Algorithmic and High-Frequency Trading

by Álvaro Cartea, Sebastian Jaimungal, José Penalva

Subject categories
ISBNs
  • 9781107091146
  • 9781316455579
  • 9781316452219
The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.
  • Cambridge University Press; August 2015
  • ISBN: 9781316455579
  • Read online, or download in secure PDF or secure ePub format
  • Title: Algorithmic and High-Frequency Trading
  • Author: Álvaro Cartea; Sebastian Jaimungal; José Penalva
  • Imprint: Cambridge University Press
Subject categories
ISBNs
  • 9781107091146
  • 9781316455579
  • 9781316452219

In The Press

'[This book] is an important and timely textbook on algorithmic trading. Human traders in financial markets are an endangered species, gradually replaced by computers and algorithms. In this new world, designing and coding trading strategies requires knowledge of market microstructure, basic economic principles governing price formation in financial markets, and stylized facts about price dynamics and trading activity. It also requires specific mathematical tools, such as stochastic control, and understanding of how these tools are used to solve trading problems. Algorithmic and High-Frequency Trading is unique in that it provides a unified treatment of these topics. I enjoyed reading it and recommend it highly to students or practitioners interested in mathematical models used in algorithmic trading.' Thierry Foucault, HEC Paris

Subject categories
ISBNs
  • 9781107091146
  • 9781316455579
  • 9781316452219