【定量交易】 Quantitative Trading : Algorithms, Analytics, Data, Models (2016)

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Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization

Xin Guo, Tze Leung Lai, Howard Shek, Samuel Po-Shing Wong



The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.

Features

• Integrates statistics, engineering systems, dynamic optimization, and computer science in one book
• Serves as the standard theoretical reference on these topics
• Provides an introduction to algorithmic trading
• Discusses algorithmic trading in electronic exchanges and platforms
• Covers risk management and regulatory issues

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关键词：Quantitative QUANTITATIV Algorithms Algorithm Analytics management discusses execution impact market

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