This book is a comprehensive guide to the theoretical work in market microstructure research and is an essential read for a high frequency trader. A question with regards to the halflife concept above. High frequency trading strategies, market fragility and price spikes. Trading process an intuitive way to classify algorithmic trading is through the separate processes being automated within a trades life cycle. An investment strategy that attempts to profit from the differences between actual and theoretical futures prices of the same stock index. Pdf highfrequency trading strategy based on deep neural. The dnn was trained on current time hour and minute, and \ n \lagged oneminute pseudoreturns, price. Request pdf statistical arbitrage trading strategies and high frequency trading statistical arbitrage is a popular trading strategy employed by hedge funds and proprietary trading desks, built. Arbitrage in stock index futures brennan, schwartz. We implemented a trading strategy that nds the correlation between two or more assets and trades if there is a strong deviation from this correlation, in a high frequency setting. Statistical arbitrage strategies highfrequency trading.
This paper presents a high frequency strategy based on deep neural networks dnns. Broadly speaking, the traditional approach to statistical arbitrage is through attempting to bet on the temporal convergence and divergence of price movements of pairs and baskets of assets, using statistical methods. Investors identify the arbitrage situation through mathematical modeling techniques. High frequency trading a discussion of relevant issues may 20 4 hft is a technology applied to a broad spectrum of strategies a conclusive definition of hft is difficult since it is the technology necessary for implementing a broad. Firstly, i thoroughly enjoyed reading your recent book on quant trading. Current proprietary trading strategies include index arbitrage, statistical arbitrage, merger arbitrage, fundamental analysis, volatility arbitrage, and macrotrading. Im attempting to implement and intraday index arb strategy, thus i would need to construct a basket with a much shorter halflife. It is based on solid economic theories is likely to have longer staying power than strategies based purely on statistical phenomena. High frequency 100 milliseconds or less 10 seconds to 10 minutes. Statistical arbitrage in high frequency trading based on.