ENGLISH

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

By Tze Leung Lai , Xin Guo , Howard Shek , Samuel Po-Shing Wong

Book information

Publisher
Chapman and Hall/CRC
Year
2016
ISBN
1498706487, 9781498706483
Language
english
Format
AZW3
Filesize
11 MB (11372752 bytes)
Edition
1
Pages
379\0
Time added
2017-10-21 07:55:17
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Description

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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