High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems -- Contents -- Acknowledgments -- Chapter 1: Introduction -- Chapter 2: Evolution of High-Frequency Trading -- FINANCIAL MARKETS AND TECHNOLOGICAL INNOVATION -- EVOLUTION OF TRADING METHODOLOGY -- Chapter 3: Overview of the Business of High-Frequency Trading -- COMPARISON WITH TRADITIONAL APPROACHES TO TRADING -- MARKET PARTICIPANTS -- OPERATING MODEL -- ECONOMICS -- CAPITALIZING A HIGH-FREQUENCY TRADING BUSINESS -- CONCLUSION -- Chapter 4: Financial Markets Suitable for High-Frequency Trading -- FINANCIAL MARKETS AND THEIR SUITABILITY FOR HIGH-FREQUENCY TRADING -- CONCLUSION -- Chapter 5: Evaluating Performance of High-Frequency Strategies -- BASIC RETURN CHARACTERISTICS -- COMPARATIVE RATIOS -- PERFORMANCE ATTRIBUTION -- OTHER CONSIDERATIONS IN STRATEGY EVALUATION -- CONCLUSION -- Chapter 6: Orders, Traders, and Their Applicability to High-Frequency Trading -- ORDER TYPES -- ORDER DISTRIBUTIONS -- CONCLUSION -- Chapter 7: Market Inefficiency and Profit Opportunities at Different Frequencies -- PREDICTABILITY OF PRICE MOVES AT HIGH FREQUENCIES -- CONCLUSION -- Chapter 8: Searching for High-Frequency Trading Opportunities -- STATISTICAL PROPERTIES OF RETURNS -- LINEAR ECONOMETRIC MODELS -- VOLATILITY MODELING -- NONLINEAR MODELS -- CONCLUSION -- Chapter 9: Working with Tick Data -- PROPERTIES OF TICK DATA -- QUANTITY AND QUALITY OF TICK DATA -- BID-ASK SPREADS -- BID-ASK BOUNCE -- MODELING ARRIVALS OF TICK DATA -- APPLYING TRADITIONAL ECONOMETRIC TECHNIQUES TO TICK DATA -- CONCLUSION -- Chapter 10: Trading on Market Microstructure -- OVERVIEW OF INVENTORY TRADING STRATEGIES -- ORDERS, TRADERS, AND LIQUIDITY -- PROFITABLE MARKET MAKING -- DIRECTIONAL LIQUIDITY PROVISION -- CONCLUSION -- Chapter 11: Trading on Market Microstructure.

MEASURES OF ASYMMETRIC INFORMATION -- INFORMATION-BASED TRADING MODELS -- CONCLUSION -- Chapter 12: Event Arbitrage -- DEVELOPING EVENT ARBITRAGE TRADING STRATEGIES -- WHAT CONSTITUTES AN EVENT? -- FORECASTING METHODOLOGIES -- TRADABLE NEWS -- APPLICATION OF EVENT ARBITRAGE -- CONCLUSION -- Chapter 13: Statistical Arbitrage in High-Frequency Settings -- MATHEMATICAL FOUNDATIONS -- PRACTICAL APPLICATIONS OF STATISTICAL ARBITRAGE -- CONCLUSION -- Chapter 14: Creating and Managing Portfolios of High-Frequency Strategies -- ANALYTICAL FOUNDATIONS OF PORTFOLIO OPTIMIZATION -- EFFECTIVE PORTFOLIO MANAGEMENT PRACTICES -- CONCLUSION -- Chapter 15: Back-Testing Trading Models -- EVALUATING POINT FORECASTS -- EVALUATING DIRECTIONAL FORECASTS -- CONCLUSION -- Chapter 16: Implementing High-Frequency Trading Systems -- MODEL DEVELOPMENT LIFE CYCLE -- SYSTEM IMPLEMENTATION -- TESTING TRADING SYSTEMS -- CONCLUSION -- Chapter 17: Risk Management -- DETERMINING RISK MANAGEMENT GOALS -- MEASURING RISK -- MANAGING RISK -- CONCLUSION -- Chapter 18: Executing and Monitoring High-Frequency Trading -- EXECUTING HIGH-FREQUENCY TRADING SYSTEMS -- MONITORING HIGH-FREQUENCY EXECUTION -- CONCLUSION -- Chapter 19: Post-Trade Profitability Analysis -- POST-TRADE COST ANALYSIS -- POST-TRADE PERFORMANCE ANALYSIS -- CONCLUSION -- References -- About the Web Site -- About the Author -- Index.