This book covers all aspects of high-frequency trading, from formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies (with some like market microstructure, event arbitrage, and deviations arbitrage being discussed in great detail) and tools and techniques for how to build a high-frequency trading system. Finally, High-Frequency Trading discusses the post-trade analysis process, including key performance benchmarks and trade quality evaluation.
量化投資方法正受到廣大機(jī)構(gòu)投資者越來越多的關(guān)注，其代表者吉姆·西蒙斯在股市下行的2008年中將25億美元的收益收入囊中。高頻交易作為量化投資的重要方法，也引起了海內(nèi)外投資界的廣泛興趣。據(jù)不完全統(tǒng)計(jì)，2008年采用傳統(tǒng)低頻交易的投資者有70％處于虧損狀態(tài)。而高頻交易基金經(jīng)理幾乎都在當(dāng)年實(shí)現(xiàn)了贏利。 那么究竟何為高頻交易？高頻交易背后的原理是什么？量化投資者又是怎樣利用這一工具實(shí)現(xiàn)驚人收益的呢？ 《高頻交易》作者艾琳·奧爾德里奇站在專業(yè)的高度，用平實(shí)的語言和豐富的圖表，帶我們走進(jìn)量化投資的黑匣子?！陡哳l交易》向我們展示了這臺(tái)復(fù)雜的“金融機(jī)器”是如何運(yùn)作的。書中的內(nèi)容涵蓋了高頻交易的方方面面（從形成想法到開發(fā)交易系...This book covers all aspects of high-frequency trading, from formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies (with some like market microstructure, event arbitrage, and deviations arbitrage being discussed in great detail) and tools and techniques for how to build a high-frequency trading system. Finally, High-Frequency Trading discusses the post-trade analysis process, including key performance benchmarks and trade quality evaluation.
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