Guo / Lai / Shek Quantitative Trading

Algorithms, Analytics, Data, Models, Optimization
Erscheinungsjahr 2016
ISBN: 978-1-4987-0649-0
Verlag: CRC Press
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 379 Seiten

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.

Autoren/Hrsg.

Guo, Xin

Lai, Tze Leung

Shek, Howard

Wong, Samuel Po-Shing

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

Introduction. Data Analytics, Modeling and Prediction for Strategy Development. Statistical Trading Rules and Performance Evaluation. Active Portfolio Management and Dynamic Investment Strategies. Limit Order Book Dynamics in Electronic Exchanges. Algorithmic Trading in Electronic Platforms. Market Making and Inventory Control. Informatics and Computation for Algorithmic Trading. Risk Management and Regulatory Issues.

Über Autor(innen)

Tze Leung Lai, PhD, is a professor in the Department of Statistics at Stanford University, Palo Alto, California

Samuel Po-Shing Wong, PhD, is Head of Research (Risk Management and Trading Strategies) at CASH Dynamic Opportunities Investment Limited

Xin Guo, PhD, is a professor in the Department of Industrial Engineering and Operations Research at the University of California, Berkeley, USA