Algorithmic and High-Frequency Trading (Mathematics, Finance and…


Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk)
Publisher: Cambridge University Press
Date: 2015-10-07
ISBN-10: 1107091144
ISBN-13: 9781107091146
Language: English
Pages: 356
Added: 2018-04-02 19:22:03

The design of buying and selling algorithms calls for subtle mathematical fashions sponsored up via dependable information. In this textbook, the authors expand fashions for algorithmic buying and selling in contexts akin to executing massive orders, marketplace making, focused on VWAP and different schedules, buying and selling pairs or number of property, and executing in darkish swimming pools. These fashions are grounded on how the exchanges paintings, whether or not the set of rules is buying and selling with higher knowledgeable buyers (opposed variety), and the kind of data to be had to marketplace contributors at each ultra-high and occasional frequency. Algorithmic and High-Frequency Trading is the primary guide that mixes subtle mathematical modelling, empirical info and monetary economics, taking the reader from elementary concepts to state-of-the-art analysis and observe. If you wish to have to know how trendy digital markets function, what data supplies a buying and selling edge, and the way different marketplace contributors would possibly impact the profitability of the algorithms, then that is the guide for you. Show extra Show much less 7e6b86b3ac21c4cdeaa042b88717029e

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