Quantitative trading :: algorithms, analytics, data, models, optimization /
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...
Gespeichert in:
| Hauptverfasser: | , , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Boca Raton, FL :
CRC Press,
[2017]
|
| Schlagworte: | |
| Online-Zugang: | DE-862 DE-863 |
| Zusammenfassung: | 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. |
| Beschreibung: | "A Chapman & Hall book." |
| Beschreibung: | 1 online resource : text file, PDF |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9781315371580 1315371588 9781498706490 1498706495 9781315354354 1315354357 |
Internformat
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| 245 | 1 | 0 | |a Quantitative trading : |b algorithms, analytics, data, models, optimization / |c Xin Guo, University of California, Berkeley, USA, Tze Leung Lai, Stanford University, California, USA, Howard Shek, Tower Research Capital, New York City, New York, USA, Samuel Po-Shing Wong, 5Lattice Securities Limited, Hong Kong, China. |
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| 520 | |a 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. | ||
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| author | Guo, Xin, 1969- Lai, T. L. Shek, Howard Wong, Samuel Po-Shing |
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| contents | 1. Introduction -- 2. Statistical models and methods for quantitative trading -- 3. Active portfolio management and investment strategies -- 4. Econometrics of transactions in electronic platforms -- 5. Limit order book : data analytics and dynamic models -- 6. Optimal execution and placement -- 7. Market making and smart order routing -- 8. Informatics, regulation and risk management -- A. Martingale theory -- B. Markov chain and related topics -- C. Doubly stochastic self-exciting point processes -- D. Weak convergence and limit theorems. |
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| indexdate | 2025-04-11T08:43:32Z |
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| spelling | Guo, Xin, 1969- author. https://id.oclc.org/worldcat/entity/E39PCjt3C3xPMKhPxDrPkJDMdP http://id.loc.gov/authorities/names/n2016048795 Quantitative trading : algorithms, analytics, data, models, optimization / Xin Guo, University of California, Berkeley, USA, Tze Leung Lai, Stanford University, California, USA, Howard Shek, Tower Research Capital, New York City, New York, USA, Samuel Po-Shing Wong, 5Lattice Securities Limited, Hong Kong, China. Boca Raton, FL : CRC Press, [2017] ©2017 1 online resource : text file, PDF text txt rdacontent computer c rdamedia online resource cr rdacarrier "A Chapman & Hall book." Includes bibliographical references and index. 1. Introduction -- 2. Statistical models and methods for quantitative trading -- 3. Active portfolio management and investment strategies -- 4. Econometrics of transactions in electronic platforms -- 5. Limit order book : data analytics and dynamic models -- 6. Optimal execution and placement -- 7. Market making and smart order routing -- 8. Informatics, regulation and risk management -- A. Martingale theory -- B. Markov chain and related topics -- C. Doubly stochastic self-exciting point processes -- D. Weak convergence and limit theorems. 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. Investments Mathematical models. http://id.loc.gov/authorities/subjects/sh85067718 Speculation Mathematical models. Investments Data processing. Electronic trading of securities. http://id.loc.gov/authorities/subjects/sh96010672 Investissements Modèles mathématiques. Spéculation Modèles mathématiques. Investissements Informatique. Valeurs mobilières Commerce électronique. MATHEMATICS General. bisacsh MATHEMATICS Probability & Statistics General. bisacsh Electronic trading of securities fast Investments Data processing fast Investments Mathematical models fast Speculation Mathematical models fast Lai, T. L., author. Shek, Howard, author. Wong, Samuel Po-Shing, author. Print version: 9781498706483 |
| spellingShingle | Guo, Xin, 1969- Lai, T. L. Shek, Howard Wong, Samuel Po-Shing Quantitative trading : algorithms, analytics, data, models, optimization / 1. Introduction -- 2. Statistical models and methods for quantitative trading -- 3. Active portfolio management and investment strategies -- 4. Econometrics of transactions in electronic platforms -- 5. Limit order book : data analytics and dynamic models -- 6. Optimal execution and placement -- 7. Market making and smart order routing -- 8. Informatics, regulation and risk management -- A. Martingale theory -- B. Markov chain and related topics -- C. Doubly stochastic self-exciting point processes -- D. Weak convergence and limit theorems. Investments Mathematical models. http://id.loc.gov/authorities/subjects/sh85067718 Speculation Mathematical models. Investments Data processing. Electronic trading of securities. http://id.loc.gov/authorities/subjects/sh96010672 Investissements Modèles mathématiques. Spéculation Modèles mathématiques. Investissements Informatique. Valeurs mobilières Commerce électronique. MATHEMATICS General. bisacsh MATHEMATICS Probability & Statistics General. bisacsh Electronic trading of securities fast Investments Data processing fast Investments Mathematical models fast Speculation Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85067718 http://id.loc.gov/authorities/subjects/sh96010672 |
| title | Quantitative trading : algorithms, analytics, data, models, optimization / |
| title_auth | Quantitative trading : algorithms, analytics, data, models, optimization / |
| title_exact_search | Quantitative trading : algorithms, analytics, data, models, optimization / |
| title_full | Quantitative trading : algorithms, analytics, data, models, optimization / Xin Guo, University of California, Berkeley, USA, Tze Leung Lai, Stanford University, California, USA, Howard Shek, Tower Research Capital, New York City, New York, USA, Samuel Po-Shing Wong, 5Lattice Securities Limited, Hong Kong, China. |
| title_fullStr | Quantitative trading : algorithms, analytics, data, models, optimization / Xin Guo, University of California, Berkeley, USA, Tze Leung Lai, Stanford University, California, USA, Howard Shek, Tower Research Capital, New York City, New York, USA, Samuel Po-Shing Wong, 5Lattice Securities Limited, Hong Kong, China. |
| title_full_unstemmed | Quantitative trading : algorithms, analytics, data, models, optimization / Xin Guo, University of California, Berkeley, USA, Tze Leung Lai, Stanford University, California, USA, Howard Shek, Tower Research Capital, New York City, New York, USA, Samuel Po-Shing Wong, 5Lattice Securities Limited, Hong Kong, China. |
| title_short | Quantitative trading : |
| title_sort | quantitative trading algorithms analytics data models optimization |
| title_sub | algorithms, analytics, data, models, optimization / |
| topic | Investments Mathematical models. http://id.loc.gov/authorities/subjects/sh85067718 Speculation Mathematical models. Investments Data processing. Electronic trading of securities. http://id.loc.gov/authorities/subjects/sh96010672 Investissements Modèles mathématiques. Spéculation Modèles mathématiques. Investissements Informatique. Valeurs mobilières Commerce électronique. MATHEMATICS General. bisacsh MATHEMATICS Probability & Statistics General. bisacsh Electronic trading of securities fast Investments Data processing fast Investments Mathematical models fast Speculation Mathematical models fast |
| topic_facet | Investments Mathematical models. Speculation Mathematical models. Investments Data processing. Electronic trading of securities. Investissements Modèles mathématiques. Spéculation Modèles mathématiques. Investissements Informatique. Valeurs mobilières Commerce électronique. MATHEMATICS General. MATHEMATICS Probability & Statistics General. Electronic trading of securities Investments Data processing Investments Mathematical models Speculation Mathematical models |
| work_keys_str_mv | AT guoxin quantitativetradingalgorithmsanalyticsdatamodelsoptimization AT laitl quantitativetradingalgorithmsanalyticsdatamodelsoptimization AT shekhoward quantitativetradingalgorithmsanalyticsdatamodelsoptimization AT wongsamuelposhing quantitativetradingalgorithmsanalyticsdatamodelsoptimization |