MARC details
| 000 -LEADER |
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| fixed length control field |
05279nam a22003257a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20211130123735.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
211124b |||||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780128156308 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
rda |
| Language of cataloging |
English |
| Description conventions |
rda |
| Transcribing agency |
MSULIB |
| 050 ## - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG4521 KIS |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Kissell, Robert |
| Relator term |
author |
| -- |
PhD |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Algorithmic trading methods : |
| Remainder of title |
applications using advanced statistics, optimization, and machine learning techniques / |
| Statement of responsibility, etc. |
created by Robert Kissell. |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
Second Edition |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
San Diego : |
| Name of producer, publisher, distributor, manufacturer |
Elsevier Inc, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2020. |
| 264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Date of production, publication, distribution, manufacture, or copyright notice |
©2020. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
588 pages |
| Dimensions |
22 cm |
| Other physical details |
Illustrations (some color). |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
|---|
| Media type term |
unmediated |
| Media type code |
n |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
volume |
| Carrier type code |
nc |
| Source |
rdacarrier |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc. note |
Includes bibliographic references and index |
| 505 ## - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Intro --<br/>Title page --<br/>Table of Contents --<br/>Copyright --<br/>Preface --<br/>Acknowledgments --<br/>Chapter 1. Introduction --<br/>What is Electronic Trading? --<br/>What is Algorithmic Trading? --<br/>Trading Algorithm Classifications --<br/>Trading Algorithm Styles --<br/>Investment Cycle --<br/>Investment Objective --<br/>Information Content --<br/>Investment Styles --<br/>Investment Strategies --<br/>Research Data --<br/>Broker Trading Desks --<br/>Research Function --<br/>Sales Function --<br/>Implementation Types --<br/>Algorithmic Decision-Making Process --<br/>Chapter 2. Algorithmic Trading --<br/>Advantages --<br/>Disadvantages --<br/>Growth in Algorithmic Trading Market Participants --<br/>Classifications of Algorithms --<br/>Types of Algorithms --<br/>Algorithmic Trading Trends --<br/>Day of Week Effect --<br/>Intraday Trading Profiles --<br/>Trading Venue Classification --<br/>Types of Orders --<br/>Revenue Pricing Models --<br/>Execution Options --<br/>Algorithmic Trading Decisions --<br/>Algorithmic Analysis Tools --<br/>High Frequency Trading --<br/>Direct Market Access --<br/>Chapter 3. Transaction Costs --<br/>What are transaction costs? --<br/>What is best execution? --<br/>What is the goal of implementation? --<br/>Unbundled Transaction Cost Components --<br/>Transaction Cost Classification Transaction Cost Categorization --<br/>Transaction Cost Analysis --<br/>Implementation Shortfall --<br/>Implementation Shortfall Formulation --<br/>Evaluating Performance --<br/>Comparing Algorithms --<br/>Independent Samples --<br/>Median Test --<br/>Distribution Analysis --<br/>Chi-Square Goodness of Fit --<br/>Kolmogorov-Smirnov Goodness of Fit --<br/>Experimental Design --<br/>Final Note on Posttrade Analysis --<br/>Chapter 4. Market Impact Models --<br/>Introduction --<br/>Definition --<br/>Derivation of Models --<br/>I-Star Market Impact Model --<br/>Model Formulation --<br/>Chapter 5. Probability and Statistics --<br/>Introduction --<br/>Random Variables Probability Distributions --<br/>Probability Distribution Functions --<br/>Continuous Distribution Functions --<br/>Discrete Distributions --<br/>Chapter 6. Linear Regression Models --<br/>Introduction --<br/>Linear Regression --<br/>Matrix Techniques --<br/>Log Regression Model --<br/>Polynomial Regression Model --<br/>Fractional Regression Model --<br/>Chapter 7. Probability Models --<br/>Introduction --<br/>Developing a Probability Model --<br/>Solving Probability Output Models --<br/>Examples --<br/>Comparison of Power Function to Logit Model --<br/>Conclusions --<br/>Chapter 8. Nonlinear Regression Models --<br/>Introduction --<br/>Regression Models Nonlinear Formulation --<br/>Solving Nonlinear Regression Model --<br/>Estimating Parameters --<br/>Nonlinear least squares (Non-OLS) --<br/>Hypothesis Testing --<br/>Evaluate Model Performance --<br/>Sampling Techniques --<br/>Random Sampling --<br/>Sampling With Replacement --<br/>Sampling Without Replacement --<br/>Monte Carlo Simulation --<br/>Bootstrapping Techniques --<br/>Jackknife Sampling Techniques --<br/>Chapter 9. Machine Learning Techniques --<br/>Introduction --<br/>Types of Machine Learning --<br/>Examples --<br/>Classification --<br/>Regression --<br/>Neural Networks --<br/>Chapter 10. Estimating I-Star Market Impact Model Parameters --<br/>Introduction |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
"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"-- |
| Assigning source |
Provided by publisher. |
| 650 10 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Portfolio management |
| General subdivision |
Mathematical models |
| 650 10 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Program trading (Securities) |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Stocks |
| General subdivision |
Mathematical models |
| 650 10 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Algorithms |
| 650 10 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Investments |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Book |