Algorithmic and High- Frequency Trading (Record no. 46116)

MARC details
000 -LEADER
fixed length control field 01519 a2200181 4500
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781107091146
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.64 CAR
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Cartea, Álvaro
245 ## - TITLE STATEMENT
Title Algorithmic and High- Frequency Trading
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Name of publisher, distributor, etc Cambridge University Press
Place of publication, distribution, etc Cambridge
Date of publication, distribution, etc 2015
300 ## - PHYSICAL DESCRIPTION
Extent 343
520 ## - SUMMARY, ETC.
Summary, etc 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. 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.-- Provided by publisher
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Speculation-Mathematical models
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance-Mathematical models
700 ## - ADDED ENTRY--PERSONAL NAME
Personal name Jaimungal, Sebastian
700 ## - ADDED ENTRY--PERSONAL NAME
Personal name Penalva, José
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Book
Source of classification or shelving scheme Dewey Decimal Classification

No items available.