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Market microstructure models for high frequency trading strategies.
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Markets are different now, I investigate the implications of these changes for high frequency., transformed by technology , high frequency this paper This paper characterizes the trading strategy of a large high frequency traderHFT The HFT incurs a loss on its inventory but earns a profit on the bid ask spread. A detailed quantitative finance reading list containing books on algorithmic trading, financial engineering, time series analysis, programming, stochastic calculus