Algorithmic Trading Methods - 2nd Edition - ISBN: 9780128156308, 9780128156315

Algorithmic Trading Methods

2nd Edition

Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques

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Authors: Robert Kissell
Paperback ISBN: 9780128156308
eBook ISBN: 9780128156315
Imprint: Academic Press
Published Date: 8th May 2020
Page Count: 566
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Description

Algorithmic Trading Methods: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques, 2nd Edition focuses on trading strategies and methods, including new insights on the evolution of financial markets, pre-trade models and post-trade analysis, liquidation cost and risk analysis required for regulatory reporting, and compliance and regulatory reporting requirements. Highlighting new investment styles, it adds new material on best execution processes for investors and brokers, including model validation, quality and assurance, limit order model testing, and smart order model testing. Using basic programming tools, such as Excel, MATLAB, and Python, this book provides a process to create TCA low cost exchange traded funds.

Key Features

  • Provides insights into all necessary components of algorithmic trading, including transaction costs analysis, market impact, risk and optimization, and a thorough and detailed discussion of trading algorithms
  • Includes increased coverage of mathematics, statistics and machine learning
  • Presents broad coverage of Alpha Model construction

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

Details

No. of pages:
566
Language:
English
Copyright:
© Academic Press 2020
Published:
8th May 2020
Imprint:
Academic Press
Paperback ISBN:
9780128156308
eBook ISBN:
9780128156315

About the Author

Robert Kissell

Robert Kissell, PhD, 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 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 and Adjunct Faculty Member, Gabelli School of Business, Fordham University

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