A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

Portfolio risk forecasting has been and continues to be an active research field for both
academics and practitioners. Almost all institutional investment management firms use …

Bid and ask sizes at the top of the order book provide information on short-term price moves.
Drawing from classical descriptions of the order book in terms of queues and order-arrival …

This paper studies the social value of closing price differentials in financial markets. We
show that arbitrage gaps exactly correspond to the marginal social value of executing an …

Modern securities exchanges have the concept of the open limit order book (LOB), where
any market participant can see all the orders in the market. Hidden orders are a variation on …

A practical guide to institutional investing success Managed Futures for Institutional
Investors is an essential guide that walks you through the important questions that need to …

This article describes a simple test to assess the feasibility of highfrequency “pump-and-
dump” arbitrage. Using the tick data for Eurex Eurobund futures for the 2009–2010 period …

Bid and ask sizes at the top of the order book provide information on short-term price moves.
Drawing from classical descriptions of the order book in terms of queues and order-arrival …

Bid and ask sizes at the top of the order book provide information on short-term price moves.
Drawing from classical descriptions of the order book in terms of queues and orderarrival …

Many invisible forms of market liquidity exist since many market participants often prefer to
hide their trade intentions. Among others, hidden limit order placements are allowed in many …