Algorithmic Trading and Quantitative Strategies (Chapman and Hall/CRC Financial Mathematics Series)

October 31, 2020
Algorithmic Trading and Quantitative Strategies (Chapman and Hall/CRC Financial Mathematics Series)

Algorithmic Trading and Quantitative Strategiesprovides an in-depth overview of this growing field with a uniquemix of quantitative rigor and practitioner’s hands-on experience.The focus on empirical modeling and practical know-how makes thisbook a valuable resource for students and professionals.The book starts with the often overlooked context of why and howwe trade via a detailed introduction to market structure andquantitative microstructure models. The authors then present thenecessary quantitative toolbox including more advanced machinelearning models needed to successfully operate in the field. Theynext discuss the subject of quantitative trading, alpha generation,active portfolio management and more recent topics like news andsentiment analytics. The last main topic of execution algorithms iscovered in detail with emphasis on the state of the field andcritical topics including the elusive concept of market impact. Thebook concludes with a discussion of the technology infrastructurenecessary to implement algorithmic strategies in large-scaleproduction settings.A GitHub repository includes data sets and explanatory/exerciseJupyter notebooks. The exercises involve adding the correct code tosolve the particular analysis/problem.