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# Category Archives: High Frequency Finance

## Measuring Toxic Flow for Trading & Risk Management

A common theme of microstructure modeling is that trade flow is often predictive of market direction. One concept in particular that has gained traction is flow toxicity, i.e. flow where resting orders tend to be filled more quickly than expected, while … Continue reading

Posted in Algorithmic Trading, ARMA, Direction Prediction, Econometrics, Econophysics, Forecasting, High Frequency Finance, Market Microstructure, Order Flow, Risk Management, Time Series Modeling, Toxic Flow
Tagged Forecasting, Market Microstructure, Order Flow, Toxic Flow
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## Hiring High Frequency Quant/Traders

I am hiring in Chicago for exceptional HF Quant/Traders in Equities, F/X, Futures & Fixed Income. Remuneration for these roles, which will be dependent on qualifications and experience, will be in line with the highest market levels. Role Working closely with team … Continue reading

Posted in High Frequency Finance, High Frequency Trading, Jobs, Quant/Traders, Recruitment
Tagged Chicago, High Frequency Trading, Jobs, Quant/Traders, Recruitment
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## Alpha Spectral Analysis

One of the questions of interest is the optimal sampling frequency to use for extracting the alpha signal from an alpha generation function. We can use Fourier transforms to help identify the cyclical behavior of the strategy alpha and hence … Continue reading

Posted in Forecasting, Fourier Transforms, High Frequency Finance, Pairs Trading, Principal Components Analysis, Signal Processing, Statistical Arbitrage
Tagged Fourier Transforms, High Frequency Trading, Pairs Trading, Principal Components Analysis, Signal Processing, Statistical Arbitrage
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## Market Microstructure Models for High Frequency Trading Strategies

This note summarizes some of the key research in the field of market microstructure and considers some of the models proposed by the researchers. Many of the ideas presented here have become widely adopted by high frequency trading firms and … Continue reading

Posted in Econophysics, Forecasting, High Frequency Finance, High Frequency Trading, Market Microstructure
Tagged Econophysics, Forecasting, High Frequency Finanance, High Frequency Trading, Market Microstructure
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## Master’s in High Frequency Finance

I have been discussing with some potential academic partners the concept for a new graduate program in High Frequency Finance. The idea is to take the concept of the Computational Finance program developed in the 1990s and update it to … Continue reading

Posted in Algorithmic Trading, Econometrics, Education, Financial Engineering, Graduate Programs, High Frequency Finance, High Frequency Trading, Market Microstructure
Tagged Algorithmic Trading, Education, Financial engineering, Graduate Programs, High Frequency Finance, High Frequency Trading, Market Microstructure
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