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The science of algorithmic trading and portfolio management / created by Robert Kissell.

By: Material type: TextTextPublisher: Academic Press is an imprint of Elsevier, 2014Description: xviii, 473 pages : illustrations ; 25 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 9780124016897 (hbk.)
  • 0124016898 (hbk.)
Subject(s): LOC classification:
  • HG4515.5 KIS
Partial contents:
Algorithmic trading -- Market microstructure -- Algorithmic transaction cost analysis -- Market impact models -- Estimating I-star model parameters -- Price volatility -- Advanced algorithmic forecasting techniques -- Algorithmic decision making framework -- Portfolio algorithms -- Portfolio construction -- Quantitative portfolio management techniques -- Cost index and multi-asset trading costs -- High frequency trading and black box models.
Summary: This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniquesOther editions: Electronic version: Kissell, Robert, 1967- Science of algorithmic trading and portfolio management.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book Book PostGraduate Studies Library Open Shelf HG4515.5 KIS (Browse shelf(Opens below)) 163940 Available BK152565

Includes bibliographical references and index.

Algorithmic trading -- Market microstructure -- Algorithmic transaction cost analysis -- Market impact models -- Estimating I-star model parameters -- Price volatility -- Advanced algorithmic forecasting techniques -- Algorithmic decision making framework -- Portfolio algorithms -- Portfolio construction -- Quantitative portfolio management techniques -- Cost index and multi-asset trading costs -- High frequency trading and black box models.

This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques

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