Algorithmic and High-Frequency Trading (pdf)

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Author Álvaro Cartea, Sebastian Jaimungal, José Penalva
Edition 1
Edition Year 2015
Format PDF
ISBN 9781107091146
Language English
Number Of Pages 362
Publisher Cambridge University Press

Description

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.

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.

Additional information

Author

Álvaro Cartea, Sebastian Jaimungal, José Penalva

Edition

1

Edition Year

2015

Format

PDF

ISBN

9781107091146

Language

English

Number Of Pages

362

Publisher

Cambridge University Press

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