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

Robert Kissell

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

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商品描述

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

商品描述(中文翻譯)

《演算法交易與投資組合管理的科學，第二版》專注於交易策略和方法，包括金融市場演化的新見解、交易前模型和交易後分析、監管報告所需的清算成本和風險分析，以及合規和監管報告要求。本書突出了新的投資風格，並新增了關於投資者和經紀人最佳執行流程的內容，包括模型驗證、品質和保證、限價單模型測試以及智能單模型測試。利用基本的程式編程工具，如Excel、MATLAB和Python，本書提供了創建低成本交易所交易基金的過程。

本書提供了演算法交易的所有必要組件的見解，包括交易成本分析、市場影響、風險和優化，以及對交易演算法的詳細討論。增加了數學、統計和機器學習的涵蓋範圍。廣泛介紹了Alpha模型的構建。

作者簡介

Robert Kissell, PhD, is President of Kissell Research Group, a global financial and economic consulting firm specializing in quantitative modeling, statistical analysis, and algorithmic trading. He is also a professor at Molloy College in the School of Business and an adjunct professor at the Gabelli School of Business at Fordham University. He has held several senior leadership positions with prominent bulge bracket investment banks, including UBS Securities where he was Executive Director of Execution Strategies and Portfolio Analysis, and JP Morgan where he was Executive Director and Head of Quantitative Trading Strategies. He was previously at Citigroup/Smith Barney where he was Vice President of Quantitative Research, and at Instinet where he was Director of Trading Research. He began his career as an economic consultant at R.J. Rudden Associates specializing in energy, pricing, risk, and optimization. Dr. Kissell has written several books and published dozens of journal articles on algorithmic trading, risk, and finance. He is a coauthor of the CFA Level III reading titled “Trade Strategy and Execution,” CFA Institute 2019.

作者簡介(中文翻譯)

Robert Kissell博士是Kissell Research Group的總裁，該公司是一家專門從事量化建模、統計分析和算法交易的全球金融和經濟諮詢公司。他還是莫洛伊學院商學院的教授，以及福特漢姆大學Gabelli商學院的兼職教授。他曾在多家知名的大型投資銀行擔任高級領導職位，包括瑞銀證券(UBS Securities)，他在那裡擔任執行策略和投資組合分析的執行董事，以及JP摩根(JP Morgan)，他在那裡擔任量化交易策略的執行董事和負責人。他曾在花旗集團/史密斯巴尼(Citigroup/Smith Barney)擔任量化研究副總裁，以及在Instinet擔任交易研究主管。他的職業生涯始於R.J. Rudden Associates，擔任經濟顧問，專門從事能源、定價、風險和優化方面的工作。Kissell博士撰寫了幾本書，並發表了數十篇有關算法交易、風險和金融的期刊文章。他是CFA Level III閱讀材料《交易策略與執行》(CFA Institute 2019)的合著者。

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