Wednesday, October 27, 2010

Intro to High Frequency Finance (Book Review)

Some of the folks at university probably think I'm crazy to spend time on all this non-school related material when final exams are next week... Any way, this was a pretty good, i.e. useful book for a couple of writers with backgrounds in academia. Some of the ideas were practical in real time trading for me, especially the stuff around conditional correlations, seasonal volatility, and rolling regressions.

The good

Lots of descriptive concepts around data analysis, modeling, and trading strategy development. Some of the ideas like normalizing returns via mapping operators to take care of the skew issue with correlations could definitely help improve the trading algorithm development process. The summarized stylized facts could help any new reader become familiar with general statistics of high frequency financial time series.

The less-than-good

It felt like they might have made some things a bit more complicated than necessary.

Over all assessment

It's got some good ideas.

0 Reflections: