Tag Archives: 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 , , , , , | Comments Off

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 , , , , | Comments Off

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 , , , , , | Comments Off

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 , , , , | Comments Off

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 , , , , , , | Comments Off