LEADER 05643nam 2200697 a 450 001 9910821254903321 005 20240516003400.0 010 $a1-281-11902-4 010 $a9786611119027 010 $a0-08-054886-5 035 $a(CKB)1000000000364068 035 $a(EBL)305560 035 $a(OCoLC)469629750 035 $a(SSID)ssj0000145164 035 $a(PQKBManifestationID)11147598 035 $a(PQKBTitleCode)TC0000145164 035 $a(PQKBWorkID)10167996 035 $a(PQKB)11183315 035 $a(MiAaPQ)EBC305560 035 $a(Au-PeEL)EBL305560 035 $a(CaPaEBR)ebr10233301 035 $a(CaONFJC)MIL111902 035 $a(EXLCZ)991000000000364068 100 $a20070402d2007 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aElectronic and algorithmic trading technology $ethe complete guide /$fKendall Kim 205 $a1st ed. 210 $aAmsterdam ;$aBoston $cAcademic Press, an imprint of Elsevier$dc2007 215 $a1 online resource (224 p.) 225 1 $aComplete technology guides for financial services series 300 $aDescription based upon print version of record. 311 $a0-12-372491-0 320 $aIncludes bibliographical references and index. 327 $aFront Cover; Electronic and Algorithmic Trading Technology; Copyright Page; Contents; About the Author; Series Preface; Introduction; Chapter 1: Overview of Electronic and Algorithmic Trading; 1.1. Overview; 1.2. The Emergence of Electronic Trading Networks; 1.3. The Participants; 1.4. The Impact of Decimalization; 1.5. The Different Faces of Electronic Trading; 1.6. Program Trading and the Stock Market Crash of 1987; 1.7. Conclusion; Chapter 2: Automating Trade and Order Flow; 2.1. Introduction; 2.2. Internal Controls; 2.3. Trade Cycle; 2.4. Straight-Through Processing and Trade Automation 327 $a2.5. Data Management2.6. Order Management Systems; 2.7. Order Routing; 2.8. Liquidity Shift; 2.9. Conclusion; Chapter 3: The Growth of Program and Algorithmic Trading; 3.1. Introduction; 3.2. A Sample Program Trade; 3.3. The Downside of Program Trading; 3.4. Market Growth and IT Spending; 3.5. Conclusion; Chapter 4: Alternative Execution Venues; 4.1. Introduction; 4.2. Structure of Exchanges; 4.3. Rule 390; 4.4. Exchanges Scramble to Consolidate; 4.5. Arguments Against Exchanges; 4.6. The Exchanges in the News; 4.7. Conclusion; Chapter 5: Algorithmic Strategies; 5.1. Introduction 327 $a5.2. Algorithmic Penetration5.3. Implementation Shortfall Measurement; 5.4. Volume-Weighted Average Price; 5.5. VWAP Definitions; 5.6. Time-Weighted Average Price; 5.7. Conclusion; Chapter 6: Algorithmic Feasibility and Limitations; 6.1. Introduction; 6.2. Trade Structure; 6.3. Algorithmic Feasibility; 6.4. Algorithmic Trading Checklist; 6.5. High Opportunity Costs; 6.6. Newsflow Algorithms; 6.7. Black Box Trading for Fixed-Income Instruments; 6.8. Conclusion; Chapter 7: Electronic Trading Networks; 7.1. Introduction; 7.2. Direct Market Access; 7.3. Electronic Communication Networks 327 $a7.4. Shifting Trends7.5. Conclusion; Chapter 8: Effective Data Management; 8.1. Introduction; 8.2. Real-Time Data; 8.3. Strategy Enablers; 8.4. Order Routing; 8.5. Impact on Operations and Technology; 8.6. Conclusion; Chapter 9: Minimizing Execution Costs; 9.1. Introduction; 9.2. Components of Trading Costs; 9.3. Price Impacts with Liquidity; 9.4. Cost of Waiting; 9.5. Explicit Costs-Commissions, Fees, and Taxes; 9.6. Conclusion; Chapter 10: Transaction Cost Research; 10.1. Introduction; 10.2. Post-Trade TCR; 10.3. Pre-Trade TCR; 10.4. The Future of Transaction Cost Research; 10.5. Conclusion 327 $aChapter 11: Electronic and Algorithmic Trading for Different Asset Classes11.1. Introduction; 11.2. Development of Electronic Trading; 11.3. Electronic Trading Platforms; 11.4. Types of Systems; 11.5. TRACE-Reform in Transparency; 11.6. Foreign Exchange Markets; 11.7. The FX Market Ecosystem; 11.8. Conclusion; Chapter 12: Regulation NMS and Other Regulatory Reporting; 12.1. Introduction; 12.2. Regulatory Challenges; 12.3. The National Market System; 12.4. The Impact of Regulatory NMS; 12.5. Markets in Financial Instruments Directive in Europe; 12.6. Regulatory and Exchange Reporting 327 $a12.7. Example of an Exchange Data Processing System 330 $aElectronic and algorithmic trading has become part of a mainstream response to buy-side traders' need to move large blocks of shares with minimum market impact in today's complex institutional trading environment. This book illustrates an overview of key providers in the marketplace. With electronic trading platforms becoming increasingly sophisticated, more cost effective measures handling larger order flow is becoming a reality. The higher reliance on electronic trading has had profound implications for vendors and users of information and trading products. Broker dealers providing solut 410 0$aComplete technology guides for financial services. 606 $aStocks$xPrices$xMathematical models 606 $aProgram trading (Securities) 606 $aStock exchanges 615 0$aStocks$xPrices$xMathematical models. 615 0$aProgram trading (Securities) 615 0$aStock exchanges. 676 $a332.64 676 $a332.64 700 $aKim$b Kendall$01624391 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910821254903321 996 $aElectronic and algorithmic trading technology$93959337 997 $aUNINA