December 2009
Intermediate to advanced
352 pages
8h 47m
English
book
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems
by Irene Aldridge
Content preview from High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems
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References
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, and , 2001. "Limit Orders, Depth and Volatility: Evidence from the Stock Exchange of Hong Kong." Journal of Finance 56, 767–788.
, , and , 2005. "Order Splitting and Order Aggressiveness in Electronic Trading." Working paper.
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and , 2007. "Slice Order in TASE—Strategy to Hide?" Working paper, Georgia State University.
, 2008. "Systematic Funds Outperform Peers in Crisis." HedgeWorld (Thomson/Reuters), November 13, 2008.
, 2009a. "Measuring Accuracy of Trading Strategies." Journal of Trading 4, Summer 2009, 17–25.
, 2009b. "Systematic Funds Outperform Discretionary Funds." Working paper.
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