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.
With chapters written by the leading practitioners and academics in the area the book will show you how issues such as big data come into play, how high-frequency should affect optimal execution algorithms and how markets inter-connect in new ways that affect volatility and market stability. Contributors also discuss the new regulatory challenges that arise in the high frequency world.
Chapters include:
- Machine Learning for Market Microstructure and High-Frequency Trading (Michael Kearns and Yuriy Nevmyvaka)
- Execution Strategies in Fixed Income Markets (Robert Almgren)
- The Regulatory Challenge of High-Frequency Markets (Oliver Linton, Maureen O Hara and J.P. Zigrand)
- Do Algo Executions Leak Information? (George Sofianos and JuanJuan Xiang)
This book is essential reading for anybody who wants or needs to learn about this changing subject area, including institutional traders, exchanges and trading system operators, regulators and academics.
David Easley is the Henry Scarborough professor of social science, professor of economics and professor of information science at Cornell University. He served as chair of the Cornell economics department from 1987 to 1993 and 2010 to 2012. He is a fellow of the Econometric Society and has served as an associate editor of numerous economics journals. David recently co-authored the book Networks, Crowds and Markets: Reasoning About a Highly Connected World, which combines scientific perspectives from economics, computing and information science, sociology and applied mathematics to describe the emerging field of network science.
Marcos López de Prado is head of quantitative trading and research at HETCO, the trading arm of Hess Corporation, a Fortune 100 company. Previously, Marcos was head of global quantitative research at Tudor Investment Corporation, where he also led high-frequency futures trading. In addition to more than 15 years of investment management experience, Marcos has received several academic appointments, including postdoctoral research fellow of RCC at Harvard University, visiting scholar at Cornell University, and research affiliate at Lawrence Berkeley National Laboratory (US Department of Energy s Office of Science).Marcos holds two doctorate degrees from Complutense University, is a recipient of the National Award for Excellence in Academic Performance (Government of Spain), and was admitted into American Mensa with a perfect test score.
Maureen O Hara is the Robert W. Purcell professor of finance at the Johnson Graduate School of Management, Cornell University. Her research focuses on market microstructure, and she is the author of numerous journal articles as well as the book Market Microstructure Theory. Maureen serves on several corporate boards, and is chairman of the board of ITG, a global agency brokerage firm. She is a member of the CFTC-SEC Emerging Regulatory Issues Task Force (the flash crash committee), the Global Advisory Board of the Securities Exchange Board of India (SEBI) and the Advisory Board of the Office of Financial Research, US Treasury.
