The first part of this book discusses institutions and instruments of algorithmic trading, market micro-structure, 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 goes over market impact models, network models, multi-asset trading, machine […]
This book clarifies the significance of using complex yet accessible statistical methods to assess a trading system before it is put to real-world use. To adjust to readers having limited mathematical background, these techniques are illustrated with step-by-step examples using actual market data, and all examples are explained in plain language.
Machine Trading is a hands-on guide to constructing your algorithmic trading business. Created by a renowned trader with major institutional expertise, this book offers step-by-step training on quantitative trading and the latest technologies available even outside the Wall Street circle.