Algo and HF Trading
4 stars based on
Here you will find some information about our book, sample codedataand errata. In this high frequency trading algorithmic strategies, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders adverse selectionand the type of information available to market participants at both ultra-high and low frequency.
Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice.
If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the high frequency trading algorithmic strategies of the algorithms, then this is the book for you. Oxford University Sebastian Jaimungal. University of Toronto Jose Penalva. Human traders in financial markets are an endangered species, gradually replaced by computers and high frequency trading algorithmic strategies.
In this new world, designing and coding trading strategies requires knowledge of high frequency trading algorithmic strategies microstructure, basic economic principles governing price formation in financial markets, and stylized facts about price dynamics and trading activity.
It also requires specific mathematical tools, such as stochastic control, and understanding of how these tools are used to solve trading problems.
Algorithmic and High-Frequency Trading is unique in that it provides a unified treatment of these topics. I enjoyed reading it and recommend it highly to students or practitioners interested in mathematical models used in algorithmic trading. Other books cover the mechanics and statistics of high-frequency market dynamics, but none covers the mathematical aspects to this depth.
It would be a great textbook for a graduate course in optimal trading. It fills a significant gap by bringing cutting-edge mathematical models to bear on the analysis and implementation of practical algorithms.
Using a unique blend of microstructure theory, financial data analysis, and mathematical models, the authors walk the reader through the maze of the high-frequency markets, detailing how the exchanges work, and what kind of data they generate.
Trading algorithms and their practical implementations are described in easy-to-understand prose, and illustrated with enlightening simulations. This text is ideal for graduate students and researchers in financial mathematics and engineering, as well as for practitioners already working in the field. The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. The first book on the mathematics of algorithmic trading Combines market microstructure, data and algorithms in one place Ideal for a one-semester course at graduate level.
Sebastian JaimungalUniversity of Toronto.