Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk)

Cartea, �lvaro

ISBN 10: 1107091144 / ISBN 13: 9781107091146

Published by Cambridge University Press, 2015

About this Item

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Bibliographic Details

Title: Algorithmic and High-Frequency Trading (...

Publisher: Cambridge University Press

Publication Date: 2015

Binding: Hardcover

Condition: New

Edition: 1st Edition.

About this title

Synopsis:

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. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.

Book Description:

This cutting-edge textbook shows how to build the advanced mathematical models that underpin modern trading algorithms. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this book is for you.