Book recommendation: High Frequency Trading

If you are looking for a comprehensive coverage of this theme over the Christmas break I recommend the following:

http://www.amazon.com/High-Frequency-Trading-Practical-Algorithmic-Strategies/dp/0470563761

It succeeds in providing a clear overview whilst providing some interesting logic and analysis for seasoned practitioners such as myself.

The text provides an excellent overview of the Business of high frequency trading. If you are looking for algo specific implementations I would suggest you look elsewhere however. It is useful for senior stakeholders looking to define or review strategy as opposed to implementation detail.

It's most outstanding quality is helping you to understand and review such transactions in the context of the trade life-cycle.

A was an appreciated and welcome Xmas gift indeed.

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