Algorithmic and High-Frequency Trading

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Synopsis
The design of trading algorithms requires sophisticated mathematical models backed up by reliable data.

In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.

Copyright:
2015

Book Details

Book Quality:
Publisher Quality
Book Size:
360 Pages
ISBN-13:
9781316452219
Publisher:
Cambridge University Press
Date of Addition:
Copyrighted By:
Álvaro Cartea, Sebastian Jaimungal, José Penalva
Adult content:
No
Language:
English
Has Image Descriptions:
No
Categories:
Nonfiction, Computers and Internet, Business and Finance
Submitted By:
Bookshare Staff
Usage Restrictions:
This is a copyrighted book.

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