The science of algorithmic trading and portfolio management / Robert Kissell
Material type:
TextPublication details: Amsterdam : Academic Press, 2014Description: xviii, 473 p. : ill. ; 25 cmISBN: - 9780124016897 (hbk.)
- 0124016898 (hbk.)
| Item type | Current library | Call number | Copy number | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|---|
Open Shelf
|
UMPLIB PEKAN | HG4515.5 .K57 2014 (Browse shelf(Opens below)) | 1 | Available | 0000099949 |
Includes bibliographical references and index
Algorithmic trading -- Market microstructure -- Algorithmic transaction cost analysis -- Market impact models -- Estimating I-star model parameters -- Price volatility -- Advanced algorithmic forecasting techniques -- Algorithmic decision making framework -- Portfolio algorithms -- Portfolio construction -- Quantitative portfolio management techniques -- Cost index and multi-asset trading costs -- High frequency trading and black box models.