Handbook of Price Impact Modeling

Webster, Kevin T.

Handbook of Price Impact Modeling
  • 出版商: CRC
  • 出版日期: 2023-05-05
  • 售價: $3,530
  • 貴賓價: 9.5 折 $3,354
  • 語言: 英文
  • 頁數: 416
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 1032328223
  • ISBN-13: 9781032328225

    • 海外代購書籍(需單獨結帳)

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商品描述

Handbook of Price Impact Modeling provides practitioners and students with a mathematical framework grounded in academic references to apply price impact models to quantitative trading and portfolio management. Automated trading is now the dominant form of trading across all frequencies. Furthermore, trading algorithm rise introduces new questions professionals must answer, for instance:

  • How do stock prices react to a trading strategy?

  • How to scale a portfolio considering its trading costs and liquidity risk?

  • How to measure and improve trading algorithms while avoiding biases?

Price impact models answer these novel questions at the forefront of quantitative finance. Hence, practitioners and students can use this Handbook as a comprehensive, modern view of systematic trading.

For financial institutions, the Handbook's framework aims to minimize the firm's price impact, measure market liquidity risk, and provide a unified, succinct view of the firm's trading activity to the C-suite via analytics and tactical research.

The Handbook's focus on applications and everyday skillsets makes it an ideal textbook for a master's in finance class and students joining quantitative trading desks. Using price impact models, the reader learns how to:

  • Build a market simulator to back test trading algorithms

  • Implement closed-form strategies that optimize trading signals

  • Measure liquidity risk and stress test portfolios for fire sales

  • Analyze algorithm performance controlling for common trading biases

  • Estimate price impact models using public trading tape

Finally, the reader finds a primer on the database kdb+ and its programming language q, which are standard tools for analyzing high-frequency trading data at banks and hedge funds.

Authored by a finance professional, this book is a valuable resource for quantitative researchers and traders.

商品描述(中文翻譯)

《價格影響模型手冊》為實務工作者和學生提供了一個以學術參考為基礎的數學框架，以應用價格影響模型於量化交易和投資組合管理。自動化交易如今已成為所有頻率下的主流交易形式。此外，交易算法的興起引入了專業人士必須回答的新問題，例如：

- 股票價格如何對交易策略做出反應？
- 如何考量交易成本和流動性風險來擴大投資組合？
- 如何在避免偏見的情況下衡量和改善交易算法？

價格影響模型回答了這些在量化金融前沿的新問題。因此，實務工作者和學生可以將本手冊視為系統性交易的全面現代觀點。

對於金融機構而言，本手冊的框架旨在最小化公司的價格影響，衡量市場流動性風險，並通過分析和戰術研究向高層管理人員提供公司交易活動的統一簡明視圖。

本手冊專注於應用和日常技能，使其成為金融碩士課程和加入量化交易部門學生的理想教科書。透過使用價格影響模型，讀者將學習如何：

- 建立市場模擬器以回測交易算法
- 實施優化交易信號的封閉式策略
- 衡量流動性風險並對投資組合進行火災銷售的壓力測試
- 分析算法表現並控制常見交易偏見
- 使用公共交易數據估算價格影響模型

最後，讀者將找到關於數據庫 kdb+ 及其編程語言 q 的入門介紹，這些是銀行和對沖基金分析高頻交易數據的標準工具。

本書由一位金融專業人士撰寫，是量化研究人員和交易者的寶貴資源。

作者簡介

Dr. Kevin Webster graduated with a PhD from Princeton University Operations Research and Financial Engineering Department (ORFE). At ORFE, he studied mathematical models applied to high-frequency trading, emphasizing price impact, and market-making models. He previously worked at Deutsche Bank and Citadel and is currently a Visiting Assistant Professor (Visiting Reader) in the Department of Mathematics at Imperial College London.

Dr. Webster created and taught the course, ORF 474 High-Frequency Markets: Models and Data Analysis, as a Visiting Lecturer at Princeton in 2015. His publications include, The Self-Financing Equation in High Frequency Markets, Information and Inventories in High Frequency Trading, A Portfolio Manager's Guidebook to Trade Execution, and High Frequency Market Making.

作者簡介(中文翻譯)

Dr. Kevin Webster 於普林斯頓大學運籌學與金融工程系（ORFE）獲得博士學位。在 ORFE，他研究了應用於高頻交易的數學模型，重點關注價格影響和市場造市模型。他曾在德意志銀行和Citadel工作，目前是倫敦帝國學院數學系的訪問助理教授（訪問講師）。

Webster 博士於2015年在普林斯頓擔任訪問講師時創建並教授了課程 ORF 474 高頻市場：模型與數據分析。他的出版物包括《高頻市場中的自我融資方程》、《高頻交易中的信息與庫存》、《投資組合經理的交易執行指南》和《高頻市場造市》。

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