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Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization

Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization

Hardcover

Investing & FinanceProbability & Statistics

ISBN10: 1498706487
ISBN13: 9781498706483
Publisher: CRC Press
Published: Dec 15 2016
Pages: 357
Weight: 1.45
Height: 1.00 Width: 6.00 Depth: 9.30
Language: English

The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.

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