Algorithmic Trading

A Practitioner's Guide

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Jeffrey M. Bacidore

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243 stránok
9 hodin čítania

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The book provides detailed coverage of?Single order algorithms, such as Volume-Weighted Average Price (VWAP), Time-Weighted-Average Price (TWAP), Percent of Volume (POV), and variants of the Implementation Shortfall algorithm. ?Multi-order algorithms, such as Pairs Trading and Portfolio Trading algorithms.?Smart routers, including "smart market", "smart limit", and dark aggregators.?Trading performance measurement, including trading benchmarks, "algo wheels", trading cost models, and other measurement issues.

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Algorithmic Trading, Jeffrey M. Bacidore

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Rok vydania: 2020
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Titul: Algorithmic Trading
Podtitul: A Practitioner's Guide
Jazyk: anglicky
Autori: Jeffrey M. Bacidore
Vydavateľ: TBG Press
Rok vydania: 2020
Väzba: mäkká
Počet strán: 243
ISBN10: 0578715236
ISBN13: 9780578715230
Série
Štítky: Náučná literatúra, Byznys, Biznis & Manažment, Ekonómia, Financie, Investície & Špekulácie
Hodnotenie: 3,35 z 5
Anotácia: The book provides detailed coverage of?Single order algorithms, such as Volume-Weighted Average Price (VWAP), Time-Weighted-Average Price (TWAP), Percent of Volume (POV), and variants of the Implementation Shortfall algorithm. ?Multi-order algorithms, such as Pairs Trading and Portfolio Trading algorithms.?Smart routers, including "smart market", "smart limit", and dark aggregators.?Trading performance measurement, including trading benchmarks, "algo wheels", trading cost models, and other measurement issues.