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High-Frequency Trading
New Realities for Traders, Markets and Regulators
Discipline: Regulation
No of pages: 236
First published:
ISBN: 9781782720096
This is the survival guide for trading in a world where high-frequency trading predominates in markets, accounting for upwards of 60% of trading in equities and futures, and 40% in foreign exchange. High-frequency trading is the subject of extensive debate, particularly as to whether it is beneficial for traders and markets or instead allows some traders to benefit at others expense. This book provides you with an important overview and perspective on this area, with a particular focus on how low-frequency traders and asset managers can survive in the high frequency world.
Contents
The Volume Clock: Insights into the High-Frequency Paradigm
Execution Strategies in Equity Markets
Execution Strategies in Fixed Income Markets
High-Frequency Trading in FX Markets
Machine Learning for Market Microstructure and High-Frequency Trading
A “Big Data” Study of Microstructural Volatility in Futures Markets
Liquidity and Toxicity Contagion
Do Algorithmic Executions Leak Information?
Implementation Shortfall with Transitory Price Effects
The Regulatory Challenge of High-Frequency Markets