Aldridge Irene - High-Frequency Trading. A Practical Guide To Algorithmic Strategies And Trading Systems.pdf

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High-Frequency
Trading
A Practical Guide to Algorithmic
Strategies and Trading Systems
IRENE ALDRIDGE
John Wiley & Sons, Inc.
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Copyright C
2010 by Irene Aldridge. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in
any form or by any means, electronic, mechanical, photocopying, recording, scanning, or
otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright
Act, without either the prior written permission of the Publisher, or authorization through
payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222
Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the web at
www.copyright.com. Requests to the Publisher for permission should be addressed to the
Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201)
748-6011, fax (201) 748-6008, or online at http://www.wiley.com/go/permissions.
Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best
efforts in preparing this book, they make no representations or warranties with respect to the
accuracy or completeness of the contents of this book and specifically disclaim any implied
warranties of merchantability or fitness for a particular purpose. No warranty may be created
or extended by sales representatives or written sales materials. The advice and strategies
contained herein may not be suitable for your situation. You should consult with a
professional where appropriate. Neither the publisher nor author shall be liable for any loss of
profit or any other commercial damages, including but not limited to special, incidental,
consequential, or other damages.
For general information on our other products and services or for technical support, please
contact our Customer Care Department within the United States at (800) 762-2974, outside the
United States at (317) 572-3993 or fax (317) 572-4002.
Wiley also publishes its books in a variety of electronic formats. Some content that appears in
print may not be available in electronic books. For more information about Wiley products,
visit our web site at www.wiley.com.
Library of Congress Cataloging-in-Publication Data:
Aldridge, Irene, 1975–
High-frequency trading : a practical guide to algorithmic strategies and trading
system / Irene Aldridge.
p. cm. – (Wiley trading series)
Includes bibliographical references and index.
ISBN 978-0-470-56376-2 (cloth)
1. Investment analysis.
2. Portfolio management.
3. Securities.
4. Electronic
trading of securities.
I. Title.
HG4529.A43 2010
332.64–dc22
2009029276
Printed in the United States of America
10987654321
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To my family
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