Xin Guo

(Author)

Quantitative Trading: Algorithms, Analytics, Data, Models, OptimizationHardcover, 15 December 2016

Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization
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Print Length
357 pages
Language
English
Publisher
CRC Press
Date Published
15 Dec 2016
ISBN-10
1498706487
ISBN-13
9781498706483

Description

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.

Product Details

Authors:
Xin GuoTze Leung LaiHoward ShekSamuel Po-Shing Wong
Book Format:
Hardcover
Country of Origin:
US
Date Published:
15 December 2016
Dimensions:
23.62 x 15.24 x 2.54 cm
ISBN-10:
1498706487
ISBN-13:
9781498706483
Language:
English
Location:
Oxford
Pages:
357
Publisher:
Weight:
657.71 gm

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