This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. 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. The authors also discuss technical details of the IT system design for high-frequency trading.
Contents:
Introduction
Market Microstructure
Some Basic HFT Strategies
IT System
Stationary Process and Ergodicity
Stationarity and Technical Analysis
HFT of a Single Asset
Bid, Ask and Trade Prices
Financial Engineering
Debate and Future
Readership: Graduates and researchers interested in frequency trading; finance professionals.
Key Features:
Reveals algorithms and scientific background of high-frequency trading
Reveals the IT system preparation for high-frequency trading
Emphasizes that technical analysis is not pseudo-science
