Algorithmic Trading Methods: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques - Softcover

Kissell, Robert

Softcover

ISBN 10: 0128156309 ISBN 13: 9780128156308

Publisher: Academic Press, 2020

Synopsis

Algorithmic Trading Methods: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques, 2nd Edition focuses on trading strategies and methods, including new insights on the evolution of financial markets, pre-trade models and post-trade analysis, liquidation cost and risk analysis required for regulatory reporting, and compliance and regulatory reporting requirements. Highlighting new investment styles, it adds new material on best execution processes for investors and brokers, including model validation, quality and assurance, limit order model testing, and smart order model testing. Using basic programming tools, such as Excel, MATLAB, and Python, this book provides a process to create TCA low cost exchange traded funds.

• Provides insights into all necessary components of algorithmic trading, including transaction costs analysis, market impact, risk and optimization, and a thorough and detailed discussion of trading algorithms
• Includes increased coverage of mathematics, statistics and machine learning
• Presents broad coverage of Alpha Model construction

About this title

From the Back Cover

Algorithmic Trading Methods: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques, 2nd Edition includes new chapters and new subjects. Increasing its focus on trading strategies and methods, it includes new insights about the evolution of financial markets, pre-trade models and post-trade analysis, liquidation cost and risk analysis required for regulatory reporting, and compliance and regulatory reporting requirements. Highlighting new investment styles, it adds new material on best execution processes for investors and brokers, including model validation, quality and assurance, limit order model testing, and smart order model testing. Using basic programming tools such as Excel, MATLAB, and Python, it provides a process to create TCA low cost exchange traded funds.

About the Author

Robert Kissell, PhD, is President of Kissell Research Group, a global financial and economic consulting firm specializing in quantitative modeling, statistical analysis, and algorithmic trading. He is also a professor at Molloy College in the School of Business and an adjunct professor at the Gabelli School of Business at Fordham University. He has held several senior leadership positions with prominent bulge bracket investment banks, including UBS Securities where he was Executive Director of Execution Strategies and Portfolio Analysis, and JP Morgan where he was Executive Director and Head of Quantitative Trading Strategies. He was previously at Citigroup/Smith Barney where he was Vice President of Quantitative Research, and at Instinet where he was Director of Trading Research. He began his career as an economic consultant at R.J. Rudden Associates specializing in energy, pricing, risk, and optimization. Dr. Kissell has written several books and published dozens of journal articles on algorithmic trading, risk, and finance. He is a coauthor of the CFA Level III reading titled “Trade Strategy and Execution, CFA Institute 2019.

Edition details

• Publisher: Academic Press
• Publication date: 2020
• ISBN 10: 0128156309
• ISBN 13: 9780128156308
• Binding: Paperback
• Language: English
• Edition number: 2
• Number of pages: 612