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Handbook of High Frequency Trading de Greg N. Gregoriou

Handbook of High Frequency Trading

Editat de Greg N. Gregoriou
en Limba Engleză Hardback – 3 feb 2015
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 technological advances in hardware and software, and the evolution of the trading landscape. Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy.


  • Answers all questions about high frequency trading without being limited to mathematical modelling
  • Illuminates market dynamics, processes, and regulations
  • Explains how high frequency trading evolved and predicts its future developments
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Specificații

ISBN-13: 9780128022054
ISBN-10: 0128022051
Pagini: 494
Ilustrații: colour illustrations
Dimensiuni: 191 x 235 x 27 mm
Greutate: 1.06 kg
Editura: ELSEVIER SCIENCE

Cuprins

Trading Activity
1. High-Frequency Activity on NASDAQ
2. Profitability as a Function of the Holding Period with Implications for High Frequency Trading
3. Data Characteristics for High-Frequency Trading Systems
4. The Relavance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High Frequency Financial Data: Evidence from ASEN Stock Markets
5. The Closer the Better? High Frequency Trading and Limitations to Arbitrage Opportunities in Spatially Segmented Markets
6. EU High Frequency Trading Regulation: Mandatory Disclosure and New Investors
Evolution and the Future
7. High Frequency Trading: Implications for Market Efficiency and Fairness
8. Revisioning Revisionism: A Glance at HFT's Critics
9. High Frequency Trading: Evolution and Future
10. High Frequency Trading and Predatory Behavior in the Australian Equity Markets
11. Global Stock Exchanges in the High Frequency Trading Vortex
Liquidity and Execution
12. Measuring Equity Market Liquidity with High Frequency Trading Data
13. We Missed It Again! Why So Many Market Orders in the High Frequency FX Trading Fail to be Executed
14. On The Sharpe Ratio for High Frequency Traders
Impact of News Releases
15. Do High Frequency Traders Care About Earnings Announcements? An Analysis of Trading Activity Before, During, and After Regular Trading Hours
16. Why Accountants Should Care About High Frequency Trading
17. High Frequency Trading under Information Regimes
18. Effects of Firm-Specific Public Announcements on Market Dynamics: Implications for High Frequency Traders
19. Machine News and Volatillity: The Dow Jones Industrial Average and the TRNA Real-Time High Frequency Sentiment Series
Impact of Volatility
20. Technical Trading Strategies at High Frequency: Insights for Practitioners
21. High-Frequency News Flow and States of Asset Volatility
22. News Releases and Stock Market Volatility: Intraday Evidence from Borsa Istanbul
23. The Low Risk Anomaly Revisited on High Frequency Data
24. Measuring the Leverage Effect in a High Frequency Framework

Recenzii

"This handbook, expertly edited by Professor Gregoriou, provides a very thorough coverage of what is a new and complex field of study.  It will be indispensable for both commercial and scholastic researchers." --Stephen Satchell, University of Sydney
"The introduction of high frequency trading is a major change in the way securities are traded. As with all major changes in security markets there are questions of liquidity and execution, informational efficiency, and the possibility of excess volatility and systemic risk. All of these concerns come down to the fundamental question of how fair these markets are. This volume represents the first comprehensive study of these issues from an academic point of view." --Stephen J. Brown, NYU Stern School of Business