A native of Montreal, Professor Greg N. Gregoriou obtained his joint Ph.D. in finance at the University of Quebec at Montreal which merges the resources of Montreal's four major universities McGill, Concordia, UQAM and HEC. Professor Gregoriou is Professor of Finance at State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alternative Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, Universidad de Navarra and at the University of Quebec at Montreal.Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY Plattsburgh in August 2003. Professor Gregoriou's books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc.Professor Gregoriou is the derivatives editor and editorial board member for the Journal of Asset Management as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital and private equity. He has also been quoted several times in the New York Times, Barron's, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris) and L'Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lecturer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore and a research associate with the University of Quebec at Montreal's CDP Capital Chair in Portfolio Management. He is on the advisory board of the Research Center for Operations and Productivity Management at the University of Science and Technology (Management School) in Hefei, Anhui, China.

"This handbook, expertly edited by Professor Gregoriou, provides a very thorough coverage of what is a new and complex field of study.  It will be indispensable for both commercial and scholastic researchers." --Stephen Satchell, University of Sydney"The introduction of high frequency trading is a major change in the way securities are traded. As with all major changes in security markets there are questions of liquidity and execution, informational efficiency, and the possibility of excess volatility and systemic risk. All of these concerns come down to the fundamental question of how fair these markets are. This volume represents the first comprehensive study of these issues from an academic point of view." --Stephen J. Brown, NYU Stern School of Business

• Trading Activity1. High-Frequency Activity on NASDAQ2. Profitability as a Function of the Holding Period with Implications for High Frequency Trading3. Data Characteristics for High-Frequency Trading Systems4. The Relavance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High Frequency Financial Data: Evidence from ASEN Stock Markets5. The Closer the Better? High Frequency Trading and Limitations to Arbitrage Opportunities in Spatially Segmented Markets6. EU High Frequency Trading Regulation: Mandatory Disclosure and New InvestorsEvolution and the Future7. High Frequency Trading: Implications for Market Efficiency and Fairness8. Revisioning Revisionism: A Glance at HFT's Critics9. High Frequency Trading: Evolution and Future10. High Frequency Trading and Predatory Behavior in the Australian Equity Markets11. Global Stock Exchanges in the High Frequency Trading VortexLiquidity and Execution12. Measuring Equity Market Liquidity with High Frequency Trading Data13. We Missed It Again! Why So Many Market Orders in the High Frequency FX Trading Fail to be Executed14. On The Sharpe Ratio for High Frequency TradersImpact of News Releases15. Do High Frequency Traders Care About Earnings Announcements? An Analysis of Trading Activity Before, During, and After Regular Trading Hours16. Why Accountants Should Care About High Frequency Trading17. High Frequency Trading under Information Regimes18. Effects of Firm-Specific Public Announcements on Market Dynamics: Implications for High Frequency Traders19. Machine News and Volatillity: The Dow Jones Industrial Average and the TRNA Real-Time High Frequency Sentiment SeriesImpact of Volatility20. Technical Trading Strategies at High Frequency: Insights for Practitioners21. High-Frequency News Flow and States of Asset Volatility22. News Releases and Stock Market Volatility: Intraday Evidence from Borsa Istanbul23. The Low Risk Anomaly Revisited on High Frequency Data24. Measuring the Leverage Effect in a High Frequency Framework

A native of Montreal, Professor Greg N. Gregoriou obtained his joint Ph.D. in finance at the University of Quebec at Montreal which merges the resources of Montreal's four major universities McGill, Concordia, UQAM and HEC. Professor Gregoriou is Professor of Finance at State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alternative Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, Universidad de Navarra and at the University of Quebec at Montreal.Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY Plattsburgh in August 2003. Professor Gregoriou's books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc.Professor Gregoriou is the derivatives editor and editorial board member for the Journal of Asset Management as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital and private equity. He has also been quoted several times in the New York Times, Barron's, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris) and L'Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lecturer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore and a research associate with the University of Quebec at Montreal's CDP Capital Chair in Portfolio Management. He is on the advisory board of the Research Center for Operations and Productivity Management at the University of Science and Technology (Management School) in Hefei, Anhui, China.

"This handbook, expertly edited by Professor Gregoriou, provides a very thorough coverage of what is a new and complex field of study.  It will be indispensable for both commercial and scholastic researchers." --Stephen Satchell, University of Sydney"The introduction of high frequency trading is a major change in the way securities are traded. As with all major changes in security markets there are questions of liquidity and execution, informational efficiency, and the possibility of excess volatility and systemic risk. All of these concerns come down to the fundamental question of how fair these markets are. This volume represents the first comprehensive study of these issues from an academic point of view." --Stephen J. Brown, NYU Stern School of Business

