000			01519 a2200181 4500
020			_a9781107091146
082			_a332.64 CAR
100			_aCartea, Álvaro
245			_aAlgorithmic and High- Frequency Trading
260			_bCambridge University Press _aCambridge _c2015
300			_a343
520			_aThe 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			_aSpeculation-Mathematical models
650			_aFinance-Mathematical models
700			_aJaimungal, Sebastian
700			_aPenalva, José
942			_cBK _2ddc
999			_c46116 _d46116