| Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization Contributor(s): Guo, Xin (Author), Lai, Tze Leung (Author), Shek, Howard (Author) |
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ISBN: 0367871815 ISBN-13: 9780367871819 Publisher: CRC Press OUR PRICE: $74.09 Product Type: Paperback - Other Formats Published: December 2019 |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Mathematics | Probability & Statistics - General |
| Dewey: 332.645 |
| Physical Information: 380 pages |
| Descriptions, Reviews, Etc. |
| Publisher 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. |