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Quantitative trading : algorithms, analytics, data, models, optimization / Xin Guo, University of California, Berkeley, USA, Tze Leung Lai, Stanford University, California, USA, Howard Shek, Tower Research Capital, New York City, New York, USA
- Format:
- Book
- Author/Creator:
- Guo, Xin, 1969- author.
- Lai, T. L., author.
- Shek, Howard, author.
- Wong, Samuel Po-Shing, author.
- Language:
- English
- Subjects (All):
- Investments--Mathematical models.
- Investments.
- Speculation--Mathematical models.
- Speculation.
- Investments--Data processing.
- Electronic trading of securities.
- Physical Description:
- 1 online resource (xxii, 357 pages)
- Edition:
- 1st ed.
- Place of Publication:
- Boca Raton, FL : CRC Press, [2017]
- Summary:
- 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.
- Contents:
- 1. Introduction
- 2. Statistical models and methods for quantitative trading
- 3. Active portfolio management and investment strategies
- 4. Econometrics of transactions in electronic platforms
- 5. Limit order book : data analytics and dynamic models
- 6. Optimal execution and placement
- 7. Market making and smart order routing
- 8. Informatics, regulation and risk management
- A. Martingale theory
- B. Markov chain and related topics
- C. Doubly stochastic self-exciting point processes
- D. Weak convergence and limit theorems.
- Notes:
- "A Chapman & Hall book"--title page.
- Includes bibliographical references and index.
- Description based on print version record.
- ISBN:
- 1-315-35435-7
- 1-315-37158-8
- 1-4987-0649-5
- 9781315371580
- OCLC:
- 971264639
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