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Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization by Xin Guo

Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization

by Xin Guo
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Book cover type: Paperback
  • ISBN13: 9780367871819
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Taylor & Francis
  • Publisher Imprint: CRC Press
  • Publication Date:
  • Pages: 380
  • Original Price: GBP 68.99
  • Language: English
  • Edition: N/A
  • Item Weight: 700 grams
  • BISAC Subject(s): Finance / General and Probability & Statistics / General

The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.

Xin Guo is the Coleman Fung Chair Professor of Financial Modeling in the department of Industrial Engineering and Operations Research, UC Berkeley. She founded the Berkeley Risk Analysis and Data Analytics Research (RADAR) Lab and holds a courtesy appointment with the Lawrence Berkeley National Lab. Prior to UC Berkeley, she was a Research Staff Member at the IBM T. J. Watson Research Center and an Associate Professor at Cornell University. Her main research interests are stochastic control, stochastic processes and applications. In addition to high frequency trading modeling and analysis, her recent research includes singular controls, impulse controls, non-linear expectations, mean-field games, and filtration enlargement with application to credit risk.

Tze Leung Lai is a Professor of Statistics and, by courtesy, of Health Research and Policy in the School of Medicine and of the Institute for Computational & Mathematical Engineering (ICME) in the School of Engineering at Stanford University. He is Director of the Financial and Risk Modeling Institute, Co-Director of the Biostatistics Core of the Stanford Cancer Institute, and Co-Director of the Center for Innovative Study Design at the Stanford School of Medicine. He has held regular and visiting faculty appointments at Columbia University, UC Berkeley, and Nankai University, and holds advisory positions with the University of Hong Kong, Peking University, and Tsinghua University.

Howard Shek is a senior researcher at Tower Research Capital, where he has built and led the Core Research team with a mandate that covers the wide spectrum of research topics in automated trading. He has over 15 years of quantitative research and trading experience in fixed-income arbitrage, market microstructure, volatility estimation, option pricing, and portfolio theory, and has held senior trading and research positions at Merrill Lynch and J. P. Morgan, focus

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