Handbook of High Frequency Trading

Edited by Greg N. Gregoriou

in Elsevier Monographs from Elsevier, currently edited by Candice Janco

Abstract: 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

Keywords: After market trading; Algorithmic trading; Algorithms; Alpha; ASEAN; Before market trading; Borsa istanbul; Brad Katsuyama; Carry trade; Colocation; Commonality; Complexity; Conditional volatility models; Correlation breakdown; Customers; Cyber security; Derivatives; Discrete choice model; DJIA; Downside risk; Earnings announcements; Efficient stock market; Epps effect; Exchanges; Failure of market orders; Filter rules; Financial scandals; Firm-specific news; Flash Boys; Flash crash; Fleeting orders; Foreign exchange (FX); FOREX; Fourier analysis; Game theory; Government; Hedge funds; Heteroscedasticity; HFT strategies; High frequency; High frequency traders (HFT); High-frequency data; High-frequency financial data; High-frequency trade; High-frequency trading; High-frequency volatility dynamics; Historical evolution; Holding period; Individual ethical responsibility; Information regimes; Institutional traders; Integrity; Intraday returns; Latency reduction; Leverage effect; Limit order; Limit order books; Liquidity; Low-risk investing; Macroannouncement effects; Market activity; Market efficiency; Market fairness; Market microstructure; Market order; Market structure; Markov regime-switching GARCH; Michael Lewis; MiFID II; Moving average rule; Moving-average crossovers; NASDAQ; News arrival; News flows; Nonparametric estimation; Order flow; Organizational trust; Performance evaluation; Periodic effects; Portfolio; Portfolio allocation; Principal components; Profitability; Program trading; Public disclosure platform (kamuyu aydinlatma platformu-KAP); Realized volatility; Regulation; Regulators; Retail traders; Return volatility; Securities regulation; Semimartingale; Sentiment scores; Sharpe ratio; Stability; Statistical prerequisites; Stock exchanges; Strategic trading; Structural breaks; Stylized facts; Subordinator; Systematic liquidity; Technical analysis; Technical arbitrage; Tick-by-tick data; Time series analysis; Tone at the top; Trading; Trading activity; Trading algorithms; Trading range breakouts; Trading strategy; TRNA; Unit root tests; Volatility persistence; Wavelets analysis (search for similar items in EconPapers)
Date: 2015 Originally published 2015-02-04.
Edition: 1
ISBN: 978-0-12-802205-4
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