Algorithmic and High-Frequency Trading

Álvaro Cartea, Sebastian Jaimungal, José Penalva

  • 出版商: Cambridge
  • 出版日期: 2015-08-06
  • 售價: $2,950
  • 貴賓價: 9.8$2,891
  • 語言: 英文
  • 頁數: 356
  • 裝訂: Hardcover
  • ISBN: 1107091144
  • ISBN-13: 9781107091146
  • 相關分類: Algorithms-data-structures
  • 立即出貨 (庫存=1)

買這商品的人也買了...

商品描述

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.

商品描述(中文翻譯)

交易算法的設計需要可靠數據支持的複雜數學模型。在這本教科書中,作者們開發了用於算法交易的模型,包括執行大單、市場做市商、目標成交量加權平均價(VWAP)和其他時間表、交易對或資產集合,以及在暗池中執行交易。這些模型基於交易所的運作方式,無論算法是否與更具信息優勢的交易者交易(逆選擇),以及市場參與者在超高頻率和低頻率下可獲得的信息類型。《算法交易與高頻交易》是第一本結合複雜數學建模、實證事實和金融經濟學的書籍,將讀者從基本概念帶到尖端研究和實踐。如果您需要了解現代電子市場的運作方式、哪些信息能提供交易優勢以及其他市場參與者如何影響算法的盈利能力,那麼這本書就是為您而寫的。