Handbook of High Frequency Trading

This comprehensive examination of high frequency trading looks beyond mathematical models, which are the subject of most HFT books, to the mechanics of the marketplace. In 25 chapters, researchers probe the intricate nature of high frequency market dynamics, market structure, back-office processes, and regulation. They look deeply into computing infrastructure, describing data sources, formats, and required processing rates as well as software architecture and current technologies. They also create contexts, explaining the historical rise of automated trading systems, corresponding technological advances in hardware and software, and the evolution of the trading landscape. Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy.

Answers all questions about high frequency trading without being limited to mathematical modellingIlluminates market dynamics, processes, and regulationsExplains how high frequency trading evolved and predicts its future developments

Trading Activity

1. High-Frequency Activity on NASDAQ

2. Profitability as a Function of the Holding Period with Implications for High Frequency Trading

3. Data Characteristics for High-Frequency Trading Systems

4. The Relavance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High Frequency Financial Data: Evidence from ASEN Stock Markets

5. The Closer the Better? High Frequency Trading and Limitations to Arbitrage Opportunities in Spatially Segmented Markets

6. EU High Frequency Trading Regulation: Mandatory Disclosure and New Investors

Evolution and the Future

7. High Frequency Trading: Implications for Market Efficiency and Fairness

8. Revisioning Revisionism: A Glance at HFT's Critics

9. High Frequency Trading: Evolution and Future

10. High Frequency Trading and Predatory Behavior in the Australian Equity Markets

11. Global Stock Exchanges in the High Frequency Trading Vortex

Liquidity and Execution

12. Measuring Equity Market Liquidity with High Frequency Trading Data

13. We Missed It Again! Why So Many Market Orders in the High Frequency FX Trading Fail to be Executed

14. On The Sharpe Ratio for High Frequency Traders

Impact of News Releases

15. Do High Frequency Traders Care About Earnings Announcements? An Analysis of Trading Activity Before, During, and After Regular Trading Hours

16. Why Accountants Should Care About High Frequency Trading

17. High Frequency Trading under Information Regimes

18. Effects of Firm-Specific Public Announcements on Market Dynamics: Implications for High Frequency Traders

19. Machine News and Volatillity: The Dow Jones Industrial Average and the TRNA Real-Time High Frequency Sentiment Series

Impact of Volatility

20. Technical Trading Strategies at High Frequency: Insights for Practitioners

21. High-Frequency News Flow and States of Asset Volatility

22. News Releases and Stock Market Volatility: Intraday Evidence from Borsa Istanbul

23. The Low Risk Anomaly Revisited on High Frequency Data

24. Measuring the Leverage Effect in a High Frequency Framework