investment holding period.I had hoped to use this book for a market microstructure and trading course I teach. However, this book does not approach the standards: Larry Harris's Trading and Exchanges; Joel Hasbrouck's Empirical Market Microstructure; and, Maureen O'Hara's Market Microstructure Th...
High-frequency trading (HFT) is algorithmic trading characterized by high-speed trade execution, an extremely large number of transactions, and a very short-term investment horizon. HFT leverages special computers to achieve the highest speed of trade execution possible. It is very complex and, ther...
High-frequency trading (HFT) is a much-discussed trading technology allowing securities transactions to be executed via independently acting, extremely fast and powerful computers. This technology was developed in the course of the advancing technological evolution of the financial markets and already cons...
In previous posts, I discussed the basic mechanics and social utility of high frequency trading. Of particular import is that I characterized the latency arms race as socially wasteful. Now I'll discuss a policy proposal which might mitigate the harmful effects of the race for latency, while gi...
High Frequency Trading II: Limit Order BookIn this article series Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart continues the discussion of high-frequency trading via the introduction of the limit order book. As we saw in the ...
One of the most closely guarded secrets in the competitive world of high-frequency trading is how these black-box firms go about recruiting talent. With...
• Stop hunting is a high-frequency trading strategy that relies ontriggeringstop orders that typically populate round numbers near the current market price. 止损狩猎是一种高频交易策略,它依赖于触发止损单,这些止损单通常会成交在当前市场价格附近的整数。
The Speed Traders: An Insider`s Look the New High-Frequency Phenomenon That Is Transforming the Investing World The secrets of high-frequency trading revealed! Edgar s book is fantastic . . . I recommend it highly. Bart Chilton, Commissioner, United States Commodity Futures Trading Commission (...
I grew interested in high-frequency trading last year when I was writing a feature on hedge fund firm Citadel Investment Group (more on that later). As an editor, however, it wasn’t until January that I was able to dig into what I soon learned is an incredibly arcane world. My first...
Volume-Synchronised Probability of Informed Trading on Chinese Index Futures: A Comparative Approach1 Open access28 June 2016 High-frequency trading: a literature review Article01 June 2019 Introduction In recent years, there has been a growing interest in drawdown-based risk measures within both acade...