Risk HFT Flyer
Risk HFT Flyer
High-Frequency Trading
New Realities for Traders, Markets and Regulators
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Contents
Preface xv
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HIGH-FREQUENCY TRADING
vi
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vii
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ix
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HIGH-FREQUENCY TRADING
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xi
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HIGH-FREQUENCY TRADING
xii
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xiii
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Preface
xv
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HIGH-FREQUENCY TRADING
xvi
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PREFACE
xvii
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HIGH-FREQUENCY TRADING
xviii
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PREFACE
xix
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HIGH-FREQUENCY TRADING
ACKNOWLEDGEMENTS
We thank our outstanding co-authors and the editors at Risk Books
(particularly, Sarah Hastings) for making this book possible.
1 Latency is a measure of time delay in a system. In the context of trading financial assets, it
refers to the time it takes to get orders from a trader’s computer to the trading venue (and,
depending on context, it may also include the time to confirm trades back to the trader).
Latencies in high-frequency markets are often measured in milliseconds (thousandths of a
second), or even microseconds (millionths of a second).
2 Volume-synchronised probability of informed trading (VPIN) is a measure of order imbalance
and it signals when the order flow is likely to be disadvantageous, or “toxic”, to market
makers. High toxicity can cause market makers to withdraw from the market, and this can
lead to disruptions in liquidity provision. Because of this linkage, VPIN can signal future
toxicity-related volatility in markets: an issue of importance to both regulators and traders.
xx
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Special offer: free post and
packaging with this order form
High-Frequency
Trading
New Realities for Traders,
Markets and Regulators
Edited By
David Easley, Marcos López de Prado, and Maureen O’Hara
A Survival Guide to High-Frequency Trading
Equip yourself with this book to gain a full execution algorithms and how markets inter-
understanding of high-frequency trading. What connect in new ways that affect volatility and
opportunities are available for you to take market stability. Contributors also discuss the
advantage of? Do new regulations affect you? new regulatory challenges that arise in the high-
How might your competitors be using high- frequency world.
frequency trading? Can you compete in the high-
frequency world? Chapters include:
• High-Frequency Trading Strategies in FX
High-frequency trading now predominates in Markets (Anton Golub, Alexandre Dupuis,
markets, with upwards of 60% of trading in Richard B. Olsen)
equities and futures, and 40% in foreign • Execution Strategies in Fixed Income Markets
exchange. It is the subject of extensive debate, (Robert Almgren)
particularly as to whether it is beneficial for • The Regulatory Challenge of High-Frequency
traders and markets or instead allows some Markets (Oliver Linton, Maureen O’Hara and
traders to benefit at others expense. This book J.P. Zigrand)
provides you with an important overview and • Machine Learning for Market Microstructure
perspective on this area, with a particular focus and High-Frequency Trading (Michael Kearns
on how low-frequency traders can survive in the and Yuriy Nevmyvaka)
high frequency world.
Price
£85
This book is essential reading for anybody who
With chapters written by the leading practitioners wants or needs to learn about this changing
Format:
Paperback
and academics in the area the book will show subject area, including institutional traders,
ISBN: you how issues such as big data come into play, exchanges and trading system operators,
978-1-782720-09-6 how high-frequency should affect optimal regulators and academics.
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Risk Books, Haymarket House, 28-29 Haymarket,
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ISBN 978-1-782720-09-6 Format Paperback
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