All About High-Frequency Trading (All About Series)

A DETAILED PRIMER ON TODAY'S MOST SOPHISTICATED AND CONTROVERSIAL TRADING TECHNIQUE

Unfair . . . brilliant . . . illegal . . . inevitable. High-frequency trading has been described in many different ways, but one thing is for sure--it has transformed investing as we know it.

All About High-Frequency Trading examines the practice of deploying advanced computer algorithms to read and interpret market activity, make trades, and pull in huge profi ts—all within milliseconds. Whatever your level of investing expertise, you'll gain valuable insight from All About High-Frequency Trading's sober, objective explanations of:

The markets in which high-frequency traders operate
How high-frequency traders profi t from mispriced securities
Statistical and algorithmic strategies used by high-frequency traders
Technology and techniques for building a high-frequency trading system
The ongoing debate over the benefi ts, risks, and ever-evolving future of high-frequency trading

Customer Reviews:

Hastily put together, things not explained well

By Gadgester "No Time, No Money" - March 2, 2011

Like many other titles in the "All About" series, this book is *not* about how to do things, but rather a perfunctory introduction to the topic at hand. Everything is discussed in general terms, with hypothetical examples used in the simpliest manners.

The biggest problem with the book as a sort of a primer is, it just does a very poor job at explaining all the different things involved in high-frequency trading, from the actual roles (profit and otherwise) of the exchanges to examples of broker-dealers and market-makers to why certain conditions exist for high-frequency trading. Sometimes the author takes the reader to be a "fool" who has to be explained the most basic concepts in finance, yet other times he assumes the reader is familiar with certain esoteric concepts.

For example, here's an excerpt from the only place where VWAP is mentioned: "For example, in our 1.00 x 1.10 market, a broker may guarantee an execution at $1.05 or $1.06 or some other... read more

Decent Overview but Lacking in Details

By Thomas E. Hayden "Tom Hayden" - March 28, 2011

I had an upcoming job interview as a quant (I'm an engineer) with a high frequency trading firm. I felt comfortable with the mathematics and science behind the position but needed a quick introduction into how high frequency trading (HFT) works and some ideas about what models they use. I was not expecting to have a dense book of equations but perhaps I was hoping he'd mention some details about the models they use. Or at least some history about the specific models.

Unfortunately, he spends at most 2-3 pages talking about moving average models and auto-regressive models (but he calls it something else) before dismissing it all as "industry secrets". The rest of the book is filled with (interesting) but not particularly valuable information on some common trading tactics, a high level overview of the IT infrastructure required for such an operation, along with some high level details about the players in the industry and how much money they all make. I get that there are... read more

Great work illuminating a complex topic!

By M. Potter "Marc" - October 3, 2010

Durbin's work provides a great foundation to better understand the exciting and exotic world of high frequency trading (HFT). In addition, for you IT fans (like me), he provides an interesting description of the IT requirements to build a successful HFT platform. Finally, in the last section of the book, Durbin covers some of the commonly debated pros and cons of HFT and its affect on market quality.

Durbin readily admits throughout the work that he isn't advertising the book as the 'secret sauce' to HFT. But that's ok: as an experienced industry player in the area of institutional trading on the 'buyside', you're getting a lot of bang for your buck and would offer that he is outlining the issues correctly and all the while keeping the reader engaged in the material. Did I need to read this book? Nope, this is part of my day job, but I like the topic and found little nuggets along the way that made it worth the read. Also, there is a whole section on IT that I have... read more