High Frequency Trading Models by Gewei Ye

High Frequency Trading Models by Gewei Ye

ISBN-10 : 0470633735

ISBN-13 : 9780470633731

Publisher : Wiley; 1st edition (January 4, 2011)

A hands-on guide to high frequency trading strategies and models

Accounting for over sixty percent of stock market trading volume and generating huge profits for a small number of firms, high frequency trading is one of the most talked about topics in the world of finance. Given the success of this approach, many firms are quickly beginning to implement their own high frequency strategies.

In High Frequency Trading Models, Dr. Gewei Ye describes the technology, architecture, and algorithms underlying current high frequency trading models, which exploit order flow imbalances and temporary pricing inefficiencies. Along the way, he explains how to develop a HFT trading system and introduces you to his own system for building high frequency strategies based on behavioral algorithms.

Discusses how to improve current institutional HFT strategies and suggests directions for new strategies

Companion Website includes algorithms and models discussed throughout the book

Covers essential topics in this field, including rebate trading, arbitrage, flash trading, and other types of trading

Engaging and informative, High Frequency Trading Models is a must-read for anyone who wants to stay ahead of the curve in this hot new area.