The Science of Algorithmic Trading and Portfolio Management
Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques
1st Edition
Published on 14. November 2013
Book
Hardback
496 pages
978-0-12-401689-7 (ISBN)
Description
The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. 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.
This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects.
This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects.
Reviews / Votes
"Kissell... introduces the mathematical models for constructing, calibrating, and testing market impact models that calculate the change in stock price caused by a large trade or order, and presents an advanced portfolio optimization process that incorporates market impact and transaction costs directly into portfolio optimization." --ProtoView.com, March 2014"This book provides excellent coverage of the challenges faced by portfolio managers and traders in implementing investment ideas and the advanced modeling techniques to address these challenges." --Kumar Venkataraman, Southern Methodist University
More details
Language
English
Place of publication
San Diego
United States
Publishing group
Elsevier Science Publishing Co Inc
Target group
Professional and scholarly
Students and professors studying stock selection and portfolio management, as well as traders, practitioners, and portfolio managers working in the financial industry.
Dimensions
Height: 235 mm
Width: 191 mm
Weight
1160 gr
ISBN-13
978-0-12-401689-7 (9780124016897)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
Robert Kissell
Algorithmic Trading Methods
Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques
Book
09/2020
2nd Edition
Academic Press
€102.50
Shipment within 15-20 days
Additional editions
Robert Kissell
The Science of Algorithmic Trading and Portfolio Management
E-Book
05/2014
Academic Press
€53.95
Available for download
Person
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.?
Content
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
7. Algorithmic Trading Risk
8. Algorithmic Decision Making Framework
9. Portfolio Algorithms
III - Portfolio Management
10. Portfolio Construction
11. Quant Factors
12. Black Box Models
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
7. Algorithmic Trading Risk
8. Algorithmic Decision Making Framework
9. Portfolio Algorithms
III - Portfolio Management
10. Portfolio Construction
11. Quant Factors
12. Black Box Models