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A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading

Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency trading.

This book covers all aspects of high-frequency trading, from the business case and formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies, with market microstructure, event arbitrage, and deviations arbitrage discussed in great detail.

* Contains the tools and techniques needed for building a high-frequency trading system

* Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation

* Written by well-known industry professional Irene Aldridge

Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.

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Irene Aldridge is Managing Partner, ABLE Alpha Trading, LTD., a proprietary trading vehicle, specializing in high-frequency systematic trading strategies.

Photography by Melissa O'Neal, New York, NY.

Find out the latest information about Irene by going to IreneAldridge.com

Also, remember to follow Irene on Twitter: twitter.com/irenealdridge

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交易机会的相对多寡可以用市场有效程度来度量。在有效市场（Fama，1970）中，所交易证券的价格会立即反映所有的可用信息。如果信息是慢慢整合到证券价格之中的，那么就会存在套利机会，同时可以认为该市场是无效的。图7-1对比展示了有效市场和无效市场的概念。寻找具有套利机会的市场也即寻找无效市场。套利机会本身就是市场的无效之处。

Lo和 Mackinlay（1988）随后用这种方法对多种证券的日数据、周数据和月数据进行了检验，他们的结论认为，虽然在每周和每月的频率下，不能拒绝市场有效的假设，但是每日的证券价格并非是有效的。

结论

计量经济学为我们提供了很多给数据之间的依存关系进行建模的数学工具线性模型假定数据之间的相互关系是直接的或线性的，而非线性模型则包含了系列应对更为复杂关系的数学函数。第9章还介绍了其他一些高频估计模型。

了解每个市场参与者的种类和动机可以让我们制定出有利可图的交易策略。例如，分辨出某个市场参与者是否拥有有关未来市场运动方向的信息能立即导致获利，如果他们是不知情交易商，那么就与之交易；如果他们是知情交易商，那么就请跟随他们的步伐。

统计套利策略的缺点是显而易见的。往往检测出来的统计关系其实是随机的，或者是“仍”的，实际上它们对于未来并不具有预测能力。然面，那些在经济学或是金融学中被学术研究证实的统计关系却总能给许多交易员带来正收益。全面了解经济学理论可以帮助量化分析师区分稳定的相互关系和随机的相互关系，相应可以提高使用统计套利方法进行交易的获利能力。

高频统计套利的功能是十分强大的，它提供了一系列简单的定义明确的条件，在这些条件之下高频系统交易方法能够行之有效。基于坚实的经济学理论的统计套利比仅仅依赖于统计现象的统计套利具有更好的持续盈利能力。

书籍介绍

A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading

Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency trading.

This book covers all aspects of high-frequency trading, from the business case and formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies, with market microstructure, event arbitrage, and deviations arbitrage discussed in great detail.

* Contains the tools and techniques needed for building a high-frequency trading system

* Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation

* Written by well-known industry professional Irene Aldridge

Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.