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Algorithmic Trading and Quantitative Strategies provides an in-depth overview of this growing field with a unique mix of quantitative rigor and practitioner’s hands-on experience. The focus on empirical modeling and practical know-how makes this book a valuable resource for students and professionals.
The book starts with the often overlooked context of why and how we trade via a detailed introduction to market structure and quantitative microstructure models. The authors then present the necessary quantitative toolbox including more advanced machine learning models needed to successfully operate in the field. They next discuss the subject of quantitative trading, alpha generation, active portfolio management and more recent topics like news and sentiment analytics. The last main topic of execution algorithms is covered in detail with emphasis on the state of the field and critical topics including the elusive concept of market impact. The book concludes with a discussion of the technology infrastructure necessary to implement algorithmic strategies in large-scale production settings.
A GitHub repository includes data sets and explanatory/exercise Jupyter notebooks. The exercises involve adding the correct code to solve the particular analysis/problem.
From the Publisher
Publisher : Routledge
Publication date : July 14, 2020
Edition : 1st
Language : English
Print length : 450 pages
ISBN-10 : 1498737161
ISBN-13 : 978-1498737166
Item Weight : 1.95 pounds
Dimensions : 6.14 x 1.25 x 9.21 inches
Part of series : Chapman and Hall/CRC Financial Mathematics
Best Sellers Rank: #1,960,181 in Books (See Top 100 in Books) #860 in Investment Portfolio Management #2,141 in Investment Analysis & Strategy #42,659 in Computers & Technology (Books)
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