Algorithmic Trading Methods: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques

The Science of Algorithmic Trading and Portfolio Management, Second Edition, focuses on trading strategies and methods, including new insights on the evolution of financial markets, pre-trade models and post-trade analysis, liquidation cost and risk analysis required for regulatory reporting, and compliance and regulatory reporting requirements. Highlighting new investment styles, it adds new material on best execution processes for investors and brokers, including model validation, quality and assurance, limit order model testing, and smart order model testing. Using basic programming tools, such as Excel, MATLAB, and Python, this book provides a process to create TCA low cost exchange traded funds.

• Provides insights into all necessary components of algorithmic trading, including transaction costs analysis, market impact, risk and optimization, and a thorough and detailed discussion of trading algorithms
• Includes increased coverage of mathematics, statistics and machine learning
• Presents broad coverage of Alpha Model construction