Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization

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.

Table of Contents

Chapter 1 Introduction
Chapter 2 Statistical Models and Methods for Quantitative Trading
Chapter 3 Active Portfolio Management and Investment Strategies
Chapter 4 Econometrics of Transactions in Electronic Platforms
Chapter 5 Limit Order Book: Data Analytics and Dynamic Models
Chapter 6 Optimal Execution and Placement
Chapter 7 Market Making and Smart Order Routing
Chapter 8 Informatics, Regulation and Risk Management
Appendix A Martingale Theory
Appendix B Markov Chain and Related Topics
Appendix C Doubly Stochastic Self-Exciting Point Processes
Appendix D Weak Convergence and Limit Theorems