1.
LinkedIn에 올라온 책입니다. 저자중 한 사람인 Sebastian Jaimungal가 쓴 New Book on Algorithmic and High-Frequency Trading이 소개글입니다. 서문과 목차를 읽어보니 그동안 보았던 책과 다른 느낌이었습니다.
Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk)
다른 느낌을 책 제목에서 확인할 수 있습니다. 바로 Mathmatics입니다. 목차를 보면 수학적으로 알고리즘과 고빈도매매를 다루고 있습니다. 책을 소개하는 글중에 들어 있는 아래 문장이 적절한 정리로 보입니다. 물론 책을 읽지 않은 개인의 의견입니다.
The first book on the mathematics of algorithmic trading
Combines market microstructure, data and algorithms in one place
책의 저자들이 어떤 논문을 발표하였는지 잠깐 살펴보았습니다. 2015년에 발표한 논문을 보니까 Álvaro Cartea, Sebastian Jaimungal가 공동저자로 참여한 논문이 몇 있습니다. 주제도 책이 다른 것과 비슷합니다.
Enhancing Trading Strategies with Order Book Signals은 책중 ‘Optimal Execution With Limit and Market Orders(MO)’와 유사해보입니다. 지정가와 시장가주문의 최적화를 다룬 또다른 논문으로 Liquidating Baskets of Co-Moving Assets도 있습니다.
We use high-frequency data from the Nasdaq exchange to build a measure of volume imbalance in the limit order book (LOB). We show that our measure is a good predictor of the sign of the next market order (MO), i.e. buy or sell, and also helps to predict price changes immediately after the arrival of an MO. Based on these empirical findings, we introduce and calibrate a Markov chain modulated pure jump model of price, spread, LO and MO arrivals, and volume imbalance. As an application of the model, we pose and solve a stochastic control problem for an agent who maximizes terminal wealth, subject to inventory penalties, by executing trades using LOs. We use in-sample-data (January to June 2014) to calibrate the model to ten equities traded in the Nasdaq exchange, and use out-of-sample data (July to December 2014) to test the performance of the strategy. We show that introducing our volume imbalance measure into the optimization problem considerably boosts the profits of the strategy. Profits increase because employing our imbalance measure reduces adverse selection costs and positions LOs in the book to take advantage of favorable price movements.
2.
Algorithmic and High-Frequency Trading을 방문하시면 책과 관련한 자료를 받을 수 있습니다. 특히 한 점은 in-house training와 expert consulting advice을 하더군요. 책을 이용한 수익모델이네요. 아래는 저자들이 올린 책 소개입니다.
The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.
The first book on the mathematics of algorithmic trading
Combines market microstructure, data and algorithms in one place
Ideal for a one-semester course at graduate level
아마존에서 구입하려면 아래입니다.
Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk)
