Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk)

A Deep Quantitative Dive into the Fastest Corner of Modern Markets

In Algorithmic and High-Frequency Trading, three leading academics and practitioners—Álvaro Cartea, Sebastian Jaimungal, and José Penalva—offer a rigorous, mathematically grounded introduction to the core ideas, models, and practical tools used in modern electronic trading.

This book is a must-have resource for those who want to understand the mechanics of optimal execution, inventory control, market making, and statistical arbitrage. Blending finance theory with real-world applications, it introduces advanced stochastic control methods and demonstrates how they are used to model high-frequency strategies and algorithmic execution.

With its strong mathematical foundation, this book is geared toward advanced readers in quantitative finance, data science, and financial engineering—ideal for building the next generation of trading systems.

✅ What You’ll Learn:

• Mathematical modeling of execution strategies under uncertainty
• Optimal inventory management for market makers
• Stochastic control techniques for trading algorithms
• Execution cost analysis and risk-adjusted return optimization
• Empirical calibration of models to market data
• Real-world case studies involving statistical arbitrage and HFT

💡 Key Benefits:

• Quantitative Edge: Gain a robust theoretical framework for building advanced trading strategies.
• Industry-Ready Knowledge: Learn the tools and models used by quants, market makers, and hedge funds.
• Practical Examples: Real trading problems and simulations bring theory into practice.
• Multi-Disciplinary Approach: Bridges finance, statistics, operations research, and computer science.

👤 Who This Book Is For:

• Quantitative analysts and traders building algorithmic strategies
• Graduate students in financial engineering, mathematics, or computer science
• Practitioners in HFT firms and proprietary trading desks
• Academics researching financial markets and microstructure

📚 Table of Contents:

1. Introduction to Algorithmic and High-Frequency Trading
2. The Structure of Financial Markets
3. Modeling Market Impact
4. Optimal Execution Strategies
5. Market Making and Inventory Risk
6. Optimal Liquidation and Limit Order Books
7. High-Frequency Trading Strategies
8. Empirical Methods and Calibration
9. Risk and Performance Analysis
10. Future Directions and Research Topics