Handbook of High Frequency Trading

✍ Scribed by Greg N. Gregoriou

• Publisher: Academic Press
• Year: 2015
• Tongue: English
• Leaves: 458
• Edition: 1
• Category: Library

✦ Synopsis

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

✦ Table of Contents

Content:
Front Matter, Page iii
Copyright, Page iv
List of Contributors, Pages xiii-xv, Erdinç Akyıldırım, Paul U. Ali, David E. Allen, Albert Altarovici, Richard G. Anderson, Jane M. Binner, Kris Boudt, Godfrey Charles-Cadogan, Giuseppe Ciallella, Brittany Cole, Imma Valentina Curato, Jonathan Daigle, Nazmi Demir, Cumhur Ekinci, Dov Fischer, Nikola Gradojevic, Greg N. Gregoriou, George Guernsey, Björn Hagströmer, Tobias Hahn, Kin-Yip Ho, et al.
Contributors Biographies, Pages xvii-xxvii
Editor Biography, Page xxix
Acknowledgments, Page xxxi
Introduction, Pages xxxiii-xxxix
Chapter 1 - High-Frequency Activity on NASDAQ, Pages 3-23, Martin Scholtus, Dick van Dijk
Chapter 2 - The Profitability of High-Frequency Trading: Is It for Real?, Pages 25-45, Imad Moosa, Vikash Ramiah
Chapter 3 - Data Characteristics for High-Frequency Trading Systems, Pages 47-57, Bruce Vanstone, Tobias Hahn
Chapter 4 - The Relevance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High-Frequency Financial Data: Evidence from ASEAN Stock Markets, Pages 59-74, Hooi Hooi Lean, Vinod Mishra, Russell Smyth
Chapter 5 - Game Theoretical Aspects of Colocation in High-Speed Financial Markets, Pages 75-94, Camillo von Müller
Chapter 6 - Describing and Regulating High-Frequency Trading: A European Perspective, Pages 95-110, Giuseppe Ciallella
Chapter 7 - High-Frequency Trading: Implications for Market Efficiency and Fairness, Pages 113-122, Tayyeb Shabbir
Chapter 8 - Revisioning Revisionism: A Glance at HFT's Critics, Pages 123-153, Jeffrey G. MacIntosh
Chapter 9 - High-Frequency Trading: Past, Present, and Future, Pages 155-166, François-Serge Lhabitant, Greg N. Gregoriou
Chapter 10 - High-Frequency Trading and Its Regulation in the Australian Equity Markets, Pages 167-170, Paul U. Ali
Chapter 11 - Global Exchanges in the HFT Nexus, Pages 171-194, David R. Meyer, George Guernsey
Chapter 12 - Liquidity: Systematic Liquidity, Commonality, and High-Frequency Trading, Pages 197-214, Richard G. Anderson, Jane M. Binner, Björn Hagströmer, Birger Nilsson
Chapter 13 - We Missed It Again! Why Do So Many Market Orders in High-Frequency FX Trading Fail to be Executed?, Pages 215-235, Masayuki Susai, Yushi Yoshida
Chapter 14 - Efficient Performance Evaluation for High-Frequency Traders, Pages 237-251, Godfrey Charles-Cadogan
Chapter 15 - Do High Frequency Traders Care about Earnings Announcements? An Analysis of Trading Activity before, during, and after Regular Trading Hours, Pages 255-270, Brittany Cole, Jonathan Daigle, Bonnie F. Van Ness, Robert A. Van Ness
Chapter 16 - Why Accountants Should Care about High Frequency Trading, Pages 271-277, Dov Fischer
Chapter 17 - High-Frequency Trading under Information Regimes, Pages 279-303, Erick Rengifo, Rossen Trendafilov
Chapter 18 - Effects of Firm-Specific Public Announcements on Market Dynamics: Implications for High-Frequency Traders, Pages 305-326, Erdinç Akyıldırım, Albert Altarovici, Cumhur Ekinci
Chapter 19 - Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment Series, Pages 327-344, David E. Allen, Michael J. McAleer, Abhay K. Singh
Chapter 20 - High-Frequency Technical Trading: Insights for Practitioners, Pages 347-357, Camillo Lento, Nikola Gradojevic
Chapter 21 - High-Frequency News Flow and States of Asset Volatility, Pages 359-383, Kin-Yip Ho, Yanlin Shi, Zhaoyong Zhang
Chapter 22 - News Releases and Stock Market Volatility: Intraday Evidence from Borsa Istanbul, Pages 385-395, M. Nihat Solakoglu, Nazmi Demir
Chapter 23 - The Low-Risk Anomaly Revisited on High-Frequency Data, Pages 397-424, Kris Boudt, Giang Nguyen, Benedict Peeters
Chapter 24 - Measuring the Leverage Effect in a High-Frequency Trading Framework, Pages 425-446, Imma Valentina Curato, Simona Sanfelici
Index, Pages 447-454