TY  - BOOK
AU  - Kissell,Robert
TI  - The science of algorithmic trading and portfolio management
SN  - 9780124016897 (hbk.)
AV  - HG4515.5 KIS 
PY  - 2014///
PB  - Academic Press is an imprint of Elsevier
KW  - Investments
KW  - Algorithms
KW  - Stocks
KW  - Mathematical models
KW  - Program trading (Securities)
KW  - Portfolio management
N1  - 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
N2  - 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
ER  -