Free Ebook High-Frequency Trading and Probability Theory (East China Normal University Scientific Reports), by Zhaodong Wang, Weian Zheng
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High-Frequency Trading and Probability Theory (East China Normal University Scientific Reports), by Zhaodong Wang, Weian Zheng
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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:- Introduction
- Market Microstructure
- Some Basic HFT Strategies
- IT System
- Stationary Process and Ergodicity
- Stationarity and Technical Analysis
- HFT of a Single Asset
- Bid, Ask and Trade Prices
- Financial Engineering
- Debate and Future
Readership: Graduates and researchers interested in frequency trading; finance professionals.
Key Features:
- Reveals algorithms and scientific background of high-frequency trading
- Reveals the IT system preparation for high-frequency trading
- Emphasizes that technical analysis is not pseudo-science
- Sales Rank: #738051 in eBooks
- Published on: 2014-09-11
- Released on: 2014-09-11
- Format: Kindle eBook
From the Inside Flap
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.
About the Author
Zhaodong Wang obtained his PhD degree in computer science from Shanghai Jiaotong University. He is an expert in high performance system design. He was the CEO of Shanghai Futures Information Technology Corp. Ltd. During this time, he designed the trading system for Shanghai Futures Exchange, China Finance Futures Exchange and many other systems in area of finance. Later, he set up a hedge fund focus on high frequency trading.
Weian Zheng was professor of mathematics at the University of California, Irvine, USA for 21 years. He obtained his Doctor of Science degree from University of Strasbourg, France. He is currently professor and chair of Department of Financial Engineering, East China Normal University, Shanghai, China.
Most helpful customer reviews
4 of 4 people found the following review helpful.
Highly recommend
By Maxim
I'm very glad to have selected this book. It is by no means a complete guide to HFT, in fact the book is quite small, but it fits perfectly for readers like me, who have some general knowledge of financial theory and algorithmic traiding and wish to know real issues and challenges in this area. The sections on market microstructure, IT infrastructure, basic strategies are clearly written by practitioners and for practitioners, which I find exceptionally useful.
Besides this is the first book I see that touches upon theoretical explanation of "technical analysis", a domain some traders simply believe in blindly and some equally blindly reject as pseudo-science. Real-life evidence suggests that technical forecasts, at least short-term, are not all due to pure luck, but most financial engineering books don't bother looking further. Finally someone has stated the prerequisites and formal statements that explain technical "magic powers".
Overall I think the authors did terrific job of uncovering HFT internals, changing my understanding of HFT from "how the heck they make it work and not go bust?" to "ok, it's pretty hard, but doable".
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