Handbook of High Frequency Trading

Marc Notes: This comprehensive examination of high frequency trading looks beyond mathematical models, which are the subject of most HFT books, to the mechanics of the marketplace. In 25 chapters, researchers probe the intricate nature of high frequency market dynamics, market structure, back-office processes, and regulation. They look deeply into computing infrastructure, describing data sources, formats, and required processing rates as well as software architecture and current technologies. Table of Contents: Trading Activity 1. High-Frequency Activity on NASDAQ 2. Profitability as a Function of the Holding Period with Implications for High Frequency Trading 3. Data Characteristics for High-Frequency Trading Systems 4. The Relavance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High Frequency Financial Data: Evidence from ASEN Stock Markets 5. The Closer the Better? High Frequency Trading and Limitations to Arbitrage Opportunities in Spatially Segmented Markets 6. EU High Frequency Trading Regulation: Mandatory Disclosure and New Investors Evolution and the Future 7. High Frequency Trading: Implications for Market Efficiency and Fairness 8. Revisioning Revisionism: A Glance at HFT's Critics 9. High Frequency Trading: Evolution and Future 10. High Frequency Trading and Predatory Behavior in the Australian Equity Markets 11. Global Stock Exchanges in the High Frequency Trading Vortex Liquidity and Execution 12. Measuring Equity Market Liquidity with High Frequency Trading Data 13. We Missed It Again! Why So Many Market Orders in the High Frequency FX Trading Fail to be Executed 14. On The Sharpe Ratio for High Frequency Traders Impact of News Releases 15. Do High Frequency Traders Care About Earnings Announcements? An Analysis of Trading Activity Before, During, and After Regular Trading Hours 16. Why Accountants Should Care About High Frequency Trading 17. High Frequency Trading under Information Regimes 18. Effects of Firm-Specific Public Announcements on Market Dynamics: Implications for High Frequency Traders 19. Machine News and Volatillity: The Dow Jones Industrial Average and the TRNA Real-Time High Frequency Sentiment Series Impact of Volatility 20. Technical Trading Strategies at High Frequency: Insights for Practitioners 21. High-Frequency News Flow and States of Asset Volatility 22. News Releases and Stock Market Volatility: Intraday Evidence from Borsa Istanbul 23. The Low Risk Anomaly Revisited on High Frequency Data 24. Measuring the Leverage Effect in a High Frequency FrameworkReview Quotes:"This handbook, expertly edited by Professor Gregoriou, provides a very thorough coverage of what is a new and complex field of study. It will be indispensable for both commercial and scholastic researchers." "--Stephen Satchell, University of Sydney" "The introduction of high frequency trading is a major change in the way securities are traded. As with all major changes in security markets there are questions of liquidity and execution, informational efficiency, and the possibility of excess volatility and systemic risk. All of these concerns come down to the fundamental question of how fair these markets are. This volume represents the first comprehensive study of these issues from an academic point of view." --"Stephen J. Brown, NYU Stern School of Business"" Contributor Bio:  Gregoriou, Greg N, Professor Greg N. Gregoriou is Professor of Finance in the School of Business and Economics at the State University of New York, Plattsburgh. He holds a Ph. D. in finance from the University of Quebec in Montreal. Gregoriou specializes in hedge funds, funds of hedge funds, and managed futures. He has published 26 books and more than 50 journal articles and serves as hedge fund editor for the "Journal of Derivatives and Hedge Funds" and editorial board member of the "Journal of Wealth Management" and the "Journal of Risk Management in Financial Institutions". Christian Hoppe works as senior specialist for securitization and credit derivatives in the credit portfolio management in the corporate banking of Commerzbank AG Frankfurt. Prior to this, he was credit portfolio manager at Dresdner Kleinwort, the Investment Bank arm of Dresdner Bank AG in Frankfurt. He started his career as a Business and Financial Controller for Dresdner Bank. While earning his master's degree, Hoppe served in the Institutional Research Department of Benchmark Alternative Strategies GmbH, Frankfurt. He is the author of "Derivatives Based on Alternative Investments".