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The Science of Algorithmic Trading and Portfolio Management: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques Hardcover – Illustrated, 14 November 2013

4.3 out of 5 stars 8 ratings

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Product details

  • Language ‏ : ‎ English
  • Hardcover ‏ : ‎ 496 pages
  • ISBN-10 ‏ : ‎ 0124016898
  • ISBN-13 ‏ : ‎ 978-0124016897
  • Customer reviews:
    4.3 out of 5 stars 8 ratings

Product description


"Kissell... introduces the mathematical models for constructing, calibrating, and testing market impact models that calculate the change in stock price caused by a large trade or order, and presents an advanced portfolio optimization process that incorporates market impact and transaction costs directly into portfolio optimization."--ProtoView.com, March 2014 "This book provides excellent coverage of the challenges faced by portfolio managers and traders in implementing investment ideas and the advanced modeling techniques to address these challenges."--Kumar Venkataraman, Southern Methodist University

From the Back Cover

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.

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Most helpful customer reviews on Amazon.com

Amazon.com: 5.0 out of 5 stars 3 reviews
5.0 out of 5 stars The book to have for Algo practitioner!
21 August 2019 - Published on Amazon.com
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5.0 out of 5 stars Excellent top-down analysis with enough mathematical detail
18 August 2018 - Published on Amazon.com
4 people found this helpful
5.0 out of 5 stars This is by far the best book on the subject of algorithmic trading
14 March 2018 - Published on Amazon.com
2 people found this helpful