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Advances in High Frequency Strategies By Marcos M. López de Prado
Hardcover: $32.00
Ships in 6-8 business days.
SEC and CFTC reports estimate that High Frequency strategies are responsible for about 60% of all transactions on U.S. shares. In Europe, this percentage is around 40% and growing. High Frequency... More > strategies are those characterized by a brief holding period, which can range from a split second to a few hours. This enables traders to place numerous independent bets per day on an instrument or portfolio, profiting from the multiplicative effect postulated by the Fundamental Law of Active Management. The goal is to exploit inefficiencies derived from the market’s microstructure (rigidities, agents’ idiosyncrasies, asymmetric information, etc.). The generalization of electronic markets and ubiquitous automation of financial transactions has rendered many established models and theories obsolete. The objective of this work is to present a new scientific framework for the study of some of the most relevant questions concerning High Frequency.< Less
Advances in High Frequency Strategies By Marcos M. López de Prado
Paperback: $23.00
Ships in 3-5 business days
SEC and CFTC reports estimate that High Frequency strategies are responsible for about 60% of all transactions on U.S. shares. In Europe, this percentage is around 40% and growing. High Frequency... More > strategies are those characterized by a brief holding period, which can range from a split second to a few hours. This enables traders to place numerous independent bets per day on an instrument or portfolio, profiting from the multiplicative effect postulated by the Fundamental Law of Active Management. The goal is to exploit inefficiencies derived from the market’s microstructure (rigidities, agents’ idiosyncrasies, asymmetric information, etc.). The generalization of electronic markets and ubiquitous automation of financial transactions has rendered many established models and theories obsolete. The objective of this work is to present a new scientific framework for the study of some of the most relevant questions concerning High Frequency.< Less