New PDF release: All About High-Frequency Trading

By Michael Durbin

ISBN-10: 0071743448

ISBN-13: 9780071743440

A precise PRIMER ON modern day such a lot refined AND debatable buying and selling TECHNIQUE

Unfair . . . really good . . . unlawful . . . inevitable. High-frequency buying and selling has been defined in lots of alternative ways, yet something is for sure--it has reworked making an investment as we all know it.

All approximately High-Frequency Trading examines the perform of deploying complex desktop algorithms to learn and interpret industry task, make trades, and pull in large profi ts―all inside milliseconds. no matter what your point of making an investment services, you are going to achieve important perception from All approximately High-Frequency Trading's sober, target factors of:

  • The markets during which high-frequency investors function
  • How high-frequency investors profi t from mispriced securities
  • Statistical and algorithmic suggestions utilized by high-frequency investors
  • Technology and methods for construction a high-frequency buying and selling process
  • The ongoing debate over the benefi ts, dangers, and ever-evolving way forward for high-frequency trading

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Example text

The routine for starting your car is an algorithm. So is my special recipe for margaritas. And so are the things market-makers do—but they aren’t considered algorithmic traders. Go figure. So because investors using automated trading techniques are known as algorithmic traders, the strategies here are also known as algorithmic strategies. They are also sometimes known as automated trading, black-box trading, or robo trading strategies (despite, again, those terms doing quite a good job of describing what a market-maker does as well).

There’s more to the order book than the BBO or top of book. There are also not-quite-best bids and not-quite-best offers maintained on the order book, like this: . . 12|950 . . Here we see part of what’s known as a depth of book view of a sample market. 10. These off-market quotes sit in the wings, as it were, waiting to go on stage. 00 bidder, that bid would be removed from the market and the best bid would become 550 bid for 99 cents. (Selling at a bid, by the way, is known as hitting the bid.

Naturally, when investors trade, they want to do so at the best available price—the highest bid if they are selling and the lowest offer if they are buying. Tighter markets are better than wider markets for the investor. And, of course, investors want to keep their transaction costs—exchange and brokerage fees, for example—as low as possible. Within the investor category, we have both individual investors and institutional investors. The former is generally an individual person who makes trades directly, say via an online brokerage.

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All About High-Frequency Trading by Michael Durbin

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