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.
1. Cover image - p. Cover 2. Title page - p. Cover 3. Table of Contents - p. Cover 4. Copyright - p. Cover 5. Dedication - p. IV 6. Preface - p. V 7. Acknowledgments - p. XVI 8. Chapter 1. Algorithmic Trading - p. XVIII 9. Chapter 2. Market Microstructure - p. 45 10. Chapter 3. Algorithmic Transaction Cost Analysis - p. 85 11. Chapter 4. Market Impact Models - p. 128 12. Chapter 5. Estimating I-Star Model Parameters - p. 162 13. Chapter 6. Price Volatility - p. 191 14. Chapter 7. Advanced Algorithmic Forecasting Techniques - p. 234 15. Chapter 8. Algorithmic Decision Making Framework - p. 268 16. Chapter 9. Portfolio Algorithms - p. 296 17. Chapter 10. Portfolio Construction - p. 329 18. Chapter 11. Quantitative Portfolio Management Techniques - p. 360 19. Chapter 12. Cost Index & Multi-Asset Trading Costs - p. 394 20. Chapter 13. High Frequency Trading and Black Box Models - p. 427 21. References - p. 451 22. Index - p. 451
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.
1. Cover image - p. Cover 2. Title page - p. Cover 3. Table of Contents - p. Cover 4. Copyright - p. Cover 5. Dedication - p. IV 6. Preface - p. V 7. Acknowledgments - p. XVI 8. Chapter 1. Algorithmic Trading - p. XVIII 9. Chapter 2. Market Microstructure - p. 45 10. Chapter 3. Algorithmic Transaction Cost Analysis - p. 85 11. Chapter 4. Market Impact Models - p. 128 12. Chapter 5. Estimating I-Star Model Parameters - p. 162 13. Chapter 6. Price Volatility - p. 191 14. Chapter 7. Advanced Algorithmic Forecasting Techniques - p. 234 15. Chapter 8. Algorithmic Decision Making Framework - p. 268 16. Chapter 9. Portfolio Algorithms - p. 296 17. Chapter 10. Portfolio Construction - p. 329 18. Chapter 11. Quantitative Portfolio Management Techniques - p. 360 19. Chapter 12. Cost Index & Multi-Asset Trading Costs - p. 394 20. Chapter 13. High Frequency Trading and Black Box Models - p. 427 21. References - p. 451 22. Index - p. 451
