The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.
ISBN: | 9780367871819 |
Publication date: | 10th December 2019 |
Author: | Xin (Department of Statistics, Stanford University) Guo, Tze Leung (Stanford University, California, USA) Lai, Howard (To Shek |
Publisher: | Chapman & Hall/CRC an imprint of Taylor & Francis Ltd |
Format: | Paperback |
Pagination: | 380 pages |
Genres: |
Finance Mathematics Probability and statistics Econometrics and economic statistics Applied mathematics Finance and accounting |