This article compares the performance of systematic and discretionary hedge funds. In systematic funds, most trades are originated and executed by computer programs written for that purpose. In discretionary funds, human traders make decisions when to buy and sell which financial securities. The...

In the classic mean-variance portfolio theory as proposed by Harry Markowitz, the weights of the optimized portfolios are directly proportional to the inverse of the asset correlation matrix. However, most of contemporary portfolio optimization research focuses on optimizing the correlation...

In this article, the author presents a model of distributional properties of returns on financial instruments tied to ETFs via high-frequency statistical arbitrage. As the author's model shows, the securities subject to an ETF arbitrage exhibit a well-defined behavior, largely dependent on the...

A fully revised second edition of the best guide to high-frequency trading High-frequency trading is a difficult, but profitable, endeavor that can generate stable profits in various market conditions. But solid footing in both the theory and practice of this discipline are essential to success....

A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency...

Cover -- Title Page -- Copyright -- Contents -- Acknowledgments -- Chapter 1: Silicon Valley Is Coming! -- Everyone Is into Fintech -- The Current State of Big Data Finance -- The Millennials Are Coming -- Social Media -- Mobile -- Cheaper and Faster Technology -- Cloud Computing -- Blockchain...