High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

A well thought out, practical guide covering all aspects of high-frequency trading and of systematic trading in general. I recommend this book highly. –Igor Tulchinsky, CEO, WorldQuant, LLC

For traditional fundamental and technical analysts, Irene Aldridge's book has the effect a first read of quantum physics would have had on traditional Newtonian physicists: eye-opening, challenging, and enlightening. –Neal M. Epstein, CFA, Managing Director, Research & Product Management, Proctor Investment Managers LLC

For practitioners, this book covers many of the topics people should be thinking about if they want to get into high frequency trading. It presents many of the results across the vast literature at an easy manner and pace, distilling many of the essential ideas and formulas. Besides the convenience of having all these results in one place, there are plenty of hints for future directions in researching high frequency alpha. –Addison D. Tsai, Managing Partner, SDS Capital Group

Irene's new book delivers exactly what it sets out to achieve. It opens the arena of High-Frequency Trading to traders and investors looking to understand why trading is becoming automated and how traders operate in this environment. This books makes academic research useful by explaining how to create trading strategies.

This is the only book that shows a trader how to build a trading operation from the ground up. It explains the topics I need to understand in the High-Frequency space from trading strategies to risk management. This is also the only material that defines what is meant by High Frequency
Trading based on an actual survey of Hedge Fund managers from FinAlternatives (rather than rely solely on academics).
The overview of statistical and econometric techniques is immensely helpful to walk through the details of how to measure performance in a High Frequency environment. The implications of not holding positions overnight on the Sharpe ratio and on risk management are important for
traders to understand.