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Big data science in finance / / by Irene Aldridge, Marco Avellaneda
| Big data science in finance / / by Irene Aldridge, Marco Avellaneda |
| Autore | Aldridge Irene <1975-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , [2021] |
| Descrizione fisica | 1 online resource (339 pages) |
| Disciplina | 005.7 |
| Soggetto topico |
Big data
Finance - Decision making - Data processing |
| ISBN |
1-119-60299-8
1-119-60297-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Why big data? -- Neural networks in finance -- Supervised models -- Semi-supervised learning -- Letting the data speak with unsupervised learning -- Big data factor models -- Data as a signal versus noise -- Applications : big data in options pricing and stochastic modeling -- Data clustering. |
| Record Nr. | UNINA-9910798929203321 |
Aldridge Irene <1975->
|
||
| Hoboken, New Jersey : , : Wiley, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Big data science in finance / / by Irene Aldridge, Marco Avellaneda
| Big data science in finance / / by Irene Aldridge, Marco Avellaneda |
| Autore | Aldridge Irene <1975-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , [2021] |
| Descrizione fisica | 1 online resource (339 pages) |
| Disciplina | 005.7 |
| Soggetto topico |
Big data
Finance - Decision making - Data processing |
| ISBN |
1-119-60299-8
1-119-60297-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Why big data? -- Neural networks in finance -- Supervised models -- Semi-supervised learning -- Letting the data speak with unsupervised learning -- Big data factor models -- Data as a signal versus noise -- Applications : big data in options pricing and stochastic modeling -- Data clustering. |
| Record Nr. | UNINA-9910816064703321 |
|
Aldridge Irene <1975->
|
||
| Hoboken, New Jersey : , : Wