Algorithmic and High-Frequency Trading

By Álvaro Cartea, Sebastian Jaimungal & José Penalva

Algorithmic and High-Frequency Trading is a rigorous, quantitative introduction to modern electronic trading. Published by Cambridge University Press, this book develops the mathematical foundations of optimal execution, market making, and algorithmic trading in limit order book markets, with a focus on stochastic control and practical modeling.

Widely used in quantitative finance and financial engineering programs, it bridges theory and practice by explaining how trading strategies interact with market microstructure, liquidity, transaction costs, and risk. It is an essential reference for quants, researchers, and practitioners building systematic trading and execution models.

What This Book Does

This book teaches the core models and methods behind algorithmic execution and high-frequency market making, showing how to design strategies that manage inventory risk, adverse selection, and transaction costs in electronic markets.

Key Features

• Mathematical framework for optimal execution and order placement
• Market making models with inventory and risk controls
• Limit order book dynamics, liquidity, and market impact
• Stochastic control and dynamic programming methods
• Realistic trading frictions: costs, spreads, and adverse selection
• Suitable for advanced study and professional quantitative work

Who Should Use This Book?

• Quantitative finance and financial engineering students
• Quant researchers and systematic traders
• Execution, market microstructure, and HFT practitioners
• Mathematicians and statisticians entering electronic trading
• Graduate courses in algorithmic trading and market microstructure

Why It’s Essential

• One of the most rigorous texts on algorithmic trading models
• Connects market microstructure with strategy design
• Builds tools for execution quality and risk-managed trading
• Trusted reference for academic and professional quant teams

The definitive quantitative guide to algorithmic execution and high-frequency trading.
Order today from BooksGoat and level up your trading model expertise.

Product Details

• ISBN-13: 9781107091146
• Authors: Álvaro Cartea; Sebastian Jaimungal; José Penalva
• Publisher: Cambridge University Press
• Format: Paperback
• Condition: New
• Availability: In Stock
• Shipping: Free Shipping

Table of Contents (Highlights)

• Market Microstructure and Electronic Markets
• Optimal Execution and Market Impact
• Limit Order Books and Order Placement
• Market Making and Inventory Risk
• Stochastic Control for Trading Strategies
• Liquidity, Adverse Selection, and Transaction Costs
• Model Extensions and Practical Considerations

FAQs

• Is this book mathematical? Yes, it is a quantitative text with stochastic control and rigorous modeling.
• Does it cover market making and execution? Yes, it covers both optimal execution and market making strategies.
• Is it suitable for practitioners? Yes, it is widely used by quants and researchers working in electronic trading.