High-Frequency Trading and Probability Theory (East China Normal University Scientific Reports)
| Author | : | |
| Rating | : | 4.87 (888 Votes) |
| Asin | : | B00PBXD3DC |
| Format Type | : | |
| Number of Pages | : | 435 Pages |
| Publish Date | : | 2013-07-18 |
| Language | : | English |
DESCRIPTION:
From the Inside Flap This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors also discuss technical details of the IT system design for high-frequency trading. . The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. Investors who believe in technical analysis will find out how to verify the efficiency of their techn
He was the CEO of Shanghai Futures Information Technology Corp. He is an expert in high performance system design. Weian Zheng was professor of mathematics at the University of California, Irvine, USA for 21 years. During this time, he designed the trading system for Shanghai Futures Exchange, China Finance Futures Exchange and many other systems in area of finance. Zhaodong Wang obtained his PhD degree in computer science
The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors also discuss technical details of the IT system design for high-frequency trading.Contents:IntroductionMarket MicrostructureSome Basic HFT StrategiesIT SystemStationary Process and ErgodicityStationarity and Technical AnalysisHFT of a Single AssetBid, Ask and Trade PricesFinancial EngineeringDebate and FutureReadership: Graduates and researchers interested in frequency trading; finance professionals. Key Features:Reveals algorithms and scientific background of high-frequency tradingReveals the IT system preparation for high-frequency tradingEmphasizes that technical analysis is not pseudo-science. The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic.Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis
Highly recommend Maxim I'm very glad to have selected this book. It is by no means a complete guide to HFT, in fact the book is quite small, but it fits perfectly for readers like me, who have some general knowledge of financial theory and algorithmic traiding and wish to know real issues and challenges in this area. The sections on market microstructure, IT infrastructure, basic strategies are clearly written by practitioners and for practitioners, which I find exceptionally useful.Besides this is the first book I see that touches upon theoretical explanation of "technical analysis", a domain some traders simply believe in blindly and some equally blindl