Algorithmic Trading Methods

Robert Kissell  ·  2020

Reference. Kissell, R. (2020). Algorithmic Trading Methods: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques (2nd ed.). Academic Press. ISBN 978-0-12-815630-8.

• Claim: Trading costs and market impact can be measured and modelled, and execution algorithms chosen to minimise them.
• Method: Transaction-cost analysis and market-impact models, estimated with statistics, optimisation and machine learning.
• Matters: The step between a signal and a real trade: the turnover and cost modelling in the quantum rebalancing and BTC–SPY experiments.
• Connects to: Cartea–Jaimungal–Penalva · Capstone Simulator
• Code: —