Handbook of High Frequency Trading

Content: 
Front Matter, Page iii
Copyright, Page iv
List of Contributors, Pages xiii-xv, Erdinç Akyıldırım, Paul U. Ali, David E. Allen, Albert Altarovici, Richard G. Anderson, Jane M. Binner, Kris Boudt, Godfrey Charles-Cadogan, Giuseppe Ciallella, Brittany Cole, Imma Valentina Curato, Jonathan Daigle, Nazmi Demir, Cumhur Ekinci, Dov Fischer, Nikola Gradojevic, Greg N. Gregoriou, George Guernsey, Björn Hagströmer, Tobias Hahn, Kin-Yip Ho,  et al.
Contributors Biographies, Pages xvii-xxvii
Editor Biography, Page xxix
Acknowledgments, Page xxxi
Introduction, Pages xxxiii-xxxix
Chapter 1 - High-Frequency Activity on NASDAQ, Pages 3-23, Martin Scholtus, Dick van Dijk
Chapter 2 - The Profitability of High-Frequency Trading: Is It for Real?, Pages 25-45, Imad Moosa, Vikash Ramiah
Chapter 3 - Data Characteristics for High-Frequency Trading Systems, Pages 47-57, Bruce Vanstone, Tobias Hahn
Chapter 4 - The Relevance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High-Frequency Financial Data: Evidence from ASEAN Stock Markets, Pages 59-74, Hooi Hooi Lean, Vinod Mishra, Russell Smyth
Chapter 5 - Game Theoretical Aspects of Colocation in High-Speed Financial Markets, Pages 75-94, Camillo von Müller
Chapter 6 - Describing and Regulating High-Frequency Trading: A European Perspective, Pages 95-110, Giuseppe Ciallella
Chapter 7 - High-Frequency Trading: Implications for Market Efficiency and Fairness, Pages 113-122, Tayyeb Shabbir
Chapter 8 - Revisioning Revisionism: A Glance at HFT\'s Critics, Pages 123-153, Jeffrey G. MacIntosh
Chapter 9 - High-Frequency Trading: Past, Present, and Future, Pages 155-166, François-Serge Lhabitant, Greg N. Gregoriou
Chapter 10 - High-Frequency Trading and Its Regulation in the Australian Equity Markets, Pages 167-170, Paul U. Ali
Chapter 11 - Global Exchanges in the HFT Nexus, Pages 171-194, David R. Meyer, George Guernsey
Chapter 12 - Liquidity: Systematic Liquidity, Commonality, and High-Frequency Trading, Pages 197-214, Richard G. Anderson, Jane M. Binner, Björn Hagströmer, Birger Nilsson
Chapter 13 - We Missed It Again! Why Do So Many Market Orders in High-Frequency FX Trading Fail to be Executed?, Pages 215-235, Masayuki Susai, Yushi Yoshida
Chapter 14 - Efficient Performance Evaluation for High-Frequency Traders, Pages 237-251, Godfrey Charles-Cadogan
Chapter 15 - Do High Frequency Traders Care about Earnings Announcements? An Analysis of Trading Activity before, during, and after Regular Trading Hours, Pages 255-270, Brittany Cole, Jonathan Daigle, Bonnie F. Van Ness, Robert A. Van Ness
Chapter 16 - Why Accountants Should Care about High Frequency Trading, Pages 271-277, Dov Fischer
Chapter 17 - High-Frequency Trading under Information Regimes, Pages 279-303, Erick Rengifo, Rossen Trendafilov
Chapter 18 - Effects of Firm-Specific Public Announcements on Market Dynamics: Implications for High-Frequency Traders, Pages 305-326, Erdinç Akyıldırım, Albert Altarovici, Cumhur Ekinci
Chapter 19 - Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Real-Time High-Frequency Sentiment Series, Pages 327-344, David E. Allen, Michael J. McAleer, Abhay K. Singh
Chapter 20 - High-Frequency Technical Trading: Insights for Practitioners, Pages 347-357, Camillo Lento, Nikola Gradojevic
Chapter 21 - High-Frequency News Flow and States of Asset Volatility, Pages 359-383, Kin-Yip Ho, Yanlin Shi, Zhaoyong Zhang
Chapter 22 - News Releases and Stock Market Volatility: Intraday Evidence from Borsa Istanbul, Pages 385-395, M. Nihat Solakoglu, Nazmi Demir
Chapter 23 - The Low-Risk Anomaly Revisited on High-Frequency Data, Pages 397-424, Kris Boudt, Giang Nguyen, Benedict Peeters
Chapter 24 - Measuring the Leverage Effect in a High-Frequency Trading Framework, Pages 425-446, Imma Valentina Curato, Simona Sanfelici
Index, Pages 447-454