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Algorithmic and high-frequency trading

Algorithmic and high-frequency trading (Loan 1 times)

Material type
단행본
Personal Author
Cartea, Álvaro. Jaimungal, Sebastian. Penalva, José.
Title Statement
Algorithmic and high-frequency trading / Álvaro Cartea, University College London, Sebastian Jaimungal, University of Toronto, José Penalva, Universidad Carlos III de Madrid.
Publication, Distribution, etc
Cambridge, UK :   Cambridge University Press,   2015.  
Physical Medium
xv, 343 p. : ill. (some col.) ; 26 cm.
ISBN
9781107091146 (hardback)
Bibliography, Etc. Note
Includes bibliographical references (p. 327-335) and index.
Subject Added Entry-Topical Term
Electronic trading of securities --Mathematical models. Finance --Mathematical models. Speculation --Mathematical models.
000 00000cam u2200205 a 4500
001 000045878330
005 20160816163613
008 160809s2015 enka b 001 0 eng d
010 ▼a 2015018946
020 ▼a 9781107091146 (hardback)
035 ▼a (KERIS)REF000017755161
040 ▼a DLC ▼b eng ▼c DLC ▼e rda ▼d DLC ▼d 211009
050 0 0 ▼a HG4515.95 ▼b .C387 2015
082 0 0 ▼a 332.64 ▼2 23
084 ▼a 332.64 ▼2 DDCK
090 ▼a 332.64 ▼b C322a
100 1 ▼a Cartea, Álvaro.
245 1 0 ▼a Algorithmic and high-frequency trading / ▼c Álvaro Cartea, University College London, Sebastian Jaimungal, University of Toronto, José Penalva, Universidad Carlos III de Madrid.
260 ▼a Cambridge, UK : ▼b Cambridge University Press, ▼c 2015.
300 ▼a xv, 343 p. : ▼b ill. (some col.) ; ▼c 26 cm.
504 ▼a Includes bibliographical references (p. 327-335) and index.
650 0 ▼a Electronic trading of securities ▼x Mathematical models.
650 0 ▼a Finance ▼x Mathematical models.
650 0 ▼a Speculation ▼x Mathematical models.
700 1 ▼a Jaimungal, Sebastian.
700 1 ▼a Penalva, José.
945 ▼a KLPA

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.64 C322a Accession No. 111760177 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

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.


Information Provided By: : Aladin

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