An introduction to high-frequency finance

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1. rfurlanNov 2011
   Books I would recommend for beginners:

   Evidence Based Technical Analysis: http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie...

   Pairs Trading: http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Ana...

   Quantitative Trading: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic...

   An Introduction to High Frequency Finance: http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...

   Trading and Exchanges: Market Microstructure for Practitioners: http://www.amazon.com/Trading-Exchanges-Market-Microstructur...

   I also wrote a couple of very introductory articles, sadly I never got past part #2: http://www.bitcortex.com/2008/12/28/pragmatic-automated-trad... http://www.bitcortex.com/2009/01/04/pragmatic-automated-trad...

   I am could mentor 1-2 HN readers that are serious about getting into quant trading. Just let me know you are interested :)

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2. nailerAug 2009
   Foyle's bookstore in London has a financial section larger than a lot of bookstores, including a wide variety of books on statistical modelling for financial instruments.

   In terms of keeping up with the community, zerohedge.com provides valuable advice and recently provided the full PDF of 'an introduction to high-frequency finance'.

   In terms of low latency architecture and platforms, check the docs for Red Hat's MRG, SuSE's SLIRT, and highscalability.com. You'll find most of your Unix knowledge is tied towards performance rather than determinism, and you'll need to re-learn a lot of your knowledge and delve deeper into strace and systemtap.

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