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01464nam a22002777a 4500 |
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150918s2015 xx ||| |||| 00| 0 eng d |
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|a 9781107091146 (hbk.)
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| 020 |
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|a 1107091144 (hbk.)
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| 041 |
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|a eng
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| 082 |
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|a 332.64
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| 100 |
1 |
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|a Cartea, Álvaro.
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| 245 |
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|a Algorithmic and high-frequency trading
|c Álvaro Cartea, Sebastian Jaimungal, José Penalva.
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| 260 |
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|a Cambridge :
|b Cambridge University Press,
|c cop. 2015.
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| 300 |
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|a 1 Vol. (343 p.) :
|b couv. ill. en coul., graph. ;
|c 25 cm.
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| 504 |
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|a Bibliogr. p.[327]-335
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| 520 |
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|a 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. [4e de couv.]
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| 650 |
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|a Mathématiques financières
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| 650 |
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|a Spéculation
|x Modèles mathématiques
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| 650 |
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|a Bourse sur Internet
|x Modèles mathématiques
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| 700 |
1 |
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|a Jaimungal, Sebastian.
|4 aut
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| 700 |
1 |
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|a Penalva, José.
|4 aut
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| 993 |
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|a Livre
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| 994 |
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|a PS
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| 995 |
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|a 18832092X
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| 997 |
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|0 334823
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