Algorithmic Trading: A Practitioner's Guide - Softcover

Bacidore, Jeffrey M

Softcover

ISBN 10: 0578715236 ISBN 13: 9780578715230

Publisher: TBG Press, 2020

Synopsis

Algorithmic Trading has grown dramatically, from a tool used by only the most sophisticated traders to one used daily by virtually every major investment firm and broker. Trading algorithms today have permeated trading in most asset classes, not only traditional assets like stocks, but also more exotic assets like cryptocurrencies.This book aims to provide portfolio managers, traders, and other finance professionals with in-depth information about how trading algorithms actually work in practice. The book provides detailed coverage of:• Single-order algorithms, such as Volume-Weighted Average Price (VWAP), Time-Weighted Average Price (TWAP), Percent of Volume (POV), and variants of the Implementation Shortfall algorithm.• Multi-order algorithms, such as Pairs Trading and Portfolio Trading algorithms.• Smart routers, including “smart market,” “smart limit,” and dark aggregators.• Trading performance measurement, including trading benchmarks, “algo wheels,” trading cost models, and other measurement issues.

Edition details

• Publisher: TBG Press
• Publication date: 2020
• ISBN 10: 0578715236
• ISBN 13: 9780578715230
• Binding: Paperback
• Language: English
• Number of pages: 243