The Science of Algorithmic Trading and Portfolio Management: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques

Kissell, Robert

ISBN 10: 0124016898 / ISBN 13: 9780124016897

Verlag: Academic Press, 2013

Beschreibung

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Bibliografische Details

Titel: The Science of Algorithmic Trading and ...

Verlag: Academic Press

Erscheinungsdatum: 2013

Einband: Hardcover

Zustand: Good

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"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