High Frequency Trading Models
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High Frequency Trading Models

By Gewei Ye
John Wiley & Sons January 2011

Specifications

ISBN-13
9780470633731
Publisher
John Wiley & Sons
Publication
January 2011
Format
Hardback , 322 pages
Jurisdiction
International ? Countri(es) for reference only

Details

A hands-on guide to high frequency trading strategies and models

Accounting for over sixty percent of stock market trading volume and generating huge profits for a small number of firms, high frequency trading is one of the most talked about topics in the world of finance. Given the success of this approach, many firms are quickly beginning to implement their own high frequency strategies.

In High Frequency Trading Models, Dr. Gewei Ye describes the technology, architecture, and algorithms underlying current high frequency trading models, which exploit order flow imbalances and temporary pricing inefficiencies. Along the way, he explains how to develop a HFT trading system and introduces you to his own system for building high frequency strategies based on behavioral algorithms.

  • Discusses how to improve current institutional HFT strategies and suggests directions for new strategies
  • Companion Website includes algorithms and models discussed throughout the book
  • Covers essential topics in this field, including rebate trading, arbitrage, flash trading, and other types of trading

 

Engaging and informative, High Frequency Trading Models is a must-read for anyone who wants to stay ahead of the curve in this hot new area.

Table of Contents

Preface.

Acknowledgments.

PART I Revenue Models of High-Frequency Trading.

CHAPTER 1 High-Frequency Trading and Existing Revenue Models.

What Is High-Frequency Trading?

Why High-Frequency Trading Is Important.

Major High-Frequency Trading Firms in the United States.

Existing Revenue Models of High-Frequency Trading Operations.

Categorizing High-Frequency Trading Operations.

Conclusion.

CHAPTER 2 Roots of High-Frequency Trading in Revenue Models of Investment Management.

Revenue Model 1: Investing.

Revenue Model 2: Investment Banking.

Revenue Model 3: Market Making.

Revenue Model 4: Trading.

Revenue Model 5: Cash Management.

Revenue Model 6: Mergers and Acquisitions.

Revenue Model 7: Back-office Activities.

Revenue Model 8: Venture Capital.

Creating Your Own Revenue Model.

How to Achieve Success: Four Personal Drivers.

Conclusion.

CHAPTER 3 History and Future of High-Frequency Trading with Investment Management.

Revenue Models in the Future.

Investment Management and Financial Institutions.

High-Frequency Trading and Investment Management.

Technology Inventions to Drive Financial Inventions.

The Ultimate Goal for Models and Financial Inventions.

Conclusion.

PART II Theoretical Models as Foundation of Computer Algos for High-Frequency Trading.

CHAPTER 4 Behavioral Economics Models on Loss Aversion.

What Is Loss Aversion?

The Locus Effect.

Theory and Hypotheses.

Study 1: The Locus Effect on Inertia Equity.

Study 2: Assumption A1 and A2.

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About the Author

GEWEI YE, PhD, teaches graduate-level courses on financial engineering, derivatives, and program trading strategies at Johns Hopkins University. Recently, he has released the Sentiment Asset Pricing Engine (SAPE), a Web-based strategy builder for algorithmic trading and high-frequency trading systems (http://sap.yeswici.com). Dr. Ye has been a senior architect or consultant for investment and technology companies such as CitiBank, T. Rowe Price, Federal Reserve Banks, and IBM. He has published about forty articles in peer-reviewed journals or conference proceedings and has been building financial models and computing systems for ten years. Dr. Ye earned a PhD degree from University of Tilburg, the Netherlands.

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