Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk)

I'm a graduate student of Computational Finance and I found this book to be both challenging for my education level and extremely interesting. It provides an extensive introduction to concepts such as market microstructure, touching on the fundamental of stochastic calculus before introducing the stochastic optimisation chapter. The second part of the book is exclusively dedicated to algorithmic trading models.I found useful to support this book with Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability)by Pham, which provides an in-depth mathematical structure where the reader may need it.Overall a great book, suggested to any student willing to get a self-contained guide for the field of algorithmic trading.

The book is really amazing and fantastic, with rich contents in superb binding and reasonable price. I believe it is ideal both graduate students at a Master or PhD level as well as those already working at the financial sector who intends to combine their professional knowledge and expertise with mathematical models for algorithmic trading. The sophisticated mathematical models introduced in the book are all well interpreted with the support of empirical facts and financial economics, which gives me a more vivid picture of how modern electronic markets operates. Really excellent job for the useful book! Five-star recommendation!

I'm a software engineer and this book gave me some food for thought. Some didnt make sense but the bits that did were insightful and explained well enough that anyone could have understood them. This book is a bit maths heavy but seems to make a good effort to explain whats going on with plenty of diagrams to aid the explanation.

Outstanding book!I am studying Financial Mathematics (MSc) and this book showed me what my PhD is going to be based on.It has a very strong mathematical rigour but at the same time, is very intuitive.I strongly recommend it!

A very good book giving for both the beginners and experts.

I am a quant trader/strategist who has been working in high frequency market making strategies for the past ten years. Despite its attractive title and presentation this book is not made for everybody. You will be interested in this book if you are a quant working in a Market Making firm, a hedge fund or an asset management firm (for these last two, only if you are an execution quant implementing algos to minimize market impact for large trades).All the book is based on a single mathematical framework which translates an objective function (representing an expected wealth constrained by variance, inventory, opportunity cost ...) to a sophisticated differential equations, DPEs. This boils down to continuous reinforcement learning whose environment is defined by stochastic processes. Despite the effort made by the authors to make us believe that these techniques are used everywhere, they are in reality not. The dynamic programming equations (DPE)/Stochastic control framework is quiet new and as far as I know only very few market making firms are using it. This framework is only useful if your company is the main market maker on a market (and backtesting becomes less of an option).The concepts describe are not practical, the book provides the DPEs and analytical solutions for some specific cases but do not focus on the most important things, how do you solve DPEs and how do you implement them and scale them. In reality you never deal with three stocks etc... Do not get me wrong the framework is interested but the problem is how to truly implement it. There is no answer to that.I read some comments that seems very out of lines compare to what the book is really about, I will be cautious about them, they are probably fake. I put one star for the attempt the authors to make us believe the book is about "Algorithmic and high frequency trading" in general, this is not the case. The book should be renamed "Stochastic control applied to finance".

Very fast delivery. Great book for high frequency trading. Very good explanation. Perfect!

A great book!

Livro muito bom. Bastante técnico.Nivel altíssimo de programação.Explicação excelente de teoria de mercado

Amazing collection of trading problems and how to solve them. Not for the casually reader, but those willing to put in the effort will gain lots of insight. Some of the models need to be peppered with real world nuances to make them practical. My sense is that they wrote this book as a demonstration of how to apply control methods to algorithmic trading, rather than providing just a collection of rules of thumb. All in all, well worth the price.

Ottimo Libro. Per gli amanti del trading. Richiede minime conoscenze di Matematica o Statistica. Se letto con grande cura, è ricco di spunti operativi.

Undoubtedly one of the best books out there on this topic. It is on the mathematical end but rooted on data and realistic applications. Those who want to learn about the maths behind trading algorithms must start here.

Die systematischen, finanztechnischen Überlegungen zur Darstellung der Algorithmen des High Frequency Tradings (HFT) sind hilfreich bei Beurteilung der Verfahrensweise von Dark Pools.