High-frequency trading is an often misunderstood concept, but thankfully there is more than one high-frequency trading book that you can learn from. There are several high-frequency trading books that give investors and traders a glimpse into this secretive industry. Secrecy is extremely common surrounding not only financial institutions but especially those involved in this practice. However, there are several books covering the topic in detail. Some books on this list are more appropriate for those who are just trying to get a good grasp of the concept.
We also included some high-frequency books that are especially technical and much more complex. Whether you are just trying to understand how high-frequency trading works, or you want to get your hands on more technical books this list has some great choices. Not only from a theoretical standpoint but also how it is put into practice.
Inside the Black Box: A Simple Guide to Quantitative and High-Frequency Trading, by Rishi K. Narang
Inside the Black Box is perhaps one of the best books about high-frequency trading, if you know nothing about it. Rishi K. Narang’s book demystifies the concept and explains to the reader in detail what high-frequency trading is. The book allows pretty much anyone to get familiar with the concept and understand what is behind the models that drive high-frequency trading.
The book explains in layman terms how hedge funds create their quantitative trading strategies. If you are looking to get a good grasp of how high-frequency trading works, and the strategies behind it, this is a great book. It also offers readers insights into how quantitative trading firms operate, and how their trading strategies are implemented.
Flash Boys: A Wall Street Revolt, by Michael Lewis
Michael Lewis is one of the most praised authors in the finance sphere. Having published several iconic books, on several topics. In 2014 his book Flash Boys: A Wall Street Revolt, was released. In it, Michael Lewis conducts an investigation into the world of high-frequency trading and analyses its impacts on markets. The book describes in detail the extent to which some financial institutions engaged in high-frequency trading will do in order to be profitable. The book details the construction of a fiber optics cable that would later serve as the inspiration behind the movie The Hummingbird Project.
High-frequency trading relies heavily on information speed. The intricate relationships between funds, exchanges, and other financial institutions are all accurately portrayed in the book. Michael Lewis shares his negative views on high-frequency trading and how it has turned the markets into a “rigged game”. Although the book is highly opinionated and has been received criticism from certain industry experts it gives the reader a glimpse of what is really behind high-frequency trading.
Broken Markets: How High Frequency Trading and Predatory Practices on Wall Street Are Destroying Investor Confidence and Your Portfolio, by Sal L. Arnuk and Joseph C. Saluzzi
Broken Markets is another great book choice to get insight into high-frequency trading. The book describes and explains the concept. A grueling account by two industry insiders who are behind the broker Themis Trading. The authors explain in detail how high-frequency trading influenced the flash crash and its current effect on markets. The book analyses the impact of high-frequency trading on retail investors that are unaware of what really goes on.
The authors point out the effect of high-frequency trading on trust and confidence throughout all the market intervenients. Despite being a detailed account of what really goes on behind high-frequency trading, the views and conclusions reached in the book are certainly negative. Their views have been shared publicly for several years pointing out the conflicts of interest throughout our market structure.
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