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 SystemsBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
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.
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.