Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk
| Author | : | |
| Rating | : | 4.21 (599 Votes) |
| Asin | : | 0814407242 |
| Format Type | : | paperback |
| Number of Pages | : | 350 Pages |
| Publish Date | : | 2014-01-03 |
| Language | : | English |
DESCRIPTION:
He is the author of Scientific Financial Management (0-8144-0500-2). Morton Glantz (Dix Hills, NY) is the founder of Mort Glantz Associates, a consulting firm specializing in credit, strategic planning, and risk management. Robert Kissell (Atlanta, GA) is director of trading research at a major provider of technology-based trading solutions.
“…brilliantly fills a significant gap in the literature and its applications in real-life trading…provides an accessible introduction to the science of trading…a thorough quantitative handling for those looking for the highest level of detail.— seekingalpha
"The decisions that investment professionals and fund managers make have a direct impact on investor return. This valuable reference answers crucial questions such as: * How do I compare strategies? * Should I trade aggressively or passively? * How do I estimate trading costs, "slice" an order, and measure performance? and dozens more. Unfortunately, the best implementation methodologies are not widely disseminated throughout the professional community, compromising the best interests of funds, their managers, and ultimately the individual investor. But now there is a strategy that lets professionals make better decisions. Optimal Trading Strategies is the first book to give professionals the methodology and framework they need to make educated implementation decisions based on the objectives and goals of the funds they manage and the clients they serve."
The only book on this topic Old-and-Wise If you are interested in modeling things like price impact and total transaction cost of executing a large order, this book is the ONLY one you can find. This is not surprising given the narrow focus of this field. The book offers a systematic look at the different components of transaction cost and some pseudo-quantitative techniques -- I say "pseudo" beca. The Trader's Dilema Optimal Trading Strategies provides a complete set of power mathematical tools for professional investors. At the core of this toolbox is a simple optimization formula: min ç(x) s.t. R(x). "One of a kind must-read! Fills major gap in the literature!" according to Pete. This book deals with an all-to-often forgotten component of investment science: "the science of trading".The authors brilliantly fill a major gap in the literature and its real-world applications. This book provides both an accessible introduction to the science of trading, and a rigorous quantitative treatment.So far, most of the investment science literat