Download or read book Algorithmic and High Frequency Trading written by Álvaro Cartea and published by Cambridge University Press. This book was released on 2015-08-06 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Financial Mathematics of Market Liquidity written by Olivier Gueant and published by CRC Press. This book was released on 2016-03-30 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app
Download or read book Optimal Trading Strategies written by Robert Kissell and published by Amacom Books. This book was released on 2003 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The decisions that investment professionals and fund managers make have a direct impact on investor return. Unfortunately, the best implementation methodologies are not widely disseminated throughout the professional community, compromising the best interests of funds, their managers, and ultimately the individual investor. But now there is a strategy that lets professionals make better decisions. This valuable reference answers crucial questions such as: * How do I compare strategies? * Should I trade aggressively or passively? * How do I estimate trading costs, ""slice"" an order, and measure performance? and dozens more. Optimal Trading Strategies is the first book to give professionals the methodology and framework they need to make educated implementation decisions based on the objectives and goals of the funds they manage and the clients they serve."
Download or read book Optimal Execution and Liquidation in Finance written by Olivier Gueant and published by Chapman and Hall/CRC. This book was released on 2016-03-15 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss approach) for optimal execution problems, and then to use it in a wide range of areas. The book covers applications to the different types of execution proposed within the brokerage industry. It also presents applications to block trade pricing, to portfolio management and to option pricing.
Download or read book SQL Tuning written by Dan Tow and published by "O'Reilly Media, Inc.". This book was released on 2003-11-19 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A poorly performing database application not only costs users time, but also has an impact on other applications running on the same computer or the same network. SQL Tuning provides an essential next step for SQL developers and database administrators who want to extend their SQL tuning expertise and get the most from their database applications.There are two basic issues to focus on when tuning SQL: how to find and interpret the execution plan of an SQL statement and how to change SQL to get a specific alternate execution plan. SQL Tuning provides answers to these questions and addresses a third issue that's even more important: how to find the optimal execution plan for the query to use.Author Dan Tow outlines a timesaving method he's developed for finding the optimum execution plan--rapidly and systematically--regardless of the complexity of the SQL or the database platform being used. You'll learn how to understand and control SQL execution plans and how to diagram SQL queries to deduce the best execution plan for a query. Key chapters in the book include exercises to reinforce the concepts you've learned. SQL Tuning concludes by addressing special concerns and unique solutions to unsolvable problems.Whether you are a programmer who develops SQL-based applications or a database administrator or other who troubleshoots poorly tuned applications, SQL Tuning will arm you with a reliable and deterministic method for tuning your SQL queries to gain optimal performance.
Download or read book Optimal Mean Reversion Trading written by Tim Leung (Professor of industrial engineering) and published by World Scientific. This book was released on 2015-11-26 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments."--
Download or read book Business Process Management Workshops written by Arthur ter Hofstede and published by Springer Science & Business Media. This book was released on 2008-02-29 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed post-workshop proceedings of 6 internationl workshops held in Brisbane, Australia, in conjunction with the 5th International Conference on Business Process Management, BPM 2007, in September 2007. The 45 revised full papers presented were carefully reviewed and selected from more than 80 submissions to the following 6 international workshops: Business Process Intelligence (BPI 2007), Business Process Design (BPD 2007), Collaborative Business Processes (CBP 2007), Process-oriented Information Systems in Healthcare (ProHealth 2007), Reference Modeling (RefMod 2007), and Advances in Semantics for Web Services (semantics4ws 2007).
Download or read book Software Services for e World written by Wojciech Cellary and published by Springer Science & Business Media. This book was released on 2010-09-21 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: th I3E 2010 marked the 10 anniversary of the IFIP Conference on e-Business, e- Services, and e-Society, continuing a tradition that was invented in 1998 during the International Conference on Trends in Electronic Commerce, TrEC 1998, in Hamburg (Germany). Three years later the inaugural I3E 2001 conference was held in Zurich (Switzerland). Since then I3E has made its journey through the world: 2002 Lisbon (Portugal), 2003 Sao Paulo (Brazil), 2004 Toulouse (France), 2005 Poznan (Poland), 2006 Turku (Finland), 2007 Wuhan (China), 2008 Tokyo (Japan), and 2009 Nancy (France). I3E 2010 took place in Buenos Aires (Argentina) November 3–5, 2010. Known as “The Pearl” of South America, Buenos Aires is a cosmopolitan, colorful, and vibrant city, surprising its visitors with a vast variety of cultural and artistic performances, European architecture, and the passion for tango, coffee places, and football disc- sions. A cultural reference in Latin America, the city hosts 140 museums, 300 theaters, and 27 public libraries including the National Library. It is also the main educational center in Argentina and home of renowned universities including the U- versity of Buenos Aires, created in 1821. Besides location, the timing of I3E 2010 is th also significant––it coincided with the 200 anniversary celebration of the first local government in Argentina.
Download or read book Trades Quotes and Prices written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2018-03-22 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
Download or read book Quantitative Trading written by Xin Guo and published by CRC Press. This book was released on 2017-01-06 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Web and Internet Economics written by Michal Feldman and published by Springer Nature. This book was released on 2022-01-20 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 17th International Conference on Web and Internet Economics, WINE 2021, which was held online during December 14-17, 2021. The conference was originally planned to take place in Potsdam, Germany, but changed to a virtual event due to the COVID-19 pandemic. The 41 full papers presented in this volume were carefully reviewed and selected from 146 submissions. They were organized in topical sections as follows: mechanism design and pricing; matching, markets and equilibria; learning, fairness, privacy and behavioral models; social choice and cryptocurrencies.
