Algorithmic and High-Frequency Trading
Cambridge University Press, 6. aug. 2015 - 343 sider
The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.
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Introduction to Part I
A Primer on the Microstructure of Financial Markets
Prices and Returns
Activity and Market Quality
Introduction to Part II
Algorithmic and HighFrequency Trading
Optimal Execution with Continuous Trading II
Optimal Execution with Limit and Market Orders
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AAPL adverse selection agent posts agent’s algorithmic trading ansatz asset assume bid and ask Brownian motion cash Chapter co-integration factor dark pool denote dynamic programming equation exchange execute an MO expected exponential utility FARO hence interquartile range intraday jumps left panel limit order linear liquidity traders market orders martingale maximise midprice MO arrives NASDAQ non-linear number of shares optimal control optimal depth optimal liquidation optimal speed optimal strategy optimal trading order flow order imbalance parameter performance criteria Poisson process price changes price impact quoted spread random variables regime represents right panel satisfies the SDE sell orders shows solution solve speed of trading stochastic stochastic process target term terminal condition H(T trading horizon trading rate trading speed trading strategy TWAP value function volatility volume VWAP walk the LOB zero