Algorithmic trading methods : applications using advanced statistics, optimization, and machine learning techniques /: applications using advanced statistics, optimization, and machine learning techniques. (2019)

• Record Type: Book
• Uniform Title: Science of algorithmic trading and portfolio management
• Further Information: Note: Robert L. Kissell.
• Authors: Kissell, Robert, 1967-
• Contents: 1. New Financial Markets 2. Algorithmic Trading 3. Market Microstructure 4. Transaction Cost Analysis 5. Market Impact Models 6. Estimating I-Star Model Parameters 7. Volatility and Risk Models 8. Advanced Forecasting Techniques – "Volume Forecasting Models" 9. Algorithmic Decision-Making Framework 10. Portfolio Algorithms & Trade Schedule Optimization 11. Pre-Trade and Post-Trade Models 12. Liquidation Cost Analysis 13. Compliance and Regulatory Reporting 14. Portfolio Construction 15. Quantitative Portfolio Management Techniques 16. Multi-Asset Trading Costs, ETFs, Fixed Income, etc. 17. High Frequency Trading and Black Box Models 18. Cost Index – Historical TCA Patterns, Costs by Market Cap, and Investment Style 19. TCA with Excel, MATLAB, & Python 20. Advanced Topics – TCA ETFs, Stat Arb, Liquidity Trading 21. Best Execution Process – Model Validation, and Best Execution Process for Brokers and for Investors
• Edition: Second edition
• Publisher Details: Amsterdam : Academic Press
• Publication Date: 2019
• Extent: 1 online resource
• Subjects: 332.60285; Investments; Algorithms; Stocks -- Mathematical models; Program trading (Securities); Portfolio management -- Mathematical models
• Languages: English
• ISBNs: 9780128156315
• Related ISBNs: 9780128156308
• Notes: Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.