The science of algorithmic trading and portfolio management

The Science of Algorithmic Trading and Portfolio Management by Robert Kissell

Its emphasis on algorithmic trading processes and current trading models sets this book apart from others. As the first author to discuss algorithmic trading across the various asset classes, Robert Kissell provides key insights into ways to develop, test, and build trading algorithms. He summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. He shows readers the underlying details and mathematics required to develop, build, and test customized algorithms, providing them with advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. The accompanying website includes examples, data sets underlying exercises in the book, and large projects. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, as well as acquiring the ability to implement electronic trading systems.
Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers.
Helps readers design systems to manage algorithmic risk and dark pool uncertainty.Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.