The Science of Algorithmic Trading and Portfolio Management
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Cited by:
- Artur Sokolovsky & Luca Arnaboldi, 2020. "A Generic Methodology for the Statistically Uniform & Comparable Evaluation of Automated Trading Platform Components," Papers 2009.09993, arXiv.org, revised Jun 2022.
- Ling Jia & Queena K. Qian & Frits Meijer & Henk Visscher, 2020. "Stakeholders’ Risk Perception: A Perspective for Proactive Risk Management in Residential Building Energy Retrofits in China," Sustainability, MDPI, vol. 12(7), pages 1-25, April.
- Eduard Hartwich & Alexander Rieger & Johannes Sedlmeir & Dominik Jurek & Gilbert Fridgen, 2023. "Machine economies," Electronic Markets, Springer;IIM University of St. Gallen, vol. 33(1), pages 1-13, December.
- Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
- Saerom Park & Jaewook Lee & Youngdoo Son, 2016. "Predicting Market Impact Costs Using Nonparametric Machine Learning Models," PLOS ONE, Public Library of Science, vol. 11(2), pages 1-13, February.
- Thiago W. Alves & Ionut Florescu & George Calhoun & Dragos Bozdog, 2020. "SHIFT: A Highly Realistic Financial Market Simulation Platform," Papers 2002.11158, arXiv.org, revised Aug 2020.
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Keywords
AIM; ARCH; Accuracy; Adaptation tactic; Adaptation tactics; Advanced trading algorithms; Aggressive; Aggressive in the money; Algorithms; Almgren & Alpha; Alternative Trading Systems (ATS); And of course; Andre Perold; Arrival price; Asset allocation; Auto Market Making (AMM); Back-testing; Basket algorithms; Best execution; Beta exposure; Black box models; Bollerslev; Buy order; Calibrating model parameters; Chriss; Commissions; Correlation; Cost Index; Cost curves; Covariance; Cross-sectional models; Crossing networks; Dark pools; Day of Week Effect; Day of week effect; Decay function; Deciphering black box models; Delay cost; Designated Market Maker (DMM); Direct Market Access (DMM); ETF; Efficient Trading Frontier; Efficient frontier; Efficient trading frontier; Eigenvalue-eigenvector decomposition; Electronic Communication Networks (ECNs); Engel; Equity exchanges; Evaluating algorithms; Exchange traded funds; Execution cost; Execution models; Expanded implementation shortfall; Exponential weighted moving average (EWMA); Factor models; Fixed income; Flash Crash; Forecasting; Forecasting daily volumes; Forecasting monthly volumes; Fundamental models; GARCH; Grey pools; High Frequency Trading (HFT); I-Star Model; I-Star Trading Cost Model; Implementation shortfall; Index and ETF Arbitrage; Indifference curves; Information leakage; Intraday profiles; Investment objectives; Investment strategies; Kissell & Limit order models; Linear regression; Liquidity; Liquidity risk; MI Factors; Malamut; Market Neutral Arbitrage; Market expectations; Market exposure; Market impact; Market impact cost; Market impact models; Market impact parameters; Market microstructure; Maximizing portfolio returns; Merger (Risk) Arbitrage; Micro algorithmic decisions; Multi-asset market impact; New York Stock Exchange (NYSE); Non-linear regression; Opportunity cost; Optimal portfolios; Optimal trading strategies; Optimal trading strategies Heisenberg uncertainty principle of trading; Optimization; PIM; Parameter estimation error; Passive; Passive in the money; Portfolio algorithms; Portfolio construction; Portfolio optimization; Portfolio risk; Pre-trade; Pre-trade of pre-trades; Price appreciation; Price benchmark; Principal component analysis; Real-time decision making; Real-time trading costs; Returns; Risk; Risk exposure; Risk models; Sectors; Sell orders; Short term risk models; Short-term risk model; Single stock trading; Singular value decomposition; Slippage; Smart order routers; Spreads; Statistical Arbitrage (Stat Arb); Statistical analysis; Statistical performance testing; Supplemental Liquidity Provider (SLP); Time series; Tiquidity trading; Trade schedules; Trade strategies; Trade trajectories; Trader's dilemma; Trading costs; Trading futures; Transact costs; Transaction Cost Analysis (TCA); Transaction Costs (TCA); Triangular Arbitrage; Unifying the investment and trading decisions; Volatility; Volume Weighted Average Price (VWAP); Volumes; Wayne Wagner;All these keywords.
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