Handbook of High Frequency Trading [Hardcover]

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

Trading Activity

1. High-Frequency Activity on NASDAQ

2. Profitability as a Function of the Holding Period with Implications for High Frequency Trading

3. Data Characteristics for High-Frequency Trading Systems

4. The Relavance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High Frequency Financial Data: Evidence from ASEN Stock Markets

5. The Closer the Better? High Frequency Trading and Limitations to Arbitrage Opportunities in Spatially Segmented Markets

6. EU High Frequency Trading Regulation: Mandatory Disclosure and New Investors