All About High Frequency Trading


All About High Frequency Trading
By Michael Durbin (McGraw-Hill, 2010)

Michael Durbin’s All About High Frequency Trading takes a no-nonsense approach to the world of high frequency trading, giving the reader knowledge on using interpreting the market place through the use of highly advanced algorithms.

Michael Durbin is a financial technology consultant who is striving to create books which inform the reader with the type of knowledge he wished that he had starting out in finance. He has been a professor at both Duke and University of Chapel Hill, teaching derivatives.

The volume presents itself as the easiest way to get started and one look through the resource will leave the viewer feeling the same way; the book is broken down into several chapter for easy reading.

  • In Chapter 1, Busted, Durbin speaks about high frequency trading in its infancy, he was sworn into secrecy about his knowledge in the automated trading field as well as his own involvement in the development of such systems. Luckily for the reader, the statute of limitations has passed on his non-disclosure agreement, and he opens up about the controversies surrounding high frequency trading, the benefits of automated trading, and shortcomings he has personally experienced.
  • Chapter 2 serves up an insightful look at the workings of the stock market, breaking down complex theories in layman’s terms. This chapter will offer the reader a general overview of the trading market in its current state, as well as how high frequency trading can fit into the current model.
  • The 3rd Chapter is filled to the brim with information on trading strategies, an interesting look at the way stocks are traded and inner complexities of the algorithms with which high frequency trading operates. This is an invaluable look for readers who want to see what high frequency trading is all about under the hood.
  • Achieving Speed gives the reader a more in-depth look at the algorithms that make high frequency trading a possibility in this 4th Chapter. Reader can get a glimpse into the brains of the automated trading industry, and marvel at the algorithms at its heart which make the whole operation functional. Students in fields of mathematics and computer sciences will find these chapters particularly interesting, as Durbin is a seasoned teacher in the field.
  • Chapter 6 is an interesting look at high frequency trading from a philosophical and sociological view point. The author speaks deeply on the controversies surrounding high frequency trading, its supporters and proponents, its contribution to the volatility of the market place, as well as where he sees high frequency trading integrating into the future of finance.

Reviews on the book have been mostly positive, with the only complaint being that the book covers a lot of information in a compact page count; some readers found it to be somewhat dense, while many others were quite pleased with the density of information and didn’t find it troubling.

If you’re looking to get into high frequency trading and the algorithms that make it run,  tune your eyes and your mind in on this resource.

Reviewed by: William Updyke

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