High Frequency Trading Models Plus Website: Technology Algorithms Implementation（英文原版）［精装］

图书标准信息

• 作者 Gewei Ye（格维·耶） 著
• 出版社 Wiley
• 出版时间 2011-01
• 版次 1
• ISBN 9780470633731
• 定价 569.50元
• 装帧 精装
• 开本 大32开
• 纸张 胶版纸
• 页数 322页
• 正文语种 英语

【内容简介】

HighfrequencytradinghassweptWallStreetinthepastyear,creatingstunningprofitsfortoptierbanksandspecializedtradingfirms.Giventhesuccess,manyhedgefundsandothertypesoftradingfirmsareimplementingorexpandinghighfrequencystrategies.Ascompetitionincreases,existingstrategieswillbecomelessprofitableandnewhigh-frequencystrategieswillbedeveloped.InHighFrequencyTradingModels+Website,Dr.GeweiYedescribesthetechnology,architecture,andalgorithmsunderlyingcurrenthighfrequencytradingmodels,suchasrebatetrading,arbitrage,flashtrading,andothertypesoftrading,whichexploitorderflowimbalancesandtemporarypricinginefficiencies.HeexplainshowtodevelopaHFTtradingsystemandintroduceshisownsystemforbuildinghighfrequencystrategiesbasedonbehavioralalgorithms.Finally,hediscusseshowtoimprovecurrentinstitutionalHFTstrategiesandsuggestsdirectionsfornewstrategies.

【作者简介】

GeweiYe,PhD,teachesgraduate-levelcoursesonfinancialengineering,derivatives,andprogramtradingstrategiesatJohnsHopkinsUniversity.Recently,hehasreleasedtheSentimentAssetPricingEngine(SAPE),aWeb-basedstrategybuilderforalgorithmictradingandhigh-frequencytradingsystems.Dr.YehasbeenaseniorarchitectorconsultantforinvestmentandtechnologycompaniessuchasCitiBank,T.RowePrice,FederalReserveBanks,andIBM.Hehaspublishedaboutfortyarticlesinpeer-reviewedjournalsorconferenceproceedingsandhasbeenbuildingfinancialmodelsandcomputingsystemsfortenyears.Dr.YeearnedaPhDdegreefromUniversityofTilburg,theNetherlands.