High-Frequency Trading

Praise for High-Frequency Trading, Second Edition

"High-Frequency Trading, Second Edition tells the fascinating story of how computers came to dominate modern financial markets. Irene Aldridge guides the reader through the intellectual ideas that have allowed this revolution to occur, from the economic, technological, and regulatory points of view." - Sasha Stoikov, Senior Research Associate, ORIE, Cornell University

"High-frequency trading is a complex subject at the nexus of advances in market microstructure, computer science, and financial data analysis. This book handles the topic in a comprehensive manner, making it accessible to a lay reader, yet providing enough detail for sophisticated industry practitioners and scientists." - Charles S. Tapiero, Topfer Distinguished Professor of Financial Engineering and Technology Management, Chair, Department of Finance and Risk Engineering, New York University Polytechnic Institute, and Coeditor in Chief, Risk and Decision Analysis

While interest in high-frequency trading (HFT) continues to grow, there is still very little meaningful information available to help investors understand and implement HFT systems. That's why industry expert Irene Aldridge has returned with the Second Edition of High-Frequency Trading. Incorporating the latest research and questions that have come to light since the publication of the first edition, this reliable resource has everything you need to gain a firm grip on how HFT works and what it takes to apply this proven approach to your trading endeavors. Covering various aspects of HFT—from trading strategies to risk management and regulation—this book will put you in a better position to excel in today's turbulent markets.

Includes:

• Customizable teaching slides
• Basic C/C++ code for estimating regression coefficients
• A sample of tick data
• Continuously updated resources, including research papers and news.