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|a 1202137295
|a 1353580192
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|a 332.60285
|2 23
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| 100 |
1 |
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|a Kissell, Robert,
|d 1967-
|e author.
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| 240 |
1 |
0 |
|a Science of algorithmic trading and portfolio management
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| 245 |
1 |
0 |
|a Algorithmic trading methods :
|b applications using advanced statistics, optimization, and machine learning techniques /
|c Robert L. Kissell.
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| 250 |
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|a Second edition.
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| 264 |
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1 |
|a London, United Kingdom :
|b Academic Press,
|c [2021]
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| 300 |
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|a 1 online resource (1 volume)
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 500 |
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|a Previous edition: published as The science of algorithmic trading and portfolio management. 2014.
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| 588 |
0 |
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|a Print version record.
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0 |
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|a Intro -- Title page -- Table of Contents -- Copyright -- Preface -- Acknowledgments -- Chapter 1. Introduction -- What is Electronic Trading? -- What is Algorithmic Trading? -- Trading Algorithm Classifications -- Trading Algorithm Styles -- Investment Cycle -- Investment Objective -- Information Content -- Investment Styles -- Investment Strategies -- Research Data -- Broker Trading Desks -- Research Function -- Sales Function -- Implementation Types -- Algorithmic Decision-Making Process -- Chapter 2. Algorithmic Trading -- Advantages -- Disadvantages -- Growth in Algorithmic Trading
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| 505 |
8 |
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|a Market Participants -- Classifications of Algorithms -- Types of Algorithms -- Algorithmic Trading Trends -- Day of Week Effect -- Intraday Trading Profiles -- Trading Venue Classification -- Types of Orders -- Revenue Pricing Models -- Execution Options -- Algorithmic Trading Decisions -- Algorithmic Analysis Tools -- High Frequency Trading -- Direct Market Access -- Chapter 3. Transaction Costs -- What are transaction costs? -- What is best execution? -- What is the goal of implementation? -- Unbundled Transaction Cost Components -- Transaction Cost Classification
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| 505 |
8 |
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|a Transaction Cost Categorization -- Transaction Cost Analysis -- Implementation Shortfall -- Implementation Shortfall Formulation -- Evaluating Performance -- Comparing Algorithms -- Independent Samples -- Median Test -- Distribution Analysis -- Chi-Square Goodness of Fit -- Kolmogorov-Smirnov Goodness of Fit -- Experimental Design -- Final Note on Posttrade Analysis -- Chapter 4. Market Impact Models -- Introduction -- Definition -- Derivation of Models -- I-Star Market Impact Model -- Model Formulation -- Chapter 5. Probability and Statistics -- Introduction -- Random Variables
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| 505 |
8 |
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|a Probability Distributions -- Probability Distribution Functions -- Continuous Distribution Functions -- Discrete Distributions -- Chapter 6. Linear Regression Models -- Introduction -- Linear Regression -- Matrix Techniques -- Log Regression Model -- Polynomial Regression Model -- Fractional Regression Model -- Chapter 7. Probability Models -- Introduction -- Developing a Probability Model -- Solving Probability Output Models -- Examples -- Comparison of Power Function to Logit Model -- Conclusions -- Chapter 8. Nonlinear Regression Models -- Introduction -- Regression Models
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| 505 |
8 |
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|a Nonlinear Formulation -- Solving Nonlinear Regression Model -- Estimating Parameters -- Nonlinear least squares (Non-OLS) -- Hypothesis Testing -- Evaluate Model Performance -- Sampling Techniques -- Random Sampling -- Sampling With Replacement -- Sampling Without Replacement -- Monte Carlo Simulation -- Bootstrapping Techniques -- Jackknife Sampling Techniques -- Chapter 9. Machine Learning Techniques -- Introduction -- Types of Machine Learning -- Examples -- Classification -- Regression -- Neural Networks -- Chapter 10. Estimating I-Star Market Impact Model Parameters -- Introduction
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| 650 |
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0 |
|a Investments.
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| 650 |
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0 |
|a Algorithms.
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| 650 |
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0 |
|a Stocks
|x Mathematical models.
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| 650 |
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0 |
|a Program trading (Securities)
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| 650 |
|
0 |
|a Portfolio management
|x Mathematical models.
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| 650 |
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2 |
|a Investments
|0 (DNLM)D007449
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| 650 |
|
2 |
|a Algorithms
|0 (DNLM)D000465
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| 650 |
|
6 |
|a Investissements.
|0 (CaQQLa)201-0004448
|
| 650 |
|
6 |
|a Algorithmes.
|0 (CaQQLa)201-0001230
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| 650 |
|
6 |
|a Actions (Titres de soci�et�e)
|0 (CaQQLa)201-0006032
|x Mod�eles math�ematiques.
|0 (CaQQLa)201-0379082
|
| 650 |
|
6 |
|a N�egociation assist�ee par ordinateur (Valeurs mobili�eres)
|0 (CaQQLa)201-0209766
|
| 650 |
|
6 |
|a Gestion de portefeuille
|0 (CaQQLa)201-0095772
|x Mod�eles math�ematiques.
|0 (CaQQLa)201-0379082
|
| 650 |
|
7 |
|a algorithms.
|2 aat
|0 (CStmoGRI)aat300065585
|
| 650 |
|
7 |
|a Algorithms
|2 fast
|0 (OCoLC)fst00805020
|
| 650 |
|
7 |
|a Investments
|2 fast
|0 (OCoLC)fst00978234
|
| 650 |
|
7 |
|a Portfolio management
|x Mathematical models
|2 fast
|0 (OCoLC)fst01072082
|
| 650 |
|
7 |
|a Program trading (Securities)
|2 fast
|0 (OCoLC)fst01078669
|
| 650 |
|
7 |
|a Stocks
|x Mathematical models
|2 fast
|0 (OCoLC)fst01133724
|
| 776 |
0 |
8 |
|i Print version:
|a Kissell, Robert, 1967-
|s Science of algorithmic trading and portfolio management.
|t Algorithmic trading methods.
|b Second edition.
|d Amsterdam : Academic Press, 2019
|z 9780128156308
|w (OCoLC)1124323503
|
| 856 |
4 |
0 |
|u https://sciencedirect.uam.elogim.com/science/book/9780128156308
|z Texto completo
|
