Algorithmic trading and quantitative strategies
- Boca Raton : CRC Press, 2020
- xvi, 434 p. ; ill., (some col.), 25 cm
Includes bibliographical references and index.
Brings together the literature in main stream finance and the tools presented in quantitative finance with a focus on what is being practiced in industry. The author begins with the economic theory behind price formation and tests the model that results from the theory and suggests algorithms to detect and exploit the anomalies.
9781498737166
Finance Business enterprises Electronic trading, securities Investment analysis Advanced Modeling Topics Bertisimas and Lo Model Capital Asset Pricing Dimension Reduction Execution Technology Hawkes Process Limit Order Book Modeling Market Impact Portfolio Management Stylized Models Trading Infrastructure