to understand.
The chapters that explain High-Frequency models are excellent. This gives me insight into the research that drives many of the common trading strategies. The media coverage of High-Frequency Trading focuses on flash orders and co-location, whereas, this book outlines a broad survey of approaches to High-Frequency Trading. After reading this book, I understand different ways that I can hunt for alpha.
For individual investors that do not have the benefit of the risk management infrastructure of an investment bank, this book provides an invaluable guide to building a trading operation. A lot of the effort to develop High-Frequency Trading involves expertise in coding and Irene goes a long way to explain it. Without this book an investor would have no idea of the risks that are unique to High-Frequency Trading and the techniques that are used to manage these risks.
I recommend this book to you.
Showing reviews 1-5 of 19
|
|
|
|
CERTAIN CONTENT THAT APPEARS ON THIS SITE COMES FROM AMAZON SERVICES LLC. THIS CONTENT IS PROVIDED ‘AS IS’ AND IS SUBJECT TO CHANGE OR REMOVAL AT ANY TIME. Powered by Associate-O-Matic
| |