• Trading Activity1. High-Frequency Activity on NASDAQ2. Profitability as a Function of the Holding Period with Implications for High Frequency Trading3. Data Characteristics for High-Frequency Trading Systems4. The Relavance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High Frequency Financial Data: Evidence from ASEN Stock Markets5. The Closer the Better? High Frequency Trading and Limitations to Arbitrage Opportunities in Spatially Segmented Markets6. EU High Frequency Trading Regulation: Mandatory Disclosure and New InvestorsEvolution and the Future7. High Frequency Trading: Implications for Market Efficiency and Fairness8. Revisioning Revisionism: A Glance at HFT's Critics9. High Frequency Trading: Evolution and Future10. High Frequency Trading and Predatory Behavior in the Australian Equity Markets11. Global Stock Exchanges in the High Frequency Trading VortexLiquidity and Execution12. Measuring Equity Market Liquidity with High Frequency Trading Data13. We Missed It Again! Why So Many Market Orders in the High Frequency FX Trading Fail to be Executed14. On The Sharpe Ratio for High Frequency TradersImpact of News Releases15. Do High Frequency Traders Care About Earnings Announcements? An Analysis of Trading Activity Before, During, and After Regular Trading Hours16. Why Accountants Should Care About High Frequency Trading17. High Frequency Trading under Information Regimes18. Effects of Firm-Specific Public Announcements on Market Dynamics: Implications for High Frequency Traders19. Machine News and Volatillity: The Dow Jones Industrial Average and the TRNA Real-Time High Frequency Sentiment SeriesImpact of Volatility20. Technical Trading Strategies at High Frequency: Insights for Practitioners21. High-Frequency News Flow and States of Asset Volatility22. News Releases and Stock Market Volatility: Intraday Evidence from Borsa Istanbul23. The Low Risk Anomaly Revisited on High Frequency Data24. Measuring the Leverage Effect in a High Frequency Framework

A native of Montreal, Professor Greg N. Gregoriou obtained his joint Ph.D. in finance at the University of Quebec at Montreal which merges the resources of Montreal's four major universities McGill, Concordia, UQAM and HEC. Professor Gregoriou is Professor of Finance at State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alternative Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, Universidad de Navarra and at the University of Quebec at Montreal.Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY Plattsburgh in August 2003. Professor Gregoriou's books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc.Professor Gregoriou is the derivatives editor and editorial board member for the Journal of Asset Management as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital and private equity. He has also been quoted several times in the New York Times, Barron's, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris) and L'Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lecturer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore and a research associate with the University of Quebec at Montreal's CDP Capital Chair in Portfolio Management. He is on the advisory board of the Research Center for Operations and Productivity Management at the University of Science and Technology (Management School) in Hefei, Anhui, China.

"This handbook, expertly edited by Professor Gregoriou, provides a very thorough coverage of what is a new and complex field of study.  It will be indispensable for both commercial and scholastic researchers." --Stephen Satchell, University of Sydney"The introduction of high frequency trading is a major change in the way securities are traded. As with all major changes in security markets there are questions of liquidity and execution, informational efficiency, and the possibility of excess volatility and systemic risk. All of these concerns come down to the fundamental question of how fair these markets are. This volume represents the first comprehensive study of these issues from an academic point of view." --Stephen J. Brown, NYU Stern School of Business

• Trading Activity1. High-Frequency Activity on NASDAQ2. Profitability as a Function of the Holding Period with Implications for High Frequency Trading3. Data Characteristics for High-Frequency Trading Systems4. The Relavance of Heteroskedasticity and Structural Breaks when Testing for a Random Walk with High Frequency Financial Data: Evidence from ASEN Stock Markets5. The Closer the Better? High Frequency Trading and Limitations to Arbitrage Opportunities in Spatially Segmented Markets6. EU High Frequency Trading Regulation: Mandatory Disclosure and New InvestorsEvolution and the Future7. High Frequency Trading: Implications for Market Efficiency and Fairness8. Revisioning Revisionism: A Glance at HFT's Critics9. High Frequency Trading: Evolution and Future10. High Frequency Trading and Predatory Behavior in the Australian Equity Markets11. Global Stock Exchanges in the High Frequency Trading VortexLiquidity and Execution12. Measuring Equity Market Liquidity with High Frequency Trading Data13. We Missed It Again! Why So Many Market Orders in the High Frequency FX Trading Fail to be Executed14. On The Sharpe Ratio for High Frequency TradersImpact of News Releases15. Do High Frequency Traders Care About Earnings Announcements? An Analysis of Trading Activity Before, During, and After Regular Trading Hours16. Why Accountants Should Care About High Frequency Trading17. High Frequency Trading under Information Regimes18. Effects of Firm-Specific Public Announcements on Market Dynamics: Implications for High Frequency Traders19. Machine News and Volatillity: The Dow Jones Industrial Average and the TRNA Real-Time High Frequency Sentiment SeriesImpact of Volatility20. Technical Trading Strategies at High Frequency: Insights for Practitioners21. High-Frequency News Flow and States of Asset Volatility22. News Releases and Stock Market Volatility: Intraday Evidence from Borsa Istanbul23. The Low Risk Anomaly Revisited on High Frequency Data24. Measuring the Leverage Effect in a High Frequency Framework