High-Frequency Trading Models + Web Site 9780470633731 azw3 chm 地址 kindle 阿里云 下载 umd pdf

　　HighfrequencytradinghassweptWallStreetinthepastyear,creatingstunningprofitsfortoptierbanksandspecializedtradingfirms.Giventhesuccess,manyhedgefundsandothertypesoftradingfirmsareimplementingorexpandinghighfrequencystrategies.Ascompetitionincreases,existingstrategieswillbecomelessprofitableandnewhigh-frequencystrategieswillbedeveloped.InHighFrequencyTradingModels+Website,Dr.GeweiYedescribesthetechnology,architecture,andalgorithmsunderlyingcurrenthighfrequencytradingmodels,suchasrebatetrading,arbitrage,flashtrading,andothertypesoftrading,whichexploitorderflowimbalancesandtemporarypricinginefficiencies.HeexplainshowtodevelopaHFTtradingsystemandintroduceshisownsystemforbuildinghighfrequencystrategiesbasedonbehavioralalgorithms.Finally,hediscusseshowtoimprovecurrentinstitutionalHFTstrategiesandsuggestsdirectionsfornewstrategies.

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　　Gewei Ye, PhD, teaches graduate-level courses on financial engineering, derivatives, and program trading strategies at Johns Hopkins University. Recently, he has released the Sentiment Asset Pricing Engine (SAPE), a Web-based strategy builder for algorithmic trading and high-frequency trading systems. Dr. Ye has been a senior architect or consultant for investment and technology companies such as CitiBank, T. Rowe Price, Federal Reserve Banks, and IBM. He has published about forty articles in peer-reviewed journals or conference proceedings and has been building financial models and computing systems for ten years. Dr. Ye earned a PhD degree from University of Tilburg, the Netherlands.

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书籍介绍

A hands-on guide to high frequency trading strategies and models Accounting for over sixty percent of stock market trading volume and generating huge profits for a small number of firms, high frequency trading is one of the most talked about topics in the world of finance. Given the success of this approach, many firms are quickly beginning to implement their own high frequency strategies. In High Frequency Trading Models, Dr. Gewei Ye describes the technology, architecture, and algorithms underlying current high frequency trading models, which exploit order flow imbalances and temporary pricing inefficiencies. Along the way, he explains how to develop a HFT trading system and introduces you to his own system for building high frequency strategies based on behavioral algorithms. Discusses how to improve current institutional HFT strategies and suggests directions for new strategies Companion Website includes algorithms and models discussed throughout the book Covers essential topics in this field, including rebate trading, arbitrage, flash trading, and other types of trading Engaging and informative, High Frequency Trading Models is a must-read for anyone who wants to stay ahead of the curve in this hot new area.