Download or read book Expert Oracle SQL written by Tony Hasler and published by Apress. This book was released on 2014-07-05 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: Expert Oracle SQL: Optimization, Deployment, and Statistics is about optimizing individual SQL statements, especially on production database systems. This Oracle-specific book begins by assuming you have already identified a particular SQL statement and are considering taking steps to improve its performance. The book describes a systematic process by which to diagnose a problem statement, identify a fix, and to implement that fix safely in a production system. You'll learn not only to improve performance when it is too slow, but also to stabilize performance when it is too variable. You'll learn about system statistics and how the Cost-Based Optimizer uses them to determine a suitable execution plan for a given statement. That knowledge provides the foundation from which to identify the root cause, and to stabilize and improve performance. Next after identifying a problem and the underlying root cause is to put in place a solution. Expert Oracle SQL: Optimization, Deployment, and Statistics explains how to apply various remedies such as changing the SQL statement, adding hints, changing the physical design, and more, and how they can be brought to bear on fixing a problem once and for all. Rolling a change out smoothly is an important topic when dealing with tuning and optimization. Expert Oracle SQL: Optimization, Deployment, and Statistics does not let you down in this critical area. The book contains two chapters of good information from an experienced professional on how to safely deploy changes into production so that your systems remaining running and available throughout the deployment process. Describes a systematic approach to tuning Oracle SQL Explains how things are supposed to work, what can go wrong, and how to fix it Takes you through the steps needed to stabilize performance in your production systems
Download or read book Quantitative Portfolio Management written by Michael Isichenko and published by John Wiley & Sons. This book was released on 2021-09-10 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover foundational and advanced techniques in quantitative equity trading from a veteran insider In Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades. In this important book, you’ll discover: Machine learning methods of forecasting stock returns in efficient financial markets How to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods Ways of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as “benign overfitting” in machine learning The theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage Perfect for investment professionals, like quantitative traders and portfolio managers, Quantitative Portfolio Management will also earn a place in the libraries of data scientists and students in a variety of statistical and quantitative disciplines. It is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market.
Download or read book Applications of Computational Intelligence in Data Driven Trading written by Cris Doloc and published by John Wiley & Sons. This book was released on 2019-11-05 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Life on earth is filled with many mysteries, but perhaps the most challenging of these is the nature of Intelligence.” – Prof. Terrence J. Sejnowski, Computational Neurobiologist The main objective of this book is to create awareness about both the promises and the formidable challenges that the era of Data-Driven Decision-Making and Machine Learning are confronted with, and especially about how these new developments may influence the future of the financial industry. The subject of Financial Machine Learning has attracted a lot of interest recently, specifically because it represents one of the most challenging problem spaces for the applicability of Machine Learning. The author has used a novel approach to introduce the reader to this topic: The first half of the book is a readable and coherent introduction to two modern topics that are not generally considered together: the data-driven paradigm and Computational Intelligence. The second half of the book illustrates a set of Case Studies that are contemporarily relevant to quantitative trading practitioners who are dealing with problems such as trade execution optimization, price dynamics forecast, portfolio management, market making, derivatives valuation, risk, and compliance. The main purpose of this book is pedagogical in nature, and it is specifically aimed at defining an adequate level of engineering and scientific clarity when it comes to the usage of the term “Artificial Intelligence,” especially as it relates to the financial industry. The message conveyed by this book is one of confidence in the possibilities offered by this new era of Data-Intensive Computation. This message is not grounded on the current hype surrounding the latest technologies, but on a deep analysis of their effectiveness and also on the author’s two decades of professional experience as a technologist, quant and academic.
Download or read book Market Microstructure written by Frédéric Abergel and published by John Wiley & Sons. This book was released on 2012-04-03 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
Download or read book High Frequency Trading written by Irene Aldridge and published by John Wiley & Sons. This book was released on 2013-04-22 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully revised second edition of the best guide to high-frequency trading High-frequency trading is a difficult, but profitable, endeavor that can generate stable profits in various market conditions. But solid footing in both the theory and practice of this discipline are essential to success. Whether you're an institutional investor seeking a better understanding of high-frequency operations or an individual investor looking for a new way to trade, this book has what you need to make the most of your time in today's dynamic markets. Building on the success of the original edition, the Second Edition of High-Frequency Trading incorporates the latest research and questions that have come to light since the publication of the first edition. It skillfully covers everything from new portfolio management techniques for high-frequency trading and the latest technological developments enabling HFT to updated risk management strategies and how to safeguard information and order flow in both dark and light markets. Includes numerous quantitative trading strategies and tools for building a high-frequency trading system Address the most essential aspects of high-frequency trading, from formulation of ideas to performance evaluation The book also includes a companion Website where selected sample trading strategies can be downloaded and tested Written by respected industry expert Irene Aldridge While interest in high-frequency trading continues to grow, little has been published to help investors understand and implement this approach—until now. This book has everything you need to gain a firm grip on how high-frequency trading works and what it takes to apply it to your everyday trading endeavors.
Download or read book Handbook of Recent Advances in Commodity and Financial Modeling written by Giorgio Consigli and published by Springer. This book was released on 2017-09-30 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: - Part I: Optimization techniques - Part II: Pricing and Valuation - Part III: Risk Modeling The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: - The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; - Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; - Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.
