Algorithmic Trading Methods

Algorithmic Trading Methods

Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques

2nd Edition - September 4, 2020

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  • Author: Robert Kissell
  • eBook ISBN: 9780128156315
  • Paperback ISBN: 9780128156308

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Description

Algorithmic Trading Methods: Applications using Advanced Statistics, Optimization, and Machine Learning Techniques, Second Edition, is a sequel to The Science of Algorithmic Trading and Portfolio Management. This edition includes new chapters on algorithmic trading, advanced trading analytics, regression analysis, optimization, and advanced statistical methods. Increasing its focus on trading strategies and models, this edition includes new insights into the ever-changing financial environment, pre-trade and post-trade analysis, liquidation cost & risk analysis, and compliance and regulatory reporting requirements. Highlighting new investment techniques, this book includes material to assist in the best execution process, model validation, quality and assurance testing, limit order modeling, and smart order routing analysis. Includes advanced modeling techniques using machine learning, predictive analytics, and neural networks. The text provides readers with a suite of transaction cost analysis functions packaged as a TCA library. These programming tools are accessible via numerous software applications and programming languages.

Key Features

  • Provides insight into all necessary components of algorithmic trading including: transaction cost analysis, market impact estimation, risk modeling and optimization, and advanced examination of trading algorithms and corresponding data requirements
  • Increased coverage of essential mathematics, probability and statistics, machine learning, predictive analytics, and neural networks, and applications to trading and finance
  • Advanced multiperiod trade schedule optimization and portfolio construction techniques
  • Techniques to decode broker-dealer and third-party vendor models
  • Methods to incorporate TCA into proprietary alpha models and portfolio optimizers
  • TCA library for numerous software applications and programming languages including: MATLAB, Excel Add-In, Python, Java, C/C++, .Net, Hadoop, and as standalone .EXE and .COM applications

Readership

Upper-division undergraduates, graduate students, researchers, and professionals working in financial economics, especially trading

Table of Contents

  • 1. New Financial Markets
    2. Algorithmic Trading
    3. Market Microstructure
    4. Transaction Cost Analysis
    5. Market Impact Models
    6. Estimating I-Star Model Parameters
    7. Volatility and Risk Models
    8. Advanced Forecasting Techniques – "Volume Forecasting Models"
    9. Algorithmic Decision-Making Framework
    10. Portfolio Algorithms & Trade Schedule Optimization
    11. Pre-Trade and Post-Trade Models
    12. Liquidation Cost Analysis
    13. Compliance and Regulatory Reporting
    14. Portfolio Construction
    15. Quantitative Portfolio Management Techniques
    16. Multi-Asset Trading Costs, ETFs, Fixed Income, etc.
    17. High Frequency Trading and Black Box Models
    18. Cost Index – Historical TCA Patterns, Costs by Market Cap, and Investment Style
    19. TCA with Excel, MATLAB, & Python
    20. Advanced Topics – TCA ETFs, Stat Arb, Liquidity Trading
    21. Best Execution Process – Model Validation, and Best Execution Process for Brokers and for Investors

Product details

  • No. of pages: 612
  • Language: English
  • Copyright: © Academic Press 2020
  • Published: September 4, 2020
  • Imprint: Academic Press
  • eBook ISBN: 9780128156315
  • Paperback ISBN: 9780128156308

About the Author

Robert Kissell

Robert Kissell, Ph.D., is President of Kissell Research Group, a global financial and economic consulting firm specializing in quantitative modeling, statistical analysis, and algorithmic trading. He is also a professor at Molloy College in the School of Business and an adjunct professor at the Gabelli School of Business at Fordham University. He has held several senior leadership positions with prominent bulge bracket investment banks including UBS Securities where he was Executive Director of Execution Strategies and Portfolio Analysis, and at JP Morgan where he was Executive Director and Head of Quantitative Trading Strategies. He was previously at Citigroup/Smith Barney where he was Vice President of Quantitative Research, and at Instinet where he was Director of Trading Research. He began his career as an Economic Consultant at R.J. Rudden Associates specializing in energy, pricing, risk, and optimization. Dr. Kissell has written several books and published dozens of journal articles on Algorithmic Trading, Risk, and Finance. He is a coauthor of the CFA Level III reading titled “Trade Strategy and Execution,” CFA Institute 2019.”

Affiliations and Expertise

President, Kissell Research Group; Professor, Molloy College; Adjunct Professor, Fordham University

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