High-Frequency Trading by Irene Aldridge

Irene Aldridge's "High-Frequency Trading" provides a comprehensive overview of this rapid and technologically driven investment domain. The book explores the implementation of high-frequency trading systems, including model development, system testing, and risk management. It examines various high-frequency trading strategies like automated liquidity provision and statistical arbitrage, contrasting them with traditional trading approaches. The text also analyzes market microstructure, order types, and the impact of news and order flow. Furthermore, it covers performance evaluation, back-testing, execution algorithms, transaction costs, and post-trade analysis, offering practical guidance for navigating this complex field.