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Quantitative trading: algorithms, analytics, data, models, optimization

By: Guo, Xin.
Contributor(s): Lai, Tze Leung [Co-author] | Shek, Howard [Co-author] | Wong, Samuel Po-Shing [Co-author].
Material type: materialTypeLabelBookPublisher: Boca Raton CRC Press Taylor and Francis Group 2017Description: xxii, 357 p. 25 cm.ISBN: 9781498706483.Subject(s): Investments - mathematical models | Speculation - mathematical models | Investments - data processing | Electronic trading of securitiesDDC classification: 332.6450151 Summary: 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. https://www.crcpress.com/Quantitative-Trading-Algorithms-Analytics-Data-Models-Optimization/Guo-Lai-Shek-Wong/p/book/9781498706483
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Slot 717 (0 Floor, West Wing) Non-fiction 332.6450151 G8Q8 (Browse shelf) Available 195171

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.

https://www.crcpress.com/Quantitative-Trading-Algorithms-Analytics-Data-Models-Optimization/Guo-Lai-Shek-Wong/p/book/9781498706483

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