Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization
ISBN-13:
9781498706483
ISBN-10:
1498706487
Edition:
1
Author:
Xin Guo, Tze Leung Lai, Howard Shek, Samuel Po-Shing Wong
Publication date:
2016
Publisher:
Chapman and Hall/CRC
Format:
Hardcover
357 pages
Category:
Finance
FREE US shipping
Book details
ISBN-13:
9781498706483
ISBN-10:
1498706487
Edition:
1
Author:
Xin Guo, Tze Leung Lai, Howard Shek, Samuel Po-Shing Wong
Publication date:
2016
Publisher:
Chapman and Hall/CRC
Format:
Hardcover
357 pages
Category:
Finance
Summary
Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization (ISBN-13: 9781498706483 and ISBN-10: 1498706487), written by authors
Xin Guo, Tze Leung Lai, Howard Shek, Samuel Po-Shing Wong, was published by Chapman and Hall/CRC in 2016.
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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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