Description
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
Trading Activity1. High-Frequency Activity on NASDAQ2. Profitability as a Function of the Holding Period with Implications for High Frequency Trading3. Data Characteristics for High-Frequency Trading Systems4. The Relavance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High Frequency Financial Data: Evidence from ASEN Stock Markets5. The Closer the Better? High Frequency Trading and Limitations to Arbitrage Opportunities in Spatially Segmented Markets6. EU High Frequency Trading Regulation: Mandatory Disclosure and New InvestorsEvolution and the Future7. High Frequency Trading: Implications for Market Efficiency and Fairness8. Revisioning Revisionism: A Glance at HFT's Critics9. High Frequency Trading: Evolution and Future10. High Frequency Trading and Predatory Behavior in the Australian Equity Markets11. Global Stock Exchanges in the High Frequency Trading VortexLiquidity and Execution12. Measuring Equity Market Liquidity with High Frequency Trading Data13. We Missed It Again! Why So Many Market Orders in the High Frequency FX Trading Fail to be Executed14. On The Sharpe Ratio for High Frequency TradersImpact of News Releases15. Do High Frequency Traders Care About Earnings Announcements? An Analysis of Trading Activity Before, During, and After Regular Trading Hours16. Why Accountants Should Care About High Frequency Trading17. High Frequency Trading under Information Regimes18. Effects of Firm-Specific Public Announcements on Market Dynamics: Implications for High Frequency Traders19. Machine News and Volatillity: The Dow Jones Industrial Average and the TRNA Real-Time High Frequency Sentiment SeriesImpact of Volatility20. Technical Trading Strategies at High Frequency: Insights for Practitioners21. High-Frequency News Flow and States of Asset Volatility22. News Releases and Stock Market Volatility: Intraday Evidence from Borsa Istanbul23. The Low Risk Anomaly Revisited on High Frequency Data24. Measuring the Leverage Effect in a High Frequency Framework
