Get All About High-Frequency Trading (All About Series) PDF

By Michael Durbin

ISBN-10: 0071743448

ISBN-13: 9780071743440

ISBN-10: 0071743456

ISBN-13: 9780071743457

A specified PRIMER ON modern day such a lot refined AND debatable buying and selling TECHNIQUE

Unfair . . . marvelous . . . unlawful . . . inevitable. High-frequency buying and selling has been defined in lots of alternative ways, yet something is for sure--it has reworked making an investment as we all know it.

All approximately High-Frequency Trading examines the perform of deploying complex computing device algorithms to learn and interpret industry job, make trades, and pull in large profi ts―all inside of milliseconds. no matter what your point of making an investment services, you are going to achieve useful perception from All approximately High-Frequency Trading's sober, target reasons of:

  • The markets within which high-frequency investors function
  • How high-frequency investors profi t from mispriced securities
  • Statistical and algorithmic options utilized by high-frequency investors
  • Technology and methods for development a high-frequency buying and selling procedure
  • The ongoing debate over the benefi ts, hazards, and ever-evolving way forward for high-frequency trading

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Example text

09|700 NBBO prices became especially relevant in the United States when Regulation NMS took effect in 2005, which mandates (among other things, but chiefly) that any public investor is entitled to trade at the NBBO regardless of the exchange to which their order is sent. 19 It’s also known as the market width. The theoretical price in the middle of a spread is known 18 As we use the term exchange to include ATSs, it’s important to note that dark pools, by definition, do not disseminate quotes and are therefore not generally included in NBBO calculation.

I think they’ll understand. By “pure” market-maker, we mean one who is working only for the spread and/or rebate and is not also applying arbitrage strategies. In most markets, investors and marketmakers are hugely dependent on each other. 1 But as we saw in the previous chapter, they have diametrically opposite preferences when it comes to the spread: market-makers want it wide and investors want it narrow. As such, investors and marketmakers are at natural odds with one another. It’s not quite the Hatfields versus the McCoys, but neither is it Fibber McGee and Molly.

The Arbitrageur In the physical world, massive objects such as planets draw less massive objects to the center of their mass due to the powerful and persistent force of gravity. Gravity is always there, ready to bring airborne objects back to earth, be they beach balls, baseballs, or buttered toast. In the financial markets, we find a similarly powerful force known as the law of one price, the consequence of something known as the arbitrage pricing theory, which keeps the prices from straying away for too long from one true price.

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All About High-Frequency Trading (All About Series) by Michael Durbin

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