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

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About the Web Site

This book is accompanied by a web site, http://www.hftradingbook.com. The web site supplements the materials in the book with practical algorithms and data, allowing the registered readers to develop, test, and deploy selected trading strategies featured in the book.

To receive these free benefits, you will need to follow two simple steps:

  • Visit the book's web site at http://www.hftradingbook.com.

  • Follow the instructions on the web site to register as a new user. You will need a password from this book to complete the registration process. The password is: high-frequency.

WHAT YOU WILL FIND ON THE WEB SITE

By logging onto your account at www.hftradingbook.com, you will be able to browse and download valuable code for selected algorithms discussed in the book. These are the algorithms that will be accessible to registered site users:

  • The market-making model of Avellaneda and Stoikov (2008), discussed in Chapter 10

  • An intraday equity arbitrage strategy, presented in Chapter 13

  • A market-neutral arbitrage strategy, also from Chapter 13

  • A classic portfolio-optimization algorithm of Markowitz (1952), explained in Chapter 14

  • The Strike execution algorithm from Chapter 18

In addition to the programming code, the web site provides tick data samples on selected instruments, well suited for testing the algorithms and for developing new trading models.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

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No credit card required