Algorithmic Trading

A Practitioner's Guide

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Jeffrey M. Bacidore

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243 stránek
9 hodin čtení

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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 vydání: 2020
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3 Hodnocení

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Informace o vydáníNavrhnout úpravu

Titul: Algorithmic Trading
Podtitul: A Practitioner's Guide
Jazyk: anglicky
Autoři: Jeffrey M. Bacidore
Vydavatel: TBG Press
Rok vydání: 2020
Vazba: měkká
Počet stran: 243
ISBN10: 0578715236
ISBN13: 9780578715230
Série
Štítky: Naučná literatura, Byznys, Byznys & Management, Ekonomie, Finance, Investice & Spekulace
Hodnocení: 3,35 z 5
Anotace: 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.