Algorithmic and High-Frequency Trading

Algorithmic and High-Frequency Trading

Cartea, Alvaro; Jaimungal, Sebastian; Penalva, Jose

Cambridge University Press






15 a 20 dias

A straightforward guide to the mathematics of algorithmic trading that reflects cutting-edge research.
Preface; How to read this book; Part I. Microstructure and Empirical Facts: 1. Electronic markets and the limit order book; 2. A primer on the microstructure of financial markets; 3. Empirical and statistical evidence - prices and returns; 4. Empirical and statistical evidence - activity and market quality; Part II. Mathematical Tools: 5. Stochastic optimal control and stopping; Part III. Algorithmic and High-Frequency Trading: 6. Optimal execution with continuous trading I; 7. Optimal execution with continuous trading II; 8. Optimal execution with limit and market orders; 9. Targeting volume; 10. Market making; 11. Pairs trading and statistical arbitrage strategies; 12. Order imbalance; Appendix A. Stochastic calculus for finance; Bibliography; Glossary; Subject index.
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