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Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk) (Inglés) Tapa dura – 6 ago 2015


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Críticas

'[This book] is an important and timely textbook on algorithmic trading. Human traders in financial markets are an endangered species, gradually replaced by computers and algorithms. In this new world, designing and coding trading strategies requires knowledge of market microstructure, basic economic principles governing price formation in financial markets, and stylized facts about price dynamics and trading activity. It also requires specific mathematical tools, such as stochastic control, and understanding of how these tools are used to solve trading problems. Algorithmic and High-Frequency Trading is unique in that it provides a unified treatment of these topics. I enjoyed reading it and recommend it highly to students or practitioners interested in mathematical models used in algorithmic trading.' Thierry Foucault, HEC Paris

'This book is the first to give a thorough coverage of optimal strategies in algorithmic and high-frequency trading, from the very modern point of view of dynamic stochastic optimization and based on cutting-edge work, much of which is by these authors. Other books cover the mechanics and statistics of high-frequency market dynamics, but none covers the mathematical aspects to this depth. It would be a great textbook for a graduate course in optimal trading.' Robert Almgren, Quantitative Brokers

'This textbook is a welcome addition to the literature on algorithmic trading and the high-frequency markets. It fills a significant gap by bringing cutting-edge mathematical models to bear on the analysis and implementation of practical algorithms. Using a unique blend of microstructure theory, financial data analysis, and mathematical models, the authors walk the reader through the maze of the high-frequency markets, detailing how the exchanges work, and what kind of data they generate. Trading algorithms and their practical implementations are described in easy-to-understand prose, and illustrated with enlightening simulations. This text is ideal for graduate students and researchers in financial mathematics and engineering, as well as for practitioners already working in the field.' René Carmona, Princeton University

Reseña del editor

This cutting-edge textbook shows how to build the advanced mathematical models that underpin modern trading algorithms. 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 book is for you.

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Amazon.com: 3,1 de 5 estrellas 10 opiniones
Virtakuono
4,0 de 5 estrellasGood read
13 de julio de 2016 - Publicado en Amazon.com
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A 12 personas les ha parecido esto útil.
mathematica10
5,0 de 5 estrellasFive Stars
3 de marzo de 2018 - Publicado en Amazon.com
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A una persona le ha parecido esto útil.
Amazon Customer
3,0 de 5 estrellasDefinitely move along if you aren't an advanced calculus student that can write code using just proof
16 de abril de 2017 - Publicado en Amazon.com
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A 8 personas les ha parecido esto útil.
Gordon Liu
1,0 de 5 estrellasThe book is more of an academic art than a useful trading manual
13 de diciembre de 2017 - Publicado en Amazon.com
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A 2 personas les ha parecido esto útil.
AC
5,0 de 5 estrellasAlready a classic
28 de marzo de 2017 - Publicado en Amazon.com
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A 5 personas les ha parecido esto útil.