영문목차
Contents
Acknowledgments xi
CHAPTER 1 Introduction 1
CHAPTER 2 Evolution of Hlgh-Frequency Trading 7
CHAPTER 3 Overview of the Buslness of High-Frequency Trading 21
CHAPTER 4 Financial Markets Suitable for High-Frequency Trading 37
CHAPTER 5 Evaluatlng Performance of High-Frequency Strategies 49
CHAPTER 6 Orders, Traders, and Their Applicability to High-Frequency Trading 61
CHAPTER 7 Market Inefficiency and Profit Opportunities at Different Frequencies 75
CHAPTER 8 Searching for High-Frequency Trading Opportunities 91
CHAPTER 9 Working with Tick Data 115
CHAPTER 10 Trading on Market Microstructure: Inventory Models 127
CHAPTER 11 Trading on Market Microstructure: Information Models 145
CHAPTER 12 Event Arbitrage 165
CHAPTER 13 Statistical Arbitrage in High-Frequency Settings 185
CHAPTER 14 Creating and Managing Portfolios of High-Frequency Strategies 201
CHAPTER 15 Back-Testing Trading Models 219
CHAPTER 16 Implementing High-Frequency Trading Systems 233
CHAPTER 17 Risk Management 251
CHAPTER 18 Executing and Monitoring High-Frequency Trading 273
CHAPTER 19 Post-Trade Profitability Analysis 283
References 303
About the Web Site 323
About the Author 325
Index 327