Algorithmic and High-Frequency Trading

Author: Álvaro Cartea,Sebastian Jaimungal,José Penalva

Publisher: Cambridge University Press

ISBN: 1107091144

Category: Business & Economics

Page: 356

View: 1742

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A straightforward guide to the mathematics of algorithmic trading that reflects cutting-edge research.
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High-Performance Computing in Finance

Problems, Methods, and Solutions

Author: M. A. H. Dempster,Juho Kanniainen,John Keane,Erik Vynckier

Publisher: CRC Press

ISBN: 1315354691

Category: Computers

Page: 614

View: 3506

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High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HPC resources available for different needs, ranging from cloud computing– that can be used without much expertise and expense – to more tailored hardware, such as Field-Programmable Gate Arrays (FPGAs) or D-Wave’s quantum computer systems. High-Performance Computing in Finance is the first book that provides a state-of-the-art introduction to HPC for finance, capturing both academically and practically relevant problems.
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The Science of Algorithmic Trading and Portfolio Management

Author: Robert Kissell

Publisher: Academic Press

ISBN: 0124016936

Category: Business & Economics

Page: 496

View: 874

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The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. 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. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. Helps readers design systems to manage algorithmic risk and dark pool uncertainty. Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.
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Financial Markets and Trading

An Introduction to Market Microstructure and Trading Strategies

Author: Anatoly B. Schmidt

Publisher: John Wiley & Sons

ISBN: 9781118093658

Category: Business & Economics

Page: 208

View: 6003

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An informative guide to market microstructure and tradingstrategies Over the last decade, the financial landscape has undergone asignificant transformation, shaped by the forces of technology,globalization, and market innovations to name a few. In order tooperate effectively in today's markets, you need more than just themotivation to succeed, you need a firm understanding of how modernfinancial markets work and what professional trading is reallyabout. Dr. Anatoly Schmidt, who has worked in the financialindustry since 1997, and teaches in the Financial Engineeringprogram of Stevens Institute of Technology, puts these topics inperspective with his new book. Divided into three comprehensive parts, this reliable resourceoffers a balance between the theoretical aspects of marketmicrostructure and trading strategies that may be more relevant forpractitioners. Along the way, it skillfully provides an informativeoverview of modern financial markets as well as an engagingassessment of the methods used in deriving and back-testing tradingstrategies. Details the modern financial markets for equities, foreignexchange, and fixed income Addresses the basics of market dynamics, including statisticaldistributions and volatility of returns Offers a summary of approaches used in technical analysis andstatistical arbitrage as well as a more detailed description oftrading performance criteria and back-testing strategies Includes two appendices that support the main material in thebook If you're unprepared to enter today's markets you willunderperform. But with Financial Markets and Trading as yourguide, you'll quickly discover what it takes to make it in thiscompetitive field.
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High-frequency Trading And Probability Theory

Author: Wang Zhaodong,Zheng Weian

Publisher: World Scientific

ISBN: 9814616532

Category: Business & Economics

Page: 192

View: 6557

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This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic.Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis. The authors also discuss technical details of the IT system design for high-frequency trading.
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Market Microstructure

Confronting Many Viewpoints

Author: Frédéric Abergel,Jean-Philippe Bouchaud,Thierry Foucault,Charles-Albert Lehalle,Mathieu Rosenbaum

Publisher: John Wiley & Sons

ISBN: 1119952786

Category: Business & Economics

Page: 416

View: 4014

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The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
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The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets

Author: Greg N. Gregoriou,Christian Hoppe,Carsten S. Wehn

Publisher: McGraw Hill Professional

ISBN: 0071663711

Category: Business & Economics

Page: 528

View: 1982

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Addresses newly exposed weaknesses of financial risk models in the context of market stress scenarios This will be the definitive book for readers looking to improve their approach to modeling financial risk
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Quantitative Equity Investing

Techniques and Strategies

Author: Frank J. Fabozzi,Sergio M. Focardi,Petter N. Kolm

Publisher: John Wiley & Sons

ISBN: 9780470617526

Category: Business & Economics

Page: 528

View: 1094

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A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained. Written by a solid author team who has extensive financial experience in this area Presents state-of-the art quantitative strategies for managing equity portfolios Focuses on the implementation of quantitative equity asset management Outlines effective analysis, optimization methods, and risk models In today's financial environment, you have to have the skills to analyze, optimize and manage the risk of your quantitative equity investments. This guide offers you the best information available to achieve this goal.
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An Introduction to High-Frequency Finance

Author: Ramazan Gençay,Michel Dacorogna,Ulrich A. Muller,Olivier Pictet,Richard Olsen

Publisher: Elsevier

ISBN: 9780080499048

Category: Business & Economics

Page: 383

View: 1222

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Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
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Quantitative Trading

Algorithms, Analytics, Data, Models, Optimization

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

Publisher: CRC Press

ISBN: 1315354357

Category: Business & Economics

Page: 379

View: 3182

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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.
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