Quantitative Trading
Author | : Xin Guo |
Publisher | : CRC Press |
Total Pages | : 414 |
Release | : 2017-01-06 |
ISBN-10 | : 9781315354354 |
ISBN-13 | : 1315354357 |
Rating | : 4/5 (357 Downloads) |
Download or read book Quantitative Trading written by Xin Guo and published by CRC Press. This book was released on 2017-01-06 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.