High-Frequency Trading and Probability Theory

High-Frequency Trading and Probability Theory

4.11 - 1251 ratings - Source

This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic. Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis. The authors also discuss technical details of the IT system design for high-frequency trading. Contents:IntroductionMarket MicrostructureSome Basic HFT StrategiesIT SystemStationary Process and ErgodicityStationarity and Technical AnalysisHFT of a Single AssetBid, Ask and Trade PricesFinancial EngineeringDebate and Future Readership: Graduates and researchers interested in frequency trading; finance professionals. Key Features:Reveals algorithms and scientific background of high-frequency tradingReveals the IT system preparation for high-frequency tradingEmphasizes that technical analysis is not pseudo-scienceKeywords:High-Frequency Trading;Algorithm Trading;Program Trading;Technical AnalysisAvailable at http://www.cffex.com.cn. 9. CZCE Official Web Site. Available at http:// www.czce.com.cn. DCE Official Web Site. Available at http://www.dce.com.cn. Robert D. Edwards and John Magee (1948). Technical Analysis of Stock Trends anbsp;...

Title:High-Frequency Trading and Probability Theory
Author: Zhaodong Wang, Weian Zheng
Publisher:World Scientific - 2014-09-11

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