- Hardcover: 320 pages
- Publisher: Wiley; 2 edition (April 22, 2013)
- Language: English
- ISBN-10: 1118343506
- ISBN-13: 978-1118343500
- Product Dimensions: 7.3 x 1.1 x 10.3 inches
- Shipping Weight: 1.5 pounds (View shipping rates and policies)
- Average Customer Review: 13 customer reviews
- Amazon Best Sellers Rank: #924,121 in Books (See Top 100 in Books)
Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
To get the free app, enter your mobile phone number.
Other Sellers on Amazon
+ $3.99 shipping
+ Free Shipping
+ Free Shipping
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems Hardcover – April 22, 2013
|New from||Used from|
The Amazon Book Review
Author interviews, book reviews, editors picks, and more. Read it now
Frequently bought together
Customers who bought this item also bought
PLEASE NOTE THAT AMAZON.COM APPEARS TO BLOCK SELECTED POSITIVE CUSTOMER REVIEWS FOR THIS BOOK! (Positive reviews enter "pending for 48 hours" status, and then never make it to the book's page)
From the Author
High-Frequency Trading Today
As time passes, HFT continues to evolve. HFT programs are smarter, better, and more advanced. The largest part of HFT today is devoted to market-making, a traditionally-human activity that is now being automated almost entirely, reducing transaction costs for all investors in the process. Market-making strategies are extensively covered in the 2nd edition of the book. Order execution models facilitating block trades are now dynamic, extending far beyond VWAP in complexity and skill. HFT risk management models and frameworks discussed in detail in the 2nd edition have come of age, too, driven by the desire of stable, consistently profitable operations.
The second edition of high-frequency trading incorporates important developments over the past four years. The book is completely rewritten based on my own trading and portfolio management experiences at ABLE Alpha Trading and our investment consulting clients, the classroom training sessions I've been leading with executives in the investments, brokerage, and trading business all over the world via HFTTraining.com, as well as my graduate students in the department of Finance and Risk Engineering in New York University, Polytechnic Institute, where I've been called upon to serve as an Industry Assistant Professor. The opportunity to explain my research to someone else, both relative novices at NYU and 20-40 year industry veterans at HFTTraining.com, made me rethink the organization of the book to streamline the exposition and to just make it better overall. While the 1st edition of my book detailed many data-driven models, the 2nd edition takes the explanation of old and brand-new HFT models to the next level, often presenting sophisticated ready-to-use frameworks.
Perhaps the most important development over the past four years has been an unparalleled adoption of high-frequency data for analysis and use. It can be hard to believe, but just four years ago many trading desks at top institutions did not think of archiving tick data beyond the 21-day audit trail required then by the regulators. With the realization that historical tick data is a useful and cost-effective tool in development of automated trading strategies, many organizations have been building up the data and competencies in the area. The materials in the new, 2nd, edition of the book cover the requirements of entering the HFT space and other relevant considerations.
HFT is no longer just a convenient way to trade. It is a solid part of Big Data Finance, and is here to stay. I had a great pleasure writing the book with the forward-looking Big-Data outlook in mind, and I hope you will enjoy reading it.
Top customer reviews
There was a problem filtering reviews right now. Please try again later.
That said, there are quite a few ideas here that might be useful in trading systems development generally. If you're a newcomer to systems development then you should read this in time when you can't be doing more productive things.
The book is well organized and illustrated with numerous graphs, tables and formulas that facilitate comprehension of the subject matter. Speculators familiar with algorithmic trading may see direct application to their current strategies as implemented on available commercial trading platforms. Professional money managers get a glimpse behind the smokescreen that that shrouds HFT enabling development of risk-mitigation strategies suited to the evolving world of high-frequency trading. Regulatory personnel can familiarize with the terminology, technologies and strategies to ask better informed questions leading the way to effective policies that limit market manipulation while minimizing harmful unintended consequences.
As a private speculator with experience programming and operating algorithmic trading systems on somewhat longer timeframes than microseconds, I find Irene Aldridge's "High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems" an informative and useful reference book on the subject. Whether or not the shortcomings noted by other reviewers are technically correct they do not detract from the overall value of the material towards a better understanding of the field of high-frequency trading. I rate this book five stars on the basis that it should be on every trader's bookshelf.
Once Mrs. Aldridge deals with technical details, she makes (almost all) a severe blunder. E.g. FPGAs are used for HFT in accelerator-cards. I have some experience in FPGA based HPC applications (,). It is obvious that she has not the slightest idea about FPGAs. This was noted by other reviewers too. It is quite strange that she denies in a comment heir incompetence.
The book is full of odd technical remarks: "Genetic algorithms learn from past forecasts via the so called Bayesian approach". In fact Genetic algorithms and Bayesian methods are two independent concepts. There are any details missing, how this learning is done.
There is only one HFT-specific chapter. Mrs. Aldridge defends the HFT-business against allegations of other market participants and market-regulators. This part is also superficial and basically HFT-PR: HFT provides additional liquidity and liquidity is beneficial.
In my view nobody understands the market-mechanism. According the Geometric Brownian-motion standard model there should be regular market desasters, because a Brownian-motion is non stationary. One would have to establish on each day a commission to find out, why the markets have worked fine today. This is the miracle and not the (flash-)crash. The Pro- and Cons- about HFT are therefore sentiments and not sound scientific conclusions.
Trading is a zero-sum-game. The wins of the HFT-traders are paid from the pockets of the underpowered gamers.
But nobody acts in this game to the beneficial of the real-economy or even humanity. Practically all of trading is speculation. It happens also on the poker-server that the pros rip off the amateurs. Who laments about the bad HFT-guys should simply engage Chrilly. He will build him a trading-Hydra.
The appendant website is as scanty as the book. One has to enter a password from page 320 of the book. But the second editions ends already at page 306. Obviously nobody carred to update the website for the second edition.
The references mention several working papers of Mrs. Aldridge. But only a few of them are available for download. I assume that the entropy of these papers is anyway close to the thermodynamic equilibrium.
 Ch. Donninger and U. Lorenz. The Hydra Project. XilinX Journal (selected paper), Issue 53, 2005
 Ch. Donninger, U. Lorenz. The Chess Monster Hydra. Proc. of 14th International Conference
on Field-Programmable Logic and Applications (FPL), 2004, Antwerp – Belgium, LNCS
3203, pp. 927 – 932, eds. J. Becker, M. Platzner, S. Vernalde