Álvaro Cartea is a Reader in Financial Mathematics at University College London. Before joining UCL, he was Associate Professor of Finance at Universidad Carlos III, Madrid (2009 2012) and from 2002 to 2009 he was a Lecturer (with tenure) in the School of Economics, Mathematics and Statistics at Birkbeck, University of London. He was previously JP Morgan Lecturer in Financial Mathematics at Exeter College, Oxford.

Klappentext

The first book on the maths of algorithmic trading reflecting cutting-edge research.

Zusammenfassung
This cutting-edge textbook shows how to build the advanced mathematical models that underpin modern trading algorithms. 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 book is for you.

Inhalt

Preface; How to read this book; Part I. Microstructure and Empirical Facts: 1. Electronic markets and the limit order book; 2. A primer on the microstructure of financial markets; 3. Empirical and statistical evidence prices and returns; 4. Empirical and statistical evidence activity and market quality; Part II. Mathematical Tools: 5. Stochastic optimal control and stopping; Part III. Algorithmic and High-Frequency Trading: 6. Optimal execution with continuous trading I; 7. Optimal execution with continuous trading II; 8. Optimal execution with limit and market orders; 9. Targeting volume; 10. Market making; 11. Pairs trading and statistical arbitrage strategies; 12. Order imbalance; Appendix A. Stochastic calculus for finance; Bibliography; Glossary; Subject index.