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High-Frequency Trading.pdf
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Chapter 1 argues that HFT is not simply faster trading, but
instead represents a new paradigm for trading financial assets. This
paradigm is volume-based, reflecting that machines operate not on
a time basis but rather on an event basis.
Chapters 2–4 then discuss in detail how high-frequency trad-
ing “works” in equity markets, fixed-income futures markets and
foreign exchange markets.
In Chapter 3 Robert Almgren examines the distinctive features
of trading futures on interest rate products.

In Chapter 4, Anton Golub, Alexandre Dupuis and Richard B.
Olsen describe the unique market structure of foreign exchange (FX)
trading and the main algorithms used in the industry.

In Chapter 5, Michael Kearns and Yuriy Nevmy-
vaka discuss the role that machine learning plays in developing
predictive algorithms for high-frequency trading.