Algorithmic trading methods: applications using advanced statistics, optimization, and machine learning techniques

by Kissell, Robert

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Title Statements

Full title :Algorithmic trading methods : applications using advanced statistics, optimization, and machine learning techniques / Robert L. Kissell.

Edition Statements

Publication Date:2019.
Edition:Second edition

Publication Statements

Publisher(s):Academic Press
Place of Publication:Amsterdam
Language:eng
Publication Date:2019.

The Physical Object

Description:1 online resource

Edition Identifiers

ISBN:9780128156315, 0128156317
oclc:on1203943872
Dewey Decimal:332.60285

<P>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</p>

Subjects

Algorithmes ALGORITHMS Gestion de portefeuille -- Modèles math… Investissements Investments Négociation assistée par ordinateur (Va… Portfolio management -- Mathematical mo… Program trading (Securities) Stocks -- Mathematical models