杭州电子科技大学图书馆书目检索系统

Online Public Access Catalogue

题名/责任者:

Algorithmic trading and quantitative strategies / Raja Velu, Maxence Hardy, Daniel Nehren.

出版发行项:

Boca Raton : CRC Press, 2020.

ISBN:

9781498737166

载体形态项:

1 volume : illustrations ; 24 cm.

丛编说明:

Chapman & Hall/CRC financial mathematics series

个人责任者:

Velu, Raja, author.

附加个人名称:

Hardy, Maxence, author.

附加个人名称:

Nehren, Daniel, author.

论题主题:

Finance-Data processing.

论题主题:

Finance-Computer programs.

论题主题:

Investment analysis.

论题主题:

Electronic trading of securities.

中图法分类号:

F830.59

摘要附注:

"Algorithmic Trading and Quantitative Strategies provides an in-depth overview of this growing field with a unique mix of quantitative rigor and practitioner's hands-on experience. The focus on empirical modeling and practical know-how makes this book a valuable resource for students and professionals. The book starts with the often overlooked context of why and how we trade via a detailed introduction to market structure and quantitative microstructure models. The authors then present the necessary quantitative toolbox including more advanced machine learning models needed to successfully operate in the field. They next discuss the subject of quantitative trading, alpha generation, active portfolio management and more recent topics like news and sentiment analytics. The last main topic of execution algorithms is covered in detail with emphasis on the state of the field and critical topics including the elusive concept of market impact. The book concludes with a discussion on the technology infrastructure necessary to implement algorithmic strategies in large-scale production settings. A git-hub repository includes data-sets and explanatory/exercise Jupyter notebooks. The exercises involve adding the correct code to solve the particular analysis/problem"--

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