High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems (Wiley Trading)

mht · Post by **mht** » Mon Oct 05, 2009 9:40 pm

No offence!

ATX Trader · Post by **ATX Trader** » Sat Dec 05, 2009 12:01 am

Anyone read this yet? There are only two reviews on Amazon so far. One is negative and the other is obviously a shill (the same exact review is at BN.com).

chiral3 · Post by **chiral3** » Sat Dec 05, 2009 1:40 am

I made it to the end only b/c the clock said 00:45 when I decided I'd had enough, but figured I'd made it this far... Agree completely with Graeme and FDAX. Banal. I don't watch financial news (at least not with the sound on), but the overly emotional, effeminate, wildly gesticulating retard in the middle did a nice job making the woman seem less banal. Based on her linkedin, I divine the following: parents have money, grew up privileged (CU for EE?? Couldn't leave Manhattan, friends still finishing last year at Dalton). MFE jobless. INSEAD MBA, again without job in past 4 year of graduate education. Vague job at large cie (that's Quebec Phrench, not Phrench Phranch) for less than two years (months omitted, surefire tactic to make 1 year look like two). Stat arb trader (kinda like how Chelsea is at Avenue b/c of the substantial p/l she ran for years, not because of who daddy is). That's my theory. I could be very wrong, or just mean.

FDAXHunter · Post by **FDAXHunter** » Mon Dec 07, 2009 11:06 am

Those who can't trade.... teach. (And those who can't teach... regulate).

ClopeMan · Post by **ClopeMan** » Wed Dec 09, 2009 4:18 am

@chiral: she's been a phd candidate for a while (probably where the months/years got rounded...)

hedgeQuant · Post by **hedgeQuant** » Sun Dec 27, 2009 2:26 pm

Looks like the folllowing article (by Irene Aldridge) is worth a read before you buy the book:

http://www.finalternatives.com/node/10055

Two gems from the article:

As such, many conventional quantitative and systematic strategies can easily be transformed into profitable high-frequency strategies. Take a systematic trading strategy, reduce the holding period, et voila!

Those funds with existing quantitative strategies are likely to be ideally positioned to move into the high-frequency space: speeding up the portfolio holding periods is all it takes in many cases. Finding a profitable high-frequency strategy, therefore, may only be a few clicks of the mouse away.

Two words to keep in mind: Capacity, Impact.

Edit: Grammar.

squeeze · Post by **squeeze** » Sun Dec 27, 2009 3:59 pm

"Shorter horizons are accompanied by a lower degree of uncertainty"

is also pretty debatable.

I don't know anyone that knows what they are doing with HFT that has either the time nor the inclination to write a book.

nemo · Post by **nemo** » Fri Jan 22, 2010 5:20 pm

Squeeze, have you ever heard of Brownian motion as a model for diffusion of asset prices? Longer horizons are always less certain than the shorter ones.

Aldridge's book is great, by the way -- both model intensive and very well organized.

She does successfully build HFT systems, and really knows her stuff (she spent 10 years in various financial engineering and software development roles in financial services, this is not on her LinkedIn) .

And hedgeQuant, you do not seem to know what you are talking about.

Edit: Aldridge spent years in financial engineering, IT, and risk management prior to moving into trading. She has been building and executing trading systems for a number of years now. Her truly comprehensive perspective on the business is detailed in the book.

redandtheblue · Post by **redandtheblue** » Fri Jan 22, 2010 5:59 pm

edit:

Sorry,I shouldn't have responded to a post like this.

Ser Ilyn Payne · Post by **Ser Ilyn Payne** » Fri Jan 22, 2010 7:46 pm

Dear NP Community.

I take my job here pretty seriously and as you know, try to watch over things so that we don't witness the sort of meltdown witnessed in... other communities. Ahem. We've managed to retain a pretty impressive roster of members from the practitioner's point of view (as opposed to the academic's world) and I'd really like to keep it that way. Namely: bullshit free (which is way Nassim isn't here, for example).

I'm suspicious by nature. As it turns out, our friend "nemo" here is actually... drumroll please... Irene Aldridge herself. Kids these days. They don't even try any more! *sigh*

Anyway, I do think that post of hers kind of qualifies everything she has said and is going to say in the future.

Welcome to NP Irene! Let's try that again, shall we?