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Algorithmic Trading

A Practitioner's Guide

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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

Taal
Jaar van publicatie
2020
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(Paperback)
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Titel
Algorithmic Trading
Ondertitel
A Practitioner's Guide
Taal
Engels
Uitgever
TBG Press
Jaar van publicatie
2020
Formaat
Paperback
Aantal pagina's
243
ISBN10
0578715236
ISBN13
9780578715230
Reeks
Beoordeling
3,35 van 5
Aantekening
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.