Algorithmic and high-frequency trading

Kaydedildi:
Detaylı Bibliyografya
Yazar: Cartea, Álvaro.
Diğer Yazarlar: Jaimungal, Sebastian., Penalva, José.
Materyal Türü: Livre
Dil: Anglais
Baskı/Yayın Bilgisi: Cambridge : Cambridge University Press, cop. 2015.
Konular:
Autres localisations: Voir dans le Sudoc
Özet: 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 collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. [4e de couv.]
Diğer Bilgiler
Özet: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 collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. [4e de couv.]
Fiziksel Özellikler:1 Vol. (343 p.) : couv. ill. en coul., graph. ; 25 cm.
Bibliyografya:Bibliogr. p.[327]-335
ISBN:9781107091146 (hbk.)
1107091144 (hbk.)