Wow! eBook
High-frequency Trading
Author(s): Maureen O'Hara (Author, Editor), David Easley (Editor), Marcos Lopez de Prado (Editor)
- Publisher: Risk Books
- Publication Date: 21 Oct. 2013
- Language: English
- Print length: 236 pages
- ISBN-10: 178272009X
- ISBN-13: 9781782720096
Book Description
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:
– Machine Learning for Market Microstructure and High-Frequency Trading (Michael Kearns and Yuriy Nevmyvaka)
– Execution Strategies in Fixed Income Markets (Robert Almgren)
– The Regulatory Challenge of 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 and academics.
Editorial Reviews
Review
The concept of high frequency trading too often evinces irrational fears and opposition. This book, by experts in the field, unveils the mysteries, records the facts and sets out the real pros and cons of such mechanisms. –Charles Goodhart, Fellow of the British Academy, and Emeritus Professor at the London School of Economics
Easley, Lopez de Prado, and O Hara have produced a classic that everyone should have on their shelves. –Attilio Meucci, Chief Risk Officer at KKR, and Founder of SYMMYS
About the Author
Marcos López de Prado is head of quantitative trading and research at HETCO, the trading arm of Hess Corporation, a Fortune 100 company. Previously, Marcos was head of global quantitative research at Tudor Investment Corporation, where he also led high-frequency futures trading. In addition to more than 15 years of investment management experience, Marcos has received several academic appointments, including postdoctoral research fellow of RCC at Harvard University, visiting scholar at Cornell University, and research affiliate at Lawrence Berkeley National Laboratory (US Department of Energy s Office of Science).Marcos holds two doctorate degrees from Complutense University, is a recipient of the National Award for Excellence in Academic Performance (Government of Spain), and was admitted into American Mensa with a perfect test score.
Maureen O Hara is the Robert W. Purcell professor of finance at the Johnson Graduate School of Management, Cornell University. Her research focuses on market microstructure, and she is the author of numerous journal articles as well as the book Market Microstructure Theory. Maureen serves on several corporate boards, and is chairman of the board of ITG, a global agency brokerage firm. She is a member of the CFTC-SEC Emerging Regulatory Issues Task Force (the flash crash committee), the Global Advisory Board of the Securities Exchange Board of India (SEBI) and the Advisory Board of the Office of Financial Research, US Treasury.
