The Science of Algorithmic Trading and Portfolio Management

Informationen zum Autor Robert Kissell, Ph.D., is President of Kissell Research Group, a global financial and economic consulting firm specializing in quantitative modeling, statistical analysis, and algorithmic trading. He is also a professor at Molloy College in the School of Business and an adjunct professor at the Gabelli School of Business at Fordham University. He has held several senior leadership positions with prominent bulge bracket investment banks including UBS Securities where he was Executive Director of Execution Strategies and Portfolio Analysis, and at JP Morgan where he was Executive Director and Head of Quantitative Trading Strategies. He was previously at Citigroup/Smith Barney where he was Vice President of Quantitative Research, and at Instinet where he was Director of Trading Research. He began his career as an Economic Consultant at R.J. Rudden Associates specializing in energy, pricing, risk, and optimization. Dr. Kissell has written several books and published dozens of journal articles on Algorithmic Trading, Risk, and Finance. He is a coauthor of the CFA Level III reading titled Trade Strategy and Execution,? CFA Institute 2019.? Klappentext Summarises market structure! the formation of prices! and how different participants interact with one another. Zusammenfassung Discusses algorithmic trading across the various asset classes! provides key insights into ways to develop! test! and build trading algorithms. This title helps readers learn how to evaluate market impact models and assess performance across algorithms! traders! and brokers! and acquire the knowledge to implement electronic trading systems.

Autorentext
Robert Kissell, Ph.D., is President of Kissell Research Group, a global financial and economic consulting firm specializing in quantitative modeling, statistical analysis, and algorithmic trading. He is also a professor at Molloy College in the School of Business and an adjunct professor at the Gabelli School of Business at Fordham University. He has held several senior leadership positions with prominent bulge bracket investment banks including UBS Securities where he was Executive Director of Execution Strategies and Portfolio Analysis, and at JP Morgan where he was Executive Director and Head of Quantitative Trading Strategies. He was previously at Citigroup/Smith Barney where he was Vice President of Quantitative Research, and at Instinet where he was Director of Trading Research. He began his career as an Economic Consultant at R.J. Rudden Associates specializing in energy, pricing, risk, and optimization. Dr. Kissell has written several books and published dozens of journal articles on Algorithmic Trading, Risk, and Finance. He is a coauthor of the CFA Level III reading titled Trade Strategy and Execution,” CFA Institute 2019.”

Klappentext

Summarises market structure, the formation of prices, and how different participants interact with one another.

Zusammenfassung
Discusses algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. This title helps readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems.

Inhalt

I - Introduction

1. Algorithmic Trading

2. Market Microstructure

3. Transaction Cost Analysis (TCA)

   II - Mathematical Modeling ****

4.. Market Impact

5. Multi-Asset Class Market Impact

   6 Price

6. Algorithmic Trading Risk

7. Algorithmic Decision Making Framework

8. Portfolio Algorithms

   III - Portfolio Management ****

10. Portfolio Construction

11. Quant Factors

12. Black Box Models