Algorithmic and High-Frequency Trading

by Álvaro Cartea

The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.

Genres: Finance, Economics, Programming

356 pages, Hardcover

First published July 29, 2015

Reviews

[Suyash Mallik · Rating 4 out of 5]

Highly practical, enjoyed it. I wish they'd have gone into more depth on market making strategies, instead of devoting half the pages to liquidation. I think the latter just appeals more to academics because they find it more mathematically tractable - while I understood none of the math. I'm going through the appendix and re-reading some parts after writing this review.