IDEAS home Printed from https://ideas.repec.org/b/eee/monogr/9780128022054.html
   My bibliography  Save this book

Handbook of High Frequency Trading

Editor

Listed:
  • Gregoriou, Greg N.

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

Suggested Citation

  • Gregoriou, Greg N. (ed.), 2015. "Handbook of High Frequency Trading," Elsevier Monographs, Elsevier, edition 1, number 9780128022054.
    • Handle: RePEc:eee:monogr:9780128022054
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/book/9780128022054
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    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;
    All these keywords.

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:monogr:9780128022054. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: http://www.sciencedirect.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.