-
Automated liquidity provision: Quantitative
algos for optimal pricing and execution of market-making positions. (Holding
period < 1 minute)
-
Market microstructure trading: Identifying
trading party order flow through reverse engineering of observed quotes.
(Holding period <10 minute)
-
Event Trading: Short term trading on macro
events (Holding period < 1 hour)
-
Deviations arbitrage: Statistical arbitrage
of deviations from equilibrium: triangle trades, basis trades, and the like.
(Holding period < 1 day)
Finally, there is someone who not only tried to define HFT
precisely. In fact, she pointed out various possible parties that involved. Hence,
I was kind of attracted by the first few chapters. However, the more I dig in,
the more I found I am not reading the right book. At the end, the introduction
is good. But the expansion and further elaboration do not match the topic
precisely. (The content in the “microstructure” section tells the whole story).
Furthermore, the book itself already hard to digest. (IMHO… not a
well-organized book) Then, the author add up tons of formula which I myself do
not see the necessity of it.
Having said that… I do not actually rate this book extremely low.
In fact, I am giving 4/10 as I could still unlock some gems throughout the
book. The contents may stray off the main topic at times. But, overall, it is
not a bad book to burn out our leisure time…I guess FHT is still a protected
animal in the world of investment. After all, there are various parties with
separate self-interest. As such, it is rather hard to find a book that tells the
truth and the whole stories. Irene Aldridge tried hard in this book. But, it
just fails to convince me…
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