Algorithmic Trading Methods

Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques

AvRobert Kissell

Häftad, Engelska, 2020

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Beskrivning

Algorithmic Trading Methods: Applications using Advanced Statistics, Optimization, and Machine Learning Techniques, Second Edition, is a sequel to The Science of Algorithmic Trading and Portfolio Management. This edition includes new chapters on algorithmic trading, advanced trading analytics, regression analysis, optimization, and advanced statistical methods. Increasing its focus on trading strategies and models, this edition includes new insights into the ever-changing financial environment, pre-trade and post-trade analysis, liquidation cost & risk analysis, and compliance and regulatory reporting requirements. Highlighting new investment techniques, this book includes material to assist in the best execution process, model validation, quality and assurance testing, limit order modeling, and smart order routing analysis. Includes advanced modeling techniques using machine learning, predictive analytics, and neural networks. The text provides readers with a suite of transaction cost analysis functions packaged as a TCA library. These programming tools are accessible via numerous software applications and programming languages.

Provides insight into all necessary components of algorithmic trading including: transaction cost analysis, market impact estimation, risk modeling and optimization, and advanced examination of trading algorithms and corresponding data requirements
Increased coverage of essential mathematics, probability and statistics, machine learning, predictive analytics, and neural networks, and applications to trading and finance
Advanced multiperiod trade schedule optimization and portfolio construction techniques
Techniques to decode broker-dealer and third-party vendor models
Methods to incorporate TCA into proprietary alpha models and portfolio optimizers
TCA library for numerous software applications and programming languages including: MATLAB, Excel Add-In, Python, Java, C/C++, .Net, Hadoop, and as standalone .EXE and .COM applications

Produktinformation

Utgivningsdatum:2020-09-04
Mått:191 x 235 x 34 mm
Vikt:1 180 g
Format:Häftad
Språk:Engelska
Antal sidor:612
Upplaga:2
Förlag:Elsevier Science
ISBN:9780128156308

Utforska kategorier

Finansiering inom Ekonomi och Ledarskap
Affärsstrategi inom Ekonomi och Ledarskap

Mer om författaren

Robert Kissell, Ph.D., is President of Kissell Research Group, a global financial and economic consulting firm specializing in quantitative modeling, statistical analysis, and algorithmic trading. He is also a professor at Molloy College in the School of Business and an adjunct professor at the Gabelli School of Business at Fordham University. He has held several senior leadership positions with prominent bulge bracket investment banks including UBS Securities where he was Executive Director of Execution Strategies and Portfolio Analysis, and at JP Morgan where he was Executive Director and Head of Quantitative Trading Strategies. He was previously at Citigroup/Smith Barney where he was Vice President of Quantitative Research, and at Instinet where he was Director of Trading Research. He began his career as an Economic Consultant at R.J. Rudden Associates specializing in energy, pricing, risk, and optimization. Dr. Kissell has written several books and published dozens of journal articles on Algorithmic Trading, Risk, and Finance. He is a coauthor of the CFA Level III reading titled “Trade Strategy and Execution, CFA Institute 2019.

Innehållsförteckning

1. New Financial Markets2. Algorithmic Trading3. Market Microstructure4. Transaction Cost Analysis5. Market Impact Models6. Estimating I-Star Model Parameters7. Volatility and Risk Models8. Advanced Forecasting Techniques – "Volume Forecasting Models"9. Algorithmic Decision-Making Framework10. Portfolio Algorithms & Trade Schedule Optimization11. Pre-Trade and Post-Trade Models12. Liquidation Cost Analysis13. Compliance and Regulatory Reporting14. Portfolio Construction15. Quantitative Portfolio Management Techniques16. Multi-Asset Trading Costs, ETFs, Fixed Income, etc.17. High Frequency Trading and Black Box Models18. Cost Index – Historical TCA Patterns, Costs by Market Cap, and Investment Style19. TCA with Excel, MATLAB, & Python20. Advanced Topics – TCA ETFs, Stat Arb, Liquidity Trading21. Best Execution Process – Model Validation, and Best Execution Process for Brokers and for Investors