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High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems by Irene Aldridge

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References

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V. Agarwal and N.Y. Naik, 2004. "Risk and Portfolio Decisions Involving Hedge Funds." Review of Financial Studies 17 (1), 63–98.

R. Aggarwal and D.C. Schirm, 1992. "Balance of Trade Announcements and Asset Prices: Influence on Equity Prices, Exchange Rates, and Interest Rates." Journal of International Money and Finance 11, 80–95.

H. Ahn, K. Bae and K. Chan, 2001. "Limit Orders, Depth and Volatility: Evidence from the Stock Exchange of Hong Kong." Journal of Finance 56, 767–788.

M. Aitken, N. Almeida, F. Harris and T. McInish, 2005. "Order Splitting and Order Aggressiveness in Electronic Trading." Working paper.

R.A. Ajayi and S.M. Mehdian, 1995. "Global Reactions of Security Prices to Major US-Induced Surprises: An Empirical Investigation." Applied Financial Economics 5, 203–218.

Zinat Shaila Alam and Tkatch Isabel, 2007. "Slice Order in TASE—Strategy to Hide?" Working paper, Georgia State University.

Irene Aldridge, 2008. "Systematic Funds Outperform Peers in Crisis." HedgeWorld (Thomson/Reuters), November 13, 2008.

Irene Aldridge, 2009a. "Measuring Accuracy of Trading Strategies." Journal of Trading 4, Summer 2009, 17–25.

Irene Aldridge, 2009b. "Systematic Funds Outperform Discretionary Funds." Working paper.

Irene Aldridge ...

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