The Science of Algorithmic Trading and Portfolio Management

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9780124016897: The Science of Algorithmic Trading and Portfolio Management

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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    From the Back Cover:

    Its emphasis on algorithmic trading processes and current trading models sets this book apart from others.  As the first author to discuss algorithmic trading across the various asset classes, Robert Kissell provides key insights into ways to develop, test, and build trading algorithms.  He summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. He shows readers the underlying details and mathematics required to develop, build, and test customized algorithms, providing them with advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques.  The accompanying website includes examples, data sets underlying exercises in the book, and large projects.  Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, as well as acquiring the ability to implement electronic trading systems.

    About the Author:

    Robert Kissell is an Executive Director responsible for analytics product initiatives within UBS Direct Execution and UBS Portfolio Trading. Prior to joining UBS, he was with JP Morgan where he served as Head of Quantitative Trading Strategies.

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    Kissell, Robert
    Published by Elsevier Science Publishing Co Inc, United States (2013)
    ISBN 10: 0124016898 ISBN 13: 9780124016897
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    Book Description Elsevier Science Publishing Co Inc, United States, 2013. Hardback. Book Condition: New. 236 x 192 mm. Language: English . Brand New Book. 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. Bookseller Inventory # AAZ9780124016897

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    Kissell, Robert
    Published by Elsevier Science Publishing Co Inc, United States (2014)
    ISBN 10: 0124016898 ISBN 13: 9780124016897
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    Book Description Elsevier Science Publishing Co Inc, United States, 2014. Hardback. Book Condition: New. 236 x 192 mm. Language: English . Brand New Book. 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. Bookseller Inventory # AAZ9780124016897

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    Kissell, Robert
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    Book Description Elsevier Science Publishing Co Inc 2013-11-14, San Diego, 2013. hardback. Book Condition: New. Bookseller Inventory # 9780124016897

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    Book Description Elsevier Science Publishing Co Inc. Hardback. Book Condition: new. BRAND NEW, The Science of Algorithmic Trading and Portfolio Management, Robert Kissell, 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. It prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. It helps readers design systems to manage algorithmic risk and dark pool uncertainty. It summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives. Bookseller Inventory # B9780124016897

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    Book Description Academic Press 2013-08-12, 2013. Book Condition: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Bookseller Inventory # NU-LBR-01243694

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    Book Description Elsevier Science Publishing Co Inc, 2013. Book Condition: New. Discusses algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. This title helps 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. Num Pages: 496 pages, black & white illustrations, black & white line drawings, black & white tables, figures. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 197 x 236 x 30. Weight in Grams: 920. . 2013. 1st Edition. Hardcover. . . . . . Bookseller Inventory # V9780124016897

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    Book Description Hardback. Book Condition: New. Not Signed; 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. book. Bookseller Inventory # ria9780124016897_rkm

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    Book Description Elsevier Science Publishing Co Inc. Book Condition: New. Discusses algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. This title helps 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. Num Pages: 496 pages, black & white illustrations, black & white line drawings, black & white tables, figures. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 197 x 236 x 30. Weight in Grams: 920. . 2013. 1st Edition. Hardcover. . . . . Books ship from the US and Ireland. Bookseller Inventory # V9780124016897

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