Download PDF by Michael Durbin: All About High-Frequency Trading

By Michael Durbin

ISBN-10: 0071743448

ISBN-13: 9780071743440

A exact PRIMER ON latest so much subtle AND arguable buying and selling TECHNIQUE

Unfair . . . excellent . . . 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 complicated machine algorithms to learn and interpret marketplace task, 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 helpful perception from All approximately High-Frequency Trading's sober, target factors of:

  • The markets during which high-frequency investors function
  • How high-frequency investors profi t from mispriced securities
  • Statistical and algorithmic recommendations utilized by high-frequency investors
  • Technology and strategies for construction a high-frequency buying and selling method
  • The ongoing debate over the benefi ts, dangers, and ever-evolving way forward for high-frequency trading

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Extra resources for All About High-Frequency Trading

Example text

Like rods in the core of a nuclear reactor, the order books are where all the action is. For all intents and purposes, there is one book per security at an exchange. For a given security, say stock in Acme Explosives, Inc. 10|600 The prices in the middle are the quoted bid and ask price, respectively (the ask price is also known as the offer price). The bid is the price at which some party—or some group of parties—is willing to buy. The ask/offer price is the price at which someone is willing to sell.

It’s possible, of course, that market prices could move in her favor before the market order is filled. Before we leave market orders, what do you suppose would happen were an investor to place a massive market order, say to buy 100,000 shares, in an NBBO market with only 1,000 offered? It’s likely the exchanges will let the order “walk the book,” filling increasingly high offer prices until the buy order is filled. Such an order would whack several layers of offers, buying from passive liquidity providers at very attractive prices to them (but not so attractive to the buyer).

Futures exchanges are regulated not by the SEC, as are stock and option markets, but by the Commodity Futures Trading Commission. S. S. 11 Or at least it seemed that way. The venerable Big Board began losing its near monopoly in the waning years of the twentieth century, and for the first decade of the twenty-first saw that trend only accelerate. 12 Where did the trading go? Much of it went to a slew of venues the SEC refers to as alternative trading systems (ATSs). This is a catch-all term that encompasses any place that matches prospective stock buyers and sellers that isn’t, well, an exchange (options and futures, for the most part, still trade on a traditional exchange).

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All About High-Frequency Trading by Michael Durbin

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