High-frequency trading : new realities for traders, markets and regulators

Abstract

1. Introduction - The New Paradigm in High Frequency Trading David Easley (Cornell University), Marcos Lopez de Prado (Hess Corporation), Maureen O'Hara (Cornell University) 2. High Frequency Trading Strategies in FX Markets Richard Olsen (Olsen Ltd) 3. Execution Strategies in Equity Markets Michael G Sotiropoulos (Bank of America Merrill Lynch) 4. Execution Strategies in Fixed Income Markets Robert Almgren (Quantitative Brokers) 5. Machine Learning and High Frequency Data Michael Kearns (University of Pennsylvania) and Yuriy Nevmyvaka (SAC Capital) 6. The Regulatory Problems in High Frequency Markets Oliver Linton (University of Cambridge), Maureen O'Hara (Cornell University) and J.P. Zigrand (LSE) 7. Microstructure Research Methodologies for HF Markets Terry Hendershott (University of California, Berkeley), Charles Jones (Columbia University), Albert Menkveld (VU University Amsterdam) 8. Do Algo Executions Leak Information? George Sofianos and JuanJuan Xiang (Goldman Sachs) 9. Volatility and Contagion David Easley (Cornell University), Robert Engle (NYU Stern School of Business), (Hess Corporation), Maureen O'Hara (Cornell University) 10. Risk Management in a High Frequency World David Easley (Cornell University), Marcos Lopez de Prado (Hess Corporation), Maureen O'Hara (Cornell University)

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