Algorithmic and High-Frequency Trading

Álvaro Cartea, Sebastian Jaimungal, José Penalva · 2015 · Cambridge University Press

AdvancedHFTIntradayBook

Stochastic-control treatment of market making, optimal execution, pairs trading and order-flow signals, with models concrete enough to code.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT, Intraday
Data needed: Trades, L1 quotes Set what data you have
Themes: Market making Execution Order-flow alpha
Assets: Equities
Market: Global

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@book{cartea2015algorithmic,
  author = {Cartea, Álvaro and Jaimungal, Sebastian and Penalva, José},
  title = {{Algorithmic and High-Frequency Trading}},
  publisher = {Cambridge University Press},
  year = {2015},
  url = {https://openlibrary.org/works/OL25047296W}
}

Cartea, Á., Jaimungal, S., & Penalva, J. (2015). Algorithmic and High-Frequency Trading. Cambridge University Press. https://openlibrary.org/works/OL25047296W