Optimal trading strategies: quantitative approaches for managing market impact and trading risk
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York, NY [u.a.]
AMACOM
2003
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references (p. 371-378) and index |
| Beschreibung: | XVII, 382 S. graph. Darst. |
| ISBN: | 9780814407240 0814407242 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035040244 | ||
| 003 | DE-604 | ||
| 005 | 20081006 | ||
| 007 | t | ||
| 008 | 080905s2003 d||| |||| 00||| eng d | ||
| 020 | |a 9780814407240 |9 978-0-8144-0724-0 | ||
| 020 | |a 0814407242 |c hbk. : alk. paper |9 0-8144-0724-2 | ||
| 035 | |a (OCoLC)51258289 | ||
| 035 | |a (DE-599)GBV358663946 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-945 |a DE-11 | ||
| 050 | 0 | |a HG4661 | |
| 082 | 0 | |a 332.64/2 |2 21 | |
| 084 | |a QK 600 |0 (DE-625)141666: |2 rvk | ||
| 100 | 1 | |a Kissell, Robert |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Optimal trading strategies |b quantitative approaches for managing market impact and trading risk |c Robert Kissell and Morton Glantz |
| 264 | 1 | |a New York, NY [u.a.] |b AMACOM |c 2003 | |
| 300 | |a XVII, 382 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references (p. 371-378) and index | ||
| 650 | 0 | |a Stocks | |
| 650 | 0 | |a Investments | |
| 650 | 4 | |a Investments | |
| 650 | 4 | |a Stocks | |
| 700 | 1 | |a Glantz, Morton |e Verfasser |4 aut | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016709079&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016709079 | ||
Datensatz im Suchindex
| _version_ | 1804137974655352832 |
|---|---|
| adam_text | Contents
Foreword viii
Preface xi
Acknowledgments xiii
Introduction xiv
Chapter 1 Transaction Costs 1
Introduction to Transaction Cost Consequences 2
Transaction Costs in the Equity Markets 3
When Do Transaction Costs Arise? 5
Transaction Cost Examples 7
Transaction Cost Components 11
Measuring Versus Estimating Transaction Costs 15
Trader s Dilemma 18
Best Execution 18
Goal of Implementation 19
Transaction Cost Management Process 22
Chapter 2 Unbundled Transaction Cost
Components 25
Unbundled Transaction Costs 26
Transaction Cost Classification System 30
Transaction Cost Formulation 32
Discussion on Components 34
Chapter 3 Pre-Trade Analysis 37
Current State of Pre-Trade Analysis Systems 38
Company Information 39
Prices 43
Risk 56
Trade List Summary 81
Chapter 4 Price Appreciation 85
Price Appreciation Model 86
v
vi Contents
Chapter 5 Market Impact 97
Comparison of Market Impact and Trading Cost 98
What Causes Market Impact? 100
Total Market Impact Cost 105
Similarities Between Investor Market Impact
and Dealer Pricing Schemes 114
Chapter 6 Timing Risk 117
Computing Timing Risk 119
Price Volatility 120
Timing Risk of Trade Schedule 127
Estimating Volatility 128
Risk Models 141
Trading Covariance Matrix C 153
Chapter 7 Opportunity Cost 155
Estimating Opportunity Cost 157
Chapter 8 The Holy Grail of Market Impact 167
Random Walk with Market Impact 168
Simplified Formulation 169
Estimating Model Parameters 173
Best-Fit Estimation Models 179
Dissecting the Market Impact Model 180
Forecasting Market Impact 182
Examples 188
Chapter 9 Optimal Trading Strategies 193
Trading Decisions 194
Trading Costs 195
Comparison of Strategies 203
Optimal Trading Strategies 204
Chapter 10 Principal Bid Transactions 229
The Principal Bid Is Not Necessarily a Risk-Free
Execution 231
Principal Broker-Dealer Perspective 236
Broker-Dealer Execution Strategies 239
Investor Pricing Schemes 245
Contents vii
Fair Value of a Trade Schedule 247
Market Efficiency and Economies of Scale 261
Trading Risk Parameter 266
Cost Savings Allocation Scheme 268
Chapter 11 VWAP Trading Strategies 275
Achieving VWAP Price 276
Estimating Volume Profiles 279
Why Do Traders Select VWAP Trading
Strategies? 281
Mathematical Analysis of VWAP 285
Chapter 12 Advanced Trading Techniques 311
Optimization Formulation Revisited 311
Advanced Trading Ideas 324
Use of Efficient Frontier to Understand
Program-Block Decomposition 335
Chapter 13 Post-Trade Analysis 337
The Fundamentals of Post-Trade Analysis 338
Goal of Implementation 358
The Post-Trade Analysis Process 362
References 371
Index 379
|
| adam_txt |
Contents
Foreword viii
Preface xi
Acknowledgments xiii
Introduction xiv
Chapter 1 Transaction Costs 1
Introduction to Transaction Cost Consequences 2
Transaction Costs in the Equity Markets 3
When Do Transaction Costs Arise? 5
Transaction Cost Examples 7
Transaction Cost Components 11
Measuring Versus Estimating Transaction Costs 15
Trader's Dilemma 18
Best Execution 18
Goal of Implementation 19
Transaction Cost Management Process 22
Chapter 2 Unbundled Transaction Cost
Components 25
Unbundled Transaction Costs 26
Transaction Cost Classification System 30
Transaction Cost Formulation 32
Discussion on Components 34
Chapter 3 Pre-Trade Analysis 37
Current State of Pre-Trade Analysis Systems 38
Company Information 39
Prices 43
Risk 56
Trade List Summary 81
Chapter 4 Price Appreciation 85
Price Appreciation Model 86
v
vi Contents
Chapter 5 Market Impact 97
Comparison of Market Impact and Trading Cost 98
What Causes Market Impact? 100
Total Market Impact Cost 105
Similarities Between Investor Market Impact
and Dealer Pricing Schemes 114
Chapter 6 Timing Risk 117
Computing Timing Risk 119
Price Volatility 120
Timing Risk of Trade Schedule 127
Estimating Volatility 128
Risk Models 141
Trading Covariance Matrix C 153
Chapter 7 Opportunity Cost 155
Estimating Opportunity Cost 157
Chapter 8 The Holy Grail of Market Impact 167
Random Walk with Market Impact 168
Simplified Formulation 169
Estimating Model Parameters 173
Best-Fit Estimation Models 179
Dissecting the Market Impact Model 180
Forecasting Market Impact 182
Examples 188
Chapter 9 Optimal Trading Strategies 193
Trading Decisions 194
Trading Costs 195
Comparison of Strategies 203
Optimal Trading Strategies 204
Chapter 10 Principal Bid Transactions 229
The Principal Bid Is Not Necessarily a "Risk-Free"
Execution 231
Principal Broker-Dealer Perspective 236
