Algorithmic Trading and Portfolio Management: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques
暫譯: 算法交易與投資組合管理：應用進階統計、優化及機器學習技術

Robert Kissell

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

買這商品的人也買了...

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)

《算法交易與投資組合管理科學（第二版）》專注於交易策略和方法，包括對金融市場演變的新見解、交易前模型和交易後分析、清算成本及風險分析（這些是合規報告所需的），以及合規和監管報告要求。該書突顯了新的投資風格，並新增了有關投資者和經紀人的最佳執行流程的內容，包括模型驗證、質量和保證、限價單模型測試以及智能訂單模型測試。利用基本的程式設計工具，如 Excel、MATLAB 和 Python，本書提供了一個創建低成本交易所交易基金（TCA）的過程。

- 提供有關算法交易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，以及對交易算法的全面詳細討論
- 包含數學、統計和機器學習的增強覆蓋
- 提供對 Alpha 模型構建的廣泛覆蓋

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)

羅伯特·基塞爾（Robert Kissell），博士，是基塞爾研究集團（Kissell Research Group）的總裁，這是一家專注於量化建模、統計分析和算法交易的全球金融與經濟諮詢公司。他同時也是莫洛伊學院（Molloy College）商學院的教授，以及福坦莫大學（Fordham University）加貝利商學院的兼任教授。他曾在多家知名的投資銀行擔任高級領導職位，包括瑞銀證券（UBS Securities），擔任執行策略與投資組合分析的執行董事，以及摩根大通（JP Morgan），擔任執行董事和量化交易策略負責人。他之前在花旗集團/史密斯巴尼（Citigroup/Smith Barney）擔任量化研究副總裁，並在Instinet擔任交易研究總監。他的職業生涯始於R.J. Rudden Associates，專注於能源、定價、風險和優化的經濟顧問。基塞爾博士已撰寫多本書籍並發表數十篇有關算法交易、風險和金融的期刊文章。他是CFA三級讀物《交易策略與執行》（Trade Strategy and Execution）的共同作者，該書由CFA協會於2019年出版。

類似商品

最後瀏覽商品 (2)