The science of algorithmic trading and portfolio management
著者
書誌事項
The science of algorithmic trading and portfolio management
Academic Press, 2014
大学図書館所蔵 全2件
注記
Includes bibliographical references (p. 453-463) and index
内容説明・目次
内容説明
The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems.
This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects.
目次
I - Introduction
1. Algorithmic Trading
2. Market Microstructure
3. Transaction Cost Analysis (TCA)
II - Mathematical Modeling
4.. Market Impact
5. Multi-Asset Class Market Impact
6 Price
7. Algorithmic Trading Risk
8. Algorithmic Decision Making Framework
9. Portfolio Algorithms
III - Portfolio Management
10. Portfolio Construction
11. Quant Factors
12. Black Box Models
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