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# Category Archives: High Frequency Trading

## Daytrading Volatility ETFs

As we have discussed before, there is no standard definition of high frequency trading. For some, trading more than once or twice a day constitutes high frequency, while others regard anything less than several hundred times a session as low, … Continue reading

Posted in Algorithmic Trading, High Frequency Trading, VIX Index, Volatility ETF Strategy, Volatility Modeling
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## Making Money with High Frequency Trading

There is no standard definition of high frequency trading, nor a single type of strategy associated with it. Some strategies generate returns, not by taking any kind of view on market direction, but simply by earning Exchange rebates. In other … Continue reading

Posted in Commodity Futures, High Frequency Finance, High Frequency Trading
Tagged High Frequency Trading
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## High Frequency Trading Strategies

Most investors have probably never seen the P&L of a high frequency trading strategy. There is a reason for that, of course: given the typical performance characteristics of a HFT strategy, a trading firm has little need for outside capital. … Continue reading

Posted in Algo Design Language, Algorithmic Trading, eMini Futures, High Frequency Trading
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## Just in Time: Programming Grows Up – JonathanKinlay.com

Move over C++: Modern Programming Languages Combine Productivity and Efficiency Like many in the field of quantitative research, I have programmed in several different languages over the years: Assembler, Fortran, Algol, Pascal, APL, VB, C, C++, C#, Matlab, R, Mathematica. … Continue reading

Posted in Algo Design Language, High Frequency Trading, Julia, Mathematica, Programming, Uncategorized
Tagged C, Julia, Just-in-Time, Mathematica, Matlab, Programming
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## High Frequency Trading with ADL – JonathanKinlay.com

Trading Technologies’ ADL is a visual programming language designed specifically for trading strategy development that is integrated in the company’s flagship XTrader product. Despite the radically different programming philosophy, my experience of working with ADL has been delightfully easy and … Continue reading

Posted in Algo Design Language, Algorithmic Trading, Futures, High Frequency Trading, Latency, Market Microstructure, Mathematica, Matlab, Order Flow, S&P500 Index, Scalping, Toxic Flow, TradeStation, Trading Technologies
Tagged ADL, Futures, High Frequency Trading, Latency, Toxic Flow, Trading Technologies
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## Day Trading System in VIX Futures – JonathanKinlay.com

This is a follow up to my earlier post on a Calendar Spread Strategy in VIX Futures (more information on calendar spreads ). The strategy trades the front two months in the CFE VIX futures contract, generating an annual profit of around … Continue reading

Posted in Algo Design Language, Algo Strategy Engine, Day Trading, Futures, High Frequency Trading, Spread Trading, Trading, Trading Technologies, VIX Index
Tagged ADL, ASE, Day trading, High Frequency, Spread Trading, TT, VIX
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## Developing High Performing Trading Strategies with Genetic Programming

One of the frustrating aspects of research and development of trading systems is that there is never enough time to investigate all of the interesting trading ideas one would like to explore. In the early 1970’s, when a moving average … Continue reading

Posted in Algorithmic Trading, High Frequency Trading, Machine Learning, Market Efficiency, Nonlinear Classification
Tagged Automated Trading, Coffee Futures, Crude Oil, Daytrading, E-mini, Energy, Futures, Genetic Algorithms, Genetric Programming, Heating Oil, Machine leaning, Model Robustness, Natural Gas, Ten Year Futures, US Bond Futures
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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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## 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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