### Forums

### Blogroll

### Search

### Archives

- August 2015
- July 2015
- June 2015
- May 2015
- April 2015
- March 2015
- February 2015
- January 2015
- December 2014
- November 2014
- October 2014
- September 2014
- August 2014
- July 2014
- June 2014
- May 2014
- April 2014
- December 2012
- November 2012
- September 2011
- June 2011
- May 2011
- April 2011
- March 2011
- February 2011
- July 2010
- July 2009
- May 2009

### Categories

- Algo Design Language (6)
- Algo Strategy Engine (2)
- Algorithmic Trading (11)
- Alternative Investment (1)
- ARFIMA (1)
- ARMA (4)
- Asian markets (2)
- Binary Options (1)
- Black Noise (2)
- CAPM (1)
- Cointegration (7)
- Commodity Futures (3)
- Correlation (1)
- Correlation Dimension (1)
- Correlation Integral (1)
- CrashMetrics (1)
- Day Trading (2)
- Derivatives (3)
- Direction Prediction (4)
- Dispersion (1)
- Econometrics (7)
- Economics (1)
- Econophysics (2)
- Education (1)
- Emerging Markets (1)
- eMini Futures (4)
- Equity Curve (2)
- Equity Futures (1)
- ETFs (6)
- Factor Models (1)
- Fat Tails (3)
- FIGARCH (2)
- Financial Engineering (5)
- Fixed Income Futures (1)
- Forecasting (17)
- Fourier Transforms (2)
- Fractional Brownian Motion (2)
- Fractional Cointegration (2)
- Fractional Integration (3)
- Futures (9)
- GARCH (1)
- Genetic Programming (1)
- Graduate Programs (1)
- Granger Causality (1)
- Hedge Funds (3)
- Henon Attractor (1)
- High Frequency Finance (6)
- High Frequency Trading (9)
- Hurst Exponent (2)
- Hybrid Products (1)
- Interactive Brokers (1)
- Interest Rate Models (1)
- Jobs (1)
- Johansen (2)
- Julia (2)
- Kalman Filter (2)
- Kelly Criterion (2)
- Latency (1)
- Logistic Attractor (1)
- Logit Regression (2)
- Long Memory (4)
- Long/Short (1)
- Machine Learning (4)
- Market Efficiency (2)
- Market Microstructure (4)
- Market Timing (3)
- Markov Model (1)
- Markov State Models (1)
- Mathematca (1)
- Mathematica (6)
- Matlab (8)
- Mean Reversion (5)
- Metals (1)
- Model Review (1)
- Modeling (4)
- Momentum (2)
- Money Management (4)
- Monte Carlo (1)
- Multifactor Models (2)
- Natural Gas Futures (1)
- Nearest Neighbor (1)
- Neural Networks (1)
- Nonlinear Classification (2)
- Nonlinear Dynamics (2)
- Optimal f (2)
- Options (7)
- Order Flow (2)
- Pairs Trading (5)
- Pattern Trading (1)
- Performance Testing (1)
- Pink Noise (2)
- Portfolio Management (3)
- Principal Components Analysis (1)
- Programming (2)
- Purchasing Power Parity (1)
- Quant/Traders (1)
- Random Forrests (1)
- Recruitment (1)
- REGARCH (3)
- Regime Shifts (4)
- Regime Switching (2)
- Regression (1)
- Risk Management (2)
- S&P500 Index (9)
- Scalping (2)
- Seasonal Effects (1)
- Signal Processing (2)
- Spline Methods (1)
- Spread Trading (2)
- Statistical Arbitrage (8)
- Stochastic Differential Equations (1)
- Stochastic Process Control (1)
- Stock Market (1)
- Strange Attractor (1)
- Strategy Development (4)
- Support Vector Machines (1)
- Systematic Strategies (6)
- Time Series Modeling (5)
- Toxic Flow (2)
- TradeStation (4)
- Trading (9)
- Trading Technologies (3)
- Uncategorized (10)
- Unit Roots (1)
- Van Tharp (1)
- Venture Capital (1)
- VIX Index (14)
- Volatility ETF Strategy (10)
- Volatility Modeling (28)
- volatility sign prediction forecasting Engle (3)
- White Noise (3)
- Yield Curve Modeling (1)

### Tag Cloud

ADL ARFIMA ARMA Models Black Noise Direction Prediction ETFs Financial engineering Forecasting Fourier Transforms Fractional Brownian Motion Fractional Cointegration Fractional Integration Futures GARCH High Frequency Trading Jump Diffusion Kalman Filter Kurtosis Long Memory Machine Learning Market Microstructure Market Timing Mathematica MultiFactor Models Natural Gas Option Pricing Options Pairs Trading REGARCH Regime Shifts Robustness S&P500 Index Signal Processing Skewness Smile Statistical Arbitrage Stochastic Volatility Strategy Toxic Flow Tradestation Trading VIX Volatility Volatility Dynamics White Noise

# Tag Archives: High Frequency Trading

## 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
Comments Off on Making Money with High Frequency Trading

## 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
Comments Off on High Frequency Trading with ADL – JonathanKinlay.com

## 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
Comments Off on Hiring High Frequency Quant/Traders

## 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
Comments Off on Alpha Spectral Analysis

## 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
Comments Off on Market Microstructure Models for High Frequency Trading Strategies

## 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
Comments Off on Master’s in High Frequency Finance