Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk)

Amazon.com Price: $57.04 (as of 11/10/2019 15:21 PST- Details)

Description

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 choice of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the set of rules is trading with better informed traders (adverse selection), and the kind of information to be had to market participants at both ultra-low and high frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to state-of-the-art research and practice. If you want to consider how brand new electronic markets operate, what information provides a trading edge, and how other market participants may have an effect on the profitability of the algorithms, then this is the book for you.

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