Algorithmic and High-Frequency Trading
$23.81
| Author(s) | , , |
|---|---|
| Format |
|
| Pages |
359 |
| Published Date |
2015 |
Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to the cutting edge of research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge. and how other market participants may affect the profitability of the algorithms, then this is the book for you.
Author’s Introduction:
This book is organised into three parts that take the reader from the workings of electronic exchanges to the economics behind them, then to the relevant mathematics, and finally to models and problems of algorithmic trading.
- Part I starts with a description of the basic elements of electronic markets and the main ways in which people participate in the market: as active traders exploiting an informational advantage to profit from possibly fleeting profit opportunities, or as market makers, simultaneously offering to buy and sell at advantageous prices.
- Part II develops the mathematical tools for the analysis of trading algorithms. The chapter on stochastic optimal control and stopping provides a pragmatic approach to material which is less standard in financial mathematics textbooks. It is also written so that readers without previous exposure to these techniques equip themselves with the necessary tools to understand the mathematical models behind some algorithmic trading strategies.
- Part III of the book delves into the modelling of algorithmic trading strategies. The first two chapters are concerned with optimal execution strategies where the agent must liquidate or acquire a large position over a pre-specified window and trades continuously using only market orders.
Contents:
- Electronic Markets and the limit Order Book
- A Primer on the Microstrncture of Financial Markets
- Empirical and Statistical Evidence: Prices and Returns
- Empirical and Statistical Evidence: Activity and Market Quality
- Stochastic Optimal Control and Stopping
- Optimal Execution with Continuous Trading
- Optimal Exerntioro with Limit and Market Orders
- Targeting Volume
- Market Making
- Pairs Trading and Statistical Arbitrage Strategies
- Order Imbalance
Algorithmic and High-Frequency Trading By José Penalva, Sebastian Jaimungal, and Álvaro Cartea pdf
26 reviews for Algorithmic and High-Frequency Trading
Clear filtersOnly logged in customers who have purchased this product may leave a review.
Lexie Hahn (verified owner) –
there are many good points but the content is not consistent – too much details in some places while others are to superficial
the price is a good value for the content
Victoria Kane (verified owner) –
A great book!
Nyla Berg (verified owner) –
The book is supposed to have a companion website with code but what they have is very limited!
Cayson Nunez (verified owner) –
A very good book giving for both the beginners and experts.
Mya Adams (verified owner) –
Great book for high frequency trading. Very good explanation. Perfect!
Tadeo Santos (verified owner) –
Outstanding book!
I am studying Financial Mathematics (MSc) and this book showed me what my PhD is going to be based on.
It has a very strong mathematical rigour but at the same time, is very intuitive.
I strongly recommend it!
Margot Hubbard (verified owner) –
I’m a software engineer and this book gave me some food for thought. Some didnt make sense but the bits that did were insightful and explained well enough that anyone could have understood them. This book is a bit maths heavy but seems to make a good effort to explain whats going on with plenty of diagrams to aid the explanation.
Mazikee Ware (verified owner) –
Although the market-making theory in the early stages is general, it is not useless, but about trade theory with advanced mathematics in the second half, “This kind of mathematical formula is used I felt that it was a bad book that just bluntly introduced “I’m doing it.” In other words, from a historical point of view, the purpose and necessity of the mathematical formula, and the circumstances that led to the formula structure, are not written. I felt that this could not be developed for practical application. Or rather, I cut it halfway through.
Zander Walton (verified owner) –
The book is really amazing and fantastic, with rich contents in superb binding and reasonable price. I believe it is ideal both graduate students at a Master or PhD level as well as those already working at the financial sector who intends to combine their professional knowledge and expertise with mathematical models for algorithmic trading. The sophisticated mathematical models introduced in the book are all well interpreted with the support of empirical facts and financial economics, which gives me a more vivid picture of how modern electronic markets operates. Really excellent job for the useful book! Five-star recommendation!
Heaven Pace (verified owner) –
Maths is very theoretical, and while proofs are kept to the side in the main text, there aren’t that many useful real world trading insights to be gained in this book, except perhaps for the discussion on optimal times for entering/exiting spread/pairs trading strategies. However the assumptions for the maths in deriving these optimal entry/exit times may not be all that applicable in reality, making the suggested optimal trade exit times suggested in the book not all that useful in practice for pairs trading. e.g. volatility varies over time in ways not are not necessarily described by standard SDEs used in the book for price movements.
Kaliyah Conner (verified owner) –
very mathematically
everything in it for a good robot
Phillip Travis (verified owner) –
Useless
Dont waste money
Hudson Quinn (verified owner) –
I’m a graduate student of Computational Finance and I found this book to be both challenging for my education level and extremely interesting. It provides an extensive introduction to concepts such as market microstructure, touching on the fundamental of stochastic calculus before introducing the stochastic optimisation chapter. The second part of the book is exclusively dedicated to algorithmic trading models.
I found useful to support this book with Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability)
by Pham, which provides an in-depth mathematical structure where the reader may need it.
Overall a great book, suggested to any student willing to get a self-contained guide for the field of algorithmic trading.
Eden Pham (verified owner) –
Very good book. Quite technical.
Very high level of programming.
Excellent explanation of market theory
Sabrina Branch (verified owner) –
The systematic, financial considerations for the presentation of High Frequency Trading (HFT) algorithms are useful in assessing the practice of dark pools.
Tatum Burton (verified owner) –
Amazing collection of trading problems and how to solve them. Not for the casually reader, but those willing to put in the effort will gain lots of insight. Some of the models need to be peppered with real world nuances to make them practical. My sense is that they wrote this book as a demonstration of how to apply control methods to algorithmic trading, rather than providing just a collection of rules of thumb. All in all, well worth the price.
Kabir Guerrero (verified owner) –
Great Book. For lovers of trading. Requires minimal knowledge of Mathematics or Statistics. If read with great care, it is rich in operational cues.
Kellan Erickson (verified owner) –
A futile exercise in operations research that has nothing to do with trading. These kids clearly have no clue how trading works. If you want to read about mathematical optimization, there are plenty other good reads out there. This is not one of them.
Keenan Villalobos (verified owner) –
I am giving this book 1 star mainly for the reason that the title (and contents) of the book are misleading: this book is not about algorithmic and high-frequency trading. This book is about the mathematics behind a particular framework for which one can cast some specific algorithmic trading problems (namely large order execution). There is no mention how well these algorithms work since, in general, they don’t. As an applied math book for academics this is a very solid book – interesting applications of stochastic control and HJB equations (which are connected to reinforcement learning) – but as a useful book for algorithmic trading this receives one star.
Dior Best (verified owner) –
Can be useful but you have to be an advanced calculus student and have to understand proofs well without practical exercises. As of this writing very little is available on their website and I had bought the book more than 9 months ago the exercises and examples are “still coming”. You need more data than what is provided for sure unless you want a biased result.
On the good side they have a few good ideas. I had no idea what optimal stopping even was before i read this book.
Russell Gregory (verified owner) –
Not very practical. The book is more of an academic art than a useful trading manual as the title indicated. It maybe useful for someone interested in academic research and paper publishing. As a previous reviewer said, the whole book is just putting everything together into a single HJB equation. It would have been better if the book could have more paragraphs devoted to numerical procedures.
Dean King (verified owner) –
This book gives a thorough coverage of modelling methods and algorithm design with the goal of optimal financial trading. The early parts of the book begin with description of market microstructure through a description of markets in practice, some of the classical theory of price discovery (such as the Kyle and Glosten-Milgrom models), and statistical analysis of high-frequency financial data.
The later parts cover mathematical modelling of limit order book dynamics with methods of incorporating several features, and different techniques for formulating optimal trading problems. This material should be understandable by anyone with graduate level mathematics (specific topics in optimal control are introduced over the course of several chapters) and could definitely be used as a reference for a course in asset allocation or algorithmic trading. As such, it would also make an excellent resource for a student with advanced mathematical background that wants an introduction to market microstructure and trading through self-study, either with the intention of continuing with academic research or leading into an industry career where quantitative optimization of trading is an important factor.
The two main strengths in my opinion are the extensive number of exercises (helpful in course design) and the clear explanation of the mathematical analysis in the latter half of the book. The most significant weakness is that I found two of the earlier chapters to be quite poorly written. Understanding some of the ideas and discussion of the topics took several rereads, and the interpretation and discussion of the statistical data analysis were quite dry. The clarity and importance of the later sections of the book make up for this though. Don’t let the first few chapters turn you off before taking a stab at the second half of the book.
Alaya Arellano (verified owner) –
Excellent book with detail explanation of derivations and applied to trading data.
Forrest Hess (verified owner) –
A very practically oriented and mathematically simple narrative. Plenty of examples of exactly solvable dynamic programming problems. Most chapters end with a discussion of practical implications of the calculations.
Brock Rhodes (verified owner) –
Very helpful and practical. Some mathematical maturity required.
Scarlet Benjamin (verified owner) –
Undoubtedly one of the best books out there on this topic. It is on the mathematical end but rooted on data and realistic applications. Those who want to learn about the maths behind trading algorithms must start here.