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Quantitative Trading

Algorithms, Analytics, Data, Models, Optimization

By: Xin Guo, Tze Leung Lai, Howard Shek

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Paperback | 10 December 2019 | Edition Number 1

At a Glance

Paperback
380 Pages

Dimensions(cm)
23.39 x 15.6 x 1.98

Paperback

RRP $144.99

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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.

Industry Reviews

"All in all, it is certainly a welcome addition to the nascent literature on this intriguing subject and recommended reading for those interested in quantitative trading strategies-academics, practitioners, and students alike."
~The American Statistician, Mikko S. Pakkanen

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