The Science of Algorithmic Trading and Portfolio Management

1. Auflage 2013
ISBN: 978-0-12-401689-7
Verlag: Elsevier Science Publishing Co Inc

Buch, Englisch, 496 Seiten, Format (B × H): 236 mm x 197 mm, Gewicht: 1124 g

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.

Zielgruppe

<p>Students and professors studying stock selection and portfolio management, as well as traders, practitioners, and portfolio managers working in the financial industry.</p>

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Börse, Rohstoffe
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte

Inhaltsverzeichnis

I - Introduction

1. Algorithmic Trading

2. Market Microstructure

3. Transaction Cost Analysis (TCA)

II - Mathematical Modeling

4. Market Impact

5. Multi-Asset Class Market Impact

6 Price

7. Algorithmic Trading Risk

8. Algorithmic Decision Making Framework

9. Portfolio Algorithms

III - Portfolio Management

10. Portfolio Construction

11. Quant Factors

12. Black Box Models

Über Autor(innen)

Robert Kissell is an Executive Director responsible for analytics product initiaitives within UBS Direct Execution and UBS Portfolio Trading. Prior to joining UBS, he was with JP Morgan where he served as Head of Quantitative Trading Strategies.