Algorithmic and high-frequency trading
Enregistré dans:
Auteur principal: | Cartea, Álvaro. |
---|---|
Autres auteurs: | Jaimungal, Sebastian., Penalva, José. |
Support: | Livre |
Langue: | Anglais |
Publié: |
Cambridge :
Cambridge University Press,
cop. 2015.
|
Sujets: | |
Autres localisations: | Voir dans le Sudoc |
Résumé: | 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.] |
Documents similaires
-
Algorithmic trading methods : applications using advanced statistics, optimization, and machine learning techniques
par: Kissell, Robert.
Publié: 2021 -
Game over pour les traders ?
par: Leroux, Hugo.
Publié: 2022 -
Quantitative Analysis Modeling and Trading Strategies
par: Tang, Yi, 19..-...., conseiller financier.
Publié: 2007 -
Mathematical techniques in financial market trading
par: Mak, Don K.
Publié: 2006 -
Mathematics for finance : an introduction to financial engineering
par: Capiński, Marek, 1951-
Publié: 2003