High-frequency trading : new realities for traders, markets and regulators
著者
書誌事項
High-frequency trading : new realities for traders, markets and regulators
Risk Books, a division of Incisive Media Investments, c2013
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
With chapters written by the leading practitioners and academics in the area the book will show you how issues such as big data come into play, how high frequency should affect optimal execution algorithms and how markets inter-connect in new ways that affect volatility and market stability. Contributors also discuss the new regulatory challenges that arise in the high frequency world. Chapters include: - High Frequency Trading Strategies in FX Markets (Richard Olsen) - Execution Strategies in Fixed Income Markets (Robert Almgren) - The Regulatory Problems in High Frequency Markets (Oliver Linton, Maureen O'Hara and J.P. Zigrand) - Do Algo Executions Leak Information? (George Sofianos and JuanJuan Xiang) This book is essential reading for anybody who wants or needs to learn about this changing subject area, including institutional traders, exchanges and trading system operators, regulators, academics.
目次
1. Introduction - The New Paradigm in High Frequency Trading David Easley (Cornell University), Marcos Lopez de Prado (Hess Corporation), Maureen O'Hara (Cornell University) 2. High Frequency Trading Strategies in FX Markets Richard Olsen (Olsen Ltd) 3. Execution Strategies in Equity Markets Michael G Sotiropoulos (Bank of America Merrill Lynch) 4. Execution Strategies in Fixed Income Markets Robert Almgren (Quantitative Brokers) 5. Machine Learning and High Frequency Data Michael Kearns (University of Pennsylvania) and Yuriy Nevmyvaka (SAC Capital) 6. The Regulatory Problems in High Frequency Markets Oliver Linton (University of Cambridge), Maureen O'Hara (Cornell University) and J.P. Zigrand (LSE) 7. Microstructure Research Methodologies for HF Markets Terry Hendershott (University of California, Berkeley), Charles Jones (Columbia University), Albert Menkveld (VU University Amsterdam) 8. Do Algo Executions Leak Information? George Sofianos and JuanJuan Xiang (Goldman Sachs) 9. Volatility and Contagion David Easley (Cornell University), Robert Engle (NYU Stern School of Business), (Hess Corporation), Maureen O'Hara (Cornell University) 10. Risk Management in a High Frequency World David Easley (Cornell University), Marcos Lopez de Prado (Hess Corporation), Maureen O'Hara (Cornell University)
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