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首页: Algorithms, Analytics, Data, Models, Optimization
: Algorithms, Analytics, Data, Models, Optimization
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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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QUANTITATIVETRADING
Algorithms,Analytics,Data,Models,Optimization
QUANTITATIVETRADING
Algorithms,Analytics,Data,Models,Optimization
XinGuo
UniversityofCalifornia,Berkeley,USA
TzeLeungLai
StanfordUniversity,California,USA
HowardShek
TowerResearchCapital,NewYorkCity,NewYork,USA
SamuelPo-ShingWong
5LatticeSecuritiesLimited,HongKong,China
Figures1.1,8.3,8.4,and8.6arereprintedwithpermissionoftheCMEGroup,2016.
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LibraryofCongressCataloging-in-PublicationData
Names:Guo,Xin,1969-author.
Title: Quantitative trading : algorithms, analytics, data, models, optimization / Xin Guo, Tze Leung Lai,
HowardShek&SamuelPo-ShingWong.
Description:BocaRaton,FL:CRCPress,[2017]|Includesbibliographicalreferencesandindex.
Identifiers:LCCN2016026683|ISBN9781498706483(hardback)
Subjects:LCSH:Investments--Mathematicalmodels.|Speculation--Mathematicalmodels.|Investments-
-Dataprocessing.|Electronictradingofsecurities.
Classification:LCCHG4515.2.G872017|DDC332.64/50151--dc23
LCrecordavailableathttps://lccn.loc.gov/2016026683
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