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- Authors: Álvaro Cartea, Sebastian Jaimungal, José Penalva
This book introduces in detail the core concepts and practical methods related to Algorithmic and High-Frequency Trading. It combines sophisticated mathematical modeling, empirical facts, and financial economics to help readers understand how modern electronic markets work and how to design trading algorithms. The book covers market microstructure, fundamentals of financial markets, empirical statistical evidence of prices and returns, activity and market quality.
In terms of mathematical techniques, the book provides an in-depth exploration of stochastic optimal control and stopping theory. In terms of applications in the financial field, this book introduces in detail a variety of algorithmic trading strategies, including optimal execution in continuous trading, optimal execution of limit and market orders, target volume-weighted average price (VWAP) and other trading plans, market making, pair trading and statistical arbitrage strategies, as well as order imbalances, etc. In addition, the book also contains an appendix on financial stochastic calculus, which provides readers with a solid mathematical foundation. This book is suitable for master's and doctoral students in mathematical finance, as well as professionals who want to gain a deeper understanding of modern electronic markets and algorithmic trading practices.
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