 Guo, Xin, 1969 author.
 Boca Raton, FL : CRC Press, [2017]
 Description
 Book — xix, 357 pages ; 24 cm
 Summary

 Introduction
 Evolution of trading infrastructure
 Quantitative strategies and timescales
 Statistical arbitrage and debates about EMH
 Quantitative funds, mutual funds, hedge funds
 Data, analytics, models, optimization, algorithms
 Interdisciplinary nature of the subject and how the book can be used
 Supplements and problems
 Statistical Models and Methods for Quantitative Trading
 Stylized facts on stock price data
 Time series of lowfrequency returns
 Discrete price changes in highfrequency data
 Brownian motion at the Paris Exchange and random walk down Wall Street
 MPT as a \walking shoe" down Wall Street
 Statistical underpinnings of MPT
 Multifactor pricing models
 Bayes, shrinkage, and BlackLitterman estimators
 Bootstrapping and the resampled frontier
 A new approach incorporating parameter uncertainty
 Solution of the optimization problem
 Computation of the optimal weight vector
 Bootstrap estimate of performance and NPEB
 From random walks to martingales that match stylized facts
 From Gaussian to Paretian random walks
 Random walks with optional sampling times
 From random walks to ARIMA, GARCH
 NeoMPT involving martingale regression models
 Incorporating time series e_ects in NPEB
 Optimizing information ratios along e_cient frontier
 An empirical study of neoMPT
 Statistical arbitrage and strategies beyond EMH
 Technical rules and the statistical background
 Time series, momentum, and pairs trading strategies
 Contrarian strategies, behavioral _nance, and investors' cognitive biases
 From value investing to global macro strategies
 Insample and outofsample evaluation
 Supplements and problems
 Active Portfolio Management and Investment Strategies
 Active alpha and beta in portfolio management
 Sources of alpha
 Exotic beta beyond active alpha
 A new approach to active portfolio optimization
 Transaction costs, and longshort constraints
 Components of cost of transaction
 Longshort and other portfolio constraints
 Multiperiod portfolio management
 The SamuelsonMerton theory
 Incorporating transaction costs into Merton's problem
 Multiperiod capital growth and volatility pumping
 Multiperiod meanvariance portfolio rebalancing
 Dynamic meanvariance portfolio optimization
 Dynamic portfolio selection
 Supplementary notes and comments
 Exercises
 Econometrics of Transactions in Electronic Platforms
 Transactions and transactions data
 Models for highfrequency data
 Roll's model of bidask bounce
 Market microstructure model with additive noise
 Estimation of integrated variance of Xt
 Sparse sampling methods
 Averaging method over subsamples
 Method of two timescales
 Method of kernel smoothing: Realized kernels
 Method of preaveraging
 From MLE of volatility parameter to QMLE of [X]T
 Estimation of covariation of multiple assets
 Asynchronicity and the Epps effect
 Synchronization procedures
 QMLE for covariance and correlation estimation
 Multivariate realized kernels and twoscale estimators
 Fourier methods
 Fourier estimator of [X]T and spot volatility
 Statistical properties of Fourier estimators
 Fourier estimators of spot covolatilities
 Other econometric models involving TAQ
 ACD models of intertransaction durations
 Selfexciting point process models
 Decomposition of Di and generalized linear models
 Joint modeling of point process and its marks
 McCulloch and Tsay's decomposition
 Realized GARCH and other predictive models
 Jumps in e_cient price process and power variation
 Supplementary notes and comments
 Exercises
 Limit Order Book: Data Analytics and Dynamic Models
 From market data to limit order book (LOB)
 Stylized facts of LOB data
 Book price adjustment
 Volume imbalance and other indicators
 Fitting a multivariate point process to LOB data
 Marketable orders as a multivariate point process
 Empirical illustration
 LOB data analytics via machine learning
 Queueing models of LOB dynamics
 Diffusion limits of the level1 reducedform model
 Fluid limit of order positions
 LOBbased queuereactive model
 Supplements and problems
 Optimal Execution and Placement
 Optimal execution with a single asset
 Dynamic programming solution of problem (6.2)
 Continuoustime models and calculus of variations
 Myth{the optimal deterministic strategies
 Multiplicative price impact model
 The model and stochastic control problem
 HJB equation for _nitehorizon case
 In_nitehorizon case T = 1
 Price manipulation and transient price impact
 Optimal execution with LOB
 Cost minimization
 Optimal strategy for Model 1
 Optimal strategy for Model 2
 Closedform solution for blockshaped LOBs
 Optimal execution with portfolios
 Optimal placement
 Markov random walk model with mean reversion
 Continuoustime Markov chain model
 Supplements and problems
 Market Making and Smart Order Routing
 Ho and Stoll's model and the AvellanedoStoikov policy
 Solution to the HJB equation and subsequent extensions
 Impulse control involving limit and market orders
 Impulse control for the market
 Control formulation
 Smart order routing and dark pools
 Optimal order splitting among exchanges in SOR
 The cost function and optimization problem
 Optimal order placement across K exchanges
 A stochastic approximation method
 Censored explorationexploitation for dark pools
 The SOR problem and a greedy algorithm
 Modi_ed KaplanMeier estimate ^ Ti
 Exploration, exploitation, and optimal allocation
 Stochastic Lagrangian optimization in dark pools
 Lagrangian approach via stochastic approximation
 Convergence of Lagrangian recursion to optimizer
 Supplementary notes and comments
 Exercises
 Informatics, Regulation and Risk Management
 Some quantitative strategies
 Exchange infrastructure
 Order gateway
 Matching engine
 Market data dissemination
 Order fee structure
 Colocation service
 Clearing and settlement
 Strategy informatics and infrastructure
 Market data handling
 Alpha engine
 Order management
 Order type and order qualifier
 Exchange rules and regulations
 SIP and Reg NMS
 Regulation SHO
 Other exchangespecific rules
 Circuit breaker
 Market manipulation
 Risk management
 Operational risk
 Strategy risk
 Supplementary notes and comments
 Exercises
 A Martingale Theory
 Discretetime martingales
 Continuoustime martingales
 Markov Chain and Related Topics
 Generator Q of CTMC
 Potential theory for Markov chains
 Markov decision theory
 Doubly Stochastic SelfExciting Point Processes
 Martingale theory, intensity process, selfexcitation
 Hawkes process: Compensator and stationarity
 Estimation in point process models
 Asymptotic theory and likelihood inference
 Simulation of doubly stochastic SEPP
 Weak Convergence and Limit Theorems
 Donsker's theorem and its extensions
 Queuing system and limit theorems
 .
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
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Science Library (Li and Ma)
Science Library (Li and Ma)  Status 

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HG4515.2 .G87 2017  Unknown 