Algorithmic and high-frequency trading:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2015
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverzeichnis Seite [327] - 335 Hier auch später erschienene, unveränderte Nachdrucke |
| Beschreibung: | xv, 343 Seiten Diagramme (farbig) |
| ISBN: | 9781107091146 |
Internformat
MARC
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| 245 | 1 | 0 | |a Algorithmic and high-frequency trading |c Álvaro Cartea, University College London; Sebastian Jaimungal, Univerity of Toronto; José Penalva, Universidad Carlos III de Madrid |
| 264 | 1 | |a Cambridge |b Cambridge University Press |c 2015 | |
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| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Electronic trading of securities |x Mathematical models | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Speculation |x Mathematical models | |
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Datensatz im Suchindex
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| adam_text | Contents
Preface page xiii
How to Read this Book xvi
Part I Microstructure and Empirical Facts 1
Introduction to Part I 3
1 Electronic Markets and the Limit Order Book 4
1.1 Electronic markets and how they function 4
1.2 Classifying Market Participants 6
1.3 Trading in Electronic Markets 9
1.3.1 Orders and the Exchange 9
1.3.2 Alternate Exchange Structures 10
1.3.3 Colocation 11
1.3.4 Extended Order Types 12
1.3.5 Exchange Fees 13
1.4 The Limit Order Book 14
1.5 Bibliography and Selected Readings 18
2 A Primer on the Microstructure of Financial Markets 19
2.1 Market Making 20
2.1.1 Grossman—Miller Market Making Model 21
2.1.2 Trading Costs 24
2.1.3 Measuring Liquidity 26
2.1.4 Market Making using Limit Orders 28
2.2 Trading on an Informational Advantage 30
2.3 Market Making with an Informational Disadvantage 34
2.3.1 Price Dynamics 36
2.3.2 Price Sensitive Liquidity Traders 37
2.4 Bibliography and Selected Readings 37
3 Empirical and Statistical Evidence: Prices and Returns 39
3.1 Introduction 39
3.1.1 The Data 39
3.1.2 Daily Asset Prices and Returns 41
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Contents
3.1.3 Daily Trading Activity
3.1.4 Daily Price Predictability
3.2 Asset Prices and Returns Intraday
3.3 Inter arrival Times
3.4 Latency and Tick Size
3.5 Non-Markovian Nature of Price Changes
3.6 Market Fragmentation
3.7 Empirics of Pairs Trading
3.8 Bibliography and Selected Readings
Empirical and Statistical Evidence: Activity and Market Quality
4.1 Daily Volume and Volatility
4.2 Intraday Activity
4.2.1 Intraday Volume Patterns
4.2.2 Intrasecond Volume Patterns
4.2.3 Price Patterns
4.3 Trading and Market Quality
4.3.1 Spreads
4.3.2 Volatility
4.3.3 Market Depth and Trade Size
4.3.4 Price Impact
4.3.5 Walking the LOB and Permanent Price Impact
4.4 Messages and Cancellation Activity
4.5 Hidden Orders
4.6 Bibliography and Selected Readings
Mathematical Tools
Introduction to Part II
Stochastic Optimal Control and Stopping
5.1 Introduction
5.2 Examples of Control Problems in Finance
5.2.1 The Merton Problem
5.2.2 The Optimal Liquidation Problem
5.2.3 Optimal Limit Order Placement
5.3 Control for Diffusion Processes
5.3.1 The Dynamic Programming Principle
5.3.2 Dynamic Programming Equation / Hamilton-Jacobi-
Bellman Equation
5.3.3 Verification
5.4 Control for Counting Processes
5.4.1 The Dynamic Programming Principle
5.4.2 Dynamic Programming Equation / Hamilton-Jacobi-
Bellman Equation
(X
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212
212
215
216
Contents
5.4.3 Combined Diffusion and Jumps
5.5 Optimal Stopping
5.5.1 The Dynamic Programming Principle
5.5.2 Dynamic Programming Equation
5.6 Combined Stopping and Control
5.7 Bibliography and Selected Readings
Algorithmic and High-Frequency Trading
Introduction to Part III
Optimal Execution with Continuous Trading I
6.1 Introduction
6.2 The Model
6.3 Liquidation without Penalties only Temporary Impact
6.4 Optimal Acquisition with Terminal Penalty and Temporary Impact
6.5 Liquidation with Permanent Price Impact
6.6 Execution with Exponential Utility Maximiser
6.7 Non-Linear Temporary Price Impact
6.8 Bibliography and Selected Readings
6.9 Exercises
Optimal Execution with Continuous Trading li
7.1 Introduction
7.2 Optimal Acquisition with a Price Limiter
7.3 Incorporating Order Flow
7.3.1 Probabilistic Interpretation
7.4 Optimal Liquidation in Lit and Dark Markets
7.4.1 Explicit Solution when Dark Pool Executes in Full
7.5 Bibliography and Selected Readings
7.6 Exercises
Optimal Execution with Limit and Market Orders
8.1 Introduction
8.2 Liquidation with Only Limit Orders
8.3 Liquidation with Exponential Utility Maximiser
8.4 Liquidation with Limit and Market Orders
8.5 Liquidation with Limit and Market Orders Targeting Schedules
8.6 Bibliography and Selected Readings
8.7 Exercises
Targeting Volume
9.1 Introduction
9.2 Targeting Percentage of Market’s Speed of Trading
9.2.1 Solving the DPE when Targeting Rate of Trading
220
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Contents
9.2.2 Stochastic Mean-Reverting Trading Rate
9.2.3 Probabilistic Representation
9.2.4 Simulations
9.3 Percentage of Cumulative Volume
9.3.1 Compound Poisson Mo del of Volume
9.3.2 Stochastic Mean-Re verting Volume Rate
9.3.3 Probabilistic Representation
9.4 Including Impact of Other Traders
9.4.1 Probabilistic Representation
9.4.2 Example: Stochastic Mean-Reverting Volume
9.5 Utility Maximiser
9.5.1 Solving the DPE with Deterministic Volume
9.6 Bibliography and Selected Readings
9.7 Exercises
Market Making
10.1 Introduction
10.2 Market Making
10.2.1 Market Making with no Inventory Restrictions
10.2.2 Market Making At-The-Touch
10.2.3 Market Making Optimising Volume
10.3 Utility Maximising Market Maker
10.4 Market Making with Adverse Selection
10.4.1 Impact of Market Orders on Midprice
10.4.2 Short-Term-Alpha and Adverse Selection
10.5 Bibliography and Selected Readings
10.6 Exercises
Pairs Trading and Statistical Arbitrage Strategies
11.1 Inti o duction
11.2 Ad Hoc Bands
11.3 Optimal Band Selection
11.3.1 The Optimal Exit Problem
11.3.2 The Optimal Entry Problem
11.3.3 Double-Sided Optimal Entry-Exit
11.4 Co-integrated Log Prices with ShorUTerm-Alpha
11.4.1 Model Setup
11.4.2 The Agent’s Optimisation Problem
11.4.3 Solving the DPE
11.4.4 Numerical Experiments
11.5 Bibliography and Selected Readings
Order Imbalance
12.1 Introduction
Contents
X
12.2 Intraday Features 295
12.2.1 A Markov Chain Model 297
12.2.2 Jointly Modelling Market Orders 300
12.2.3 Modelling Price Jumps 303
12.3 Daily Features 305
12.4 Optimal Liquidation 306
12.4.1 Optimisation Problem 308
12.5 Bibliography and Selected Readings 313
12.6 Exercises 313
Appendix A Stochastic Calculus for Finance 315
A.l Diffusion Processes 315
A. 1.1 Brownian Motion 316
A. 1.2 Stochastic Integrals 316
A.2 Jump Processes 319
A.3 Doubly Stochastic Poisson Processes 322
A.4 Feynman—Kac and PDEs 325
A.5 Bibliography and Selected Readings 326
Bibliography 327
Glossary 337
Subject index 342
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| isbn | 9781107091146 |
| language | English |
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| spelling | Cartea, Álvaro Verfasser (DE-588)1013795784 aut Algorithmic and high-frequency trading Álvaro Cartea, University College London; Sebastian Jaimungal, Univerity of Toronto; José Penalva, Universidad Carlos III de Madrid Cambridge Cambridge University Press 2015 xv, 343 Seiten Diagramme (farbig) txt rdacontent n rdamedia nc rdacarrier Literaturverzeichnis Seite [327] - 335 Hier auch später erschienene, unveränderte Nachdrucke Mathematisches Modell Electronic trading of securities Mathematical models Finance Mathematical models Speculation Mathematical models Börsenspekulation (DE-588)4131941-2 gnd rswk-swf Algorithmus (DE-588)4001183-5 gnd rswk-swf Wertpapierhandelssystem (DE-588)4510686-1 gnd rswk-swf Wertpapierhandel (DE-588)4189707-9 gnd rswk-swf Wertpapierhandel (DE-588)4189707-9 s Wertpapierhandelssystem (DE-588)4510686-1 s Börsenspekulation (DE-588)4131941-2 s Algorithmus (DE-588)4001183-5 s b DE-604 Jaimungal, Sebastian Verfasser aut Penalva, José Verfasser (DE-588)1013805763 aut Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028162317&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cartea, Álvaro Jaimungal, Sebastian Penalva, José Algorithmic and high-frequency trading Mathematisches Modell Electronic trading of securities Mathematical models Finance Mathematical models Speculation Mathematical models Börsenspekulation (DE-588)4131941-2 gnd Algorithmus (DE-588)4001183-5 gnd Wertpapierhandelssystem (DE-588)4510686-1 gnd Wertpapierhandel (DE-588)4189707-9 gnd |
| subject_GND | (DE-588)4131941-2 (DE-588)4001183-5 (DE-588)4510686-1 (DE-588)4189707-9 |
| title | Algorithmic and high-frequency trading |
| title_auth | Algorithmic and high-frequency trading |
| title_exact_search | Algorithmic and high-frequency trading |
| title_full | Algorithmic and high-frequency trading Álvaro Cartea, University College London; Sebastian Jaimungal, Univerity of Toronto; José Penalva, Universidad Carlos III de Madrid |
| title_fullStr | Algorithmic and high-frequency trading Álvaro Cartea, University College London; Sebastian Jaimungal, Univerity of Toronto; José Penalva, Universidad Carlos III de Madrid |
| title_full_unstemmed | Algorithmic and high-frequency trading Álvaro Cartea, University College London; Sebastian Jaimungal, Univerity of Toronto; José Penalva, Universidad Carlos III de Madrid |
| title_short | Algorithmic and high-frequency trading |
| title_sort | algorithmic and high frequency trading |
| topic | Mathematisches Modell Electronic trading of securities Mathematical models Finance Mathematical models Speculation Mathematical models Börsenspekulation (DE-588)4131941-2 gnd Algorithmus (DE-588)4001183-5 gnd Wertpapierhandelssystem (DE-588)4510686-1 gnd Wertpapierhandel (DE-588)4189707-9 gnd |
| topic_facet | Mathematisches Modell Electronic trading of securities Mathematical models Finance Mathematical models Speculation Mathematical models Börsenspekulation Algorithmus Wertpapierhandelssystem Wertpapierhandel |
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