Algorithmic and high frequency trading pdf
Human traders in financial markets are an endangered species, gradually replaced by computers and algorithms. In this new world, designing and coding trading strategies requires knowledge of market microstructure, basic economic principles governing price formation in financial markets, and stylized facts about price dynamics and trading activity. It also requires specific mathematical tools, such as stochastic control, and understanding of how these tools are used to solve trading problems. Algorithmic and High-Frequency Trading is unique in that it provides a unified treatment of these topics. I enjoyed reading it and recommend it highly to students or practitioners interested in mathematical models used in algorithmic trading.