Book description
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.
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.