Broker-Dealer Execution Strategies 239
Investor Pricing Schemes 245
Contents vii
Fair Value of a Trade Schedule 247
Market Efficiency and Economies of Scale 261
Trading Risk Parameter 266
Cost Savings Allocation Scheme 268
Chapter 11 VWAP Trading Strategies 275
Achieving VWAP Price 276
Estimating Volume Profiles 279
Why Do Traders Select VWAP Trading
Strategies? 281
Mathematical Analysis of VWAP 285
Chapter 12 Advanced Trading Techniques 311
Optimization Formulation Revisited 311
Advanced Trading Ideas 324
Use of Efficient Frontier to Understand
Program-Block Decomposition 335
Chapter 13 Post-Trade Analysis 337
The Fundamentals of Post-Trade Analysis 338
Goal of Implementation 358
The Post-Trade Analysis Process 362
References 371
Index 379 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Kissell, Robert Glantz, Morton |
| author_facet | Kissell, Robert Glantz, Morton |
| author_role | aut aut |
| author_sort | Kissell, Robert |
| author_variant | r k rk m g mg |
| building | Verbundindex |
| bvnumber | BV035040244 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4661 |
| callnumber-raw | HG4661 |
| callnumber-search | HG4661 |
| callnumber-sort | HG 44661 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 |
| ctrlnum | (OCoLC)51258289 (DE-599)GBV358663946 |
| dewey-full | 332.64/2 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/2 |
| dewey-search | 332.64/2 |
| dewey-sort | 3332.64 12 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01426nam a2200385 c 4500</leader><controlfield tag="001">BV035040244</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20081006 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">080905s2003 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780814407240</subfield><subfield code="9">978-0-8144-0724-0</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0814407242</subfield><subfield code="c">hbk. : alk. paper</subfield><subfield code="9">0-8144-0724-2</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)51258289</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBV358663946</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-945</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG4661</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.64/2</subfield><subfield code="2">21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 600</subfield><subfield code="0">(DE-625)141666:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Kissell, Robert</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Optimal trading strategies</subfield><subfield code="b">quantitative approaches for managing market impact and trading risk</subfield><subfield code="c">Robert Kissell and Morton Glantz</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York, NY [u.a.]</subfield><subfield code="b">AMACOM</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVII, 382 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references (p. 371-378) and index</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Stocks</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Investments</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Investments</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stocks</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Glantz, Morton</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016709079&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016709079</subfield></datafield></record></collection> |
| id | DE-604.BV035040244 |
| illustrated | Illustrated |
| index_date | 2024-07-02T21:52:56Z |
| indexdate | 2024-07-09T21:20:49Z |
| institution | BVB |
| isbn | 9780814407240 0814407242 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016709079 |
| oclc_num | 51258289 |
| open_access_boolean | |
| owner | DE-945 DE-11 |
| owner_facet | DE-945 DE-11 |
| physical | XVII, 382 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | AMACOM |
| record_format | marc |
| spelling | Kissell, Robert Verfasser aut Optimal trading strategies quantitative approaches for managing market impact and trading risk Robert Kissell and Morton Glantz New York, NY [u.a.] AMACOM 2003 XVII, 382 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references (p. 371-378) and index Stocks Investments Glantz, Morton Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016709079&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kissell, Robert Glantz, Morton Optimal trading strategies quantitative approaches for managing market impact and trading risk Stocks Investments |
| title | Optimal trading strategies quantitative approaches for managing market impact and trading risk |
| title_auth | Optimal trading strategies quantitative approaches for managing market impact and trading risk |
| title_exact_search | Optimal trading strategies quantitative approaches for managing market impact and trading risk |
| title_exact_search_txtP | Optimal trading strategies quantitative approaches for managing market impact and trading risk |
| title_full | Optimal trading strategies quantitative approaches for managing market impact and trading risk Robert Kissell and Morton Glantz |
| title_fullStr | Optimal trading strategies quantitative approaches for managing market impact and trading risk Robert Kissell and Morton Glantz |
| title_full_unstemmed | Optimal trading strategies quantitative approaches for managing market impact and trading risk Robert Kissell and Morton Glantz |
| title_short | Optimal trading strategies |
| title_sort | optimal trading strategies quantitative approaches for managing market impact and trading risk |
| title_sub | quantitative approaches for managing market impact and trading risk |
| topic | Stocks Investments |
| topic_facet | Stocks Investments |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016709079&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT kissellrobert optimaltradingstrategiesquantitativeapproachesformanagingmarketimpactandtradingrisk AT glantzmorton optimaltradingstrategiesquantitativeapproachesformanagingmarketimpactandtradingrisk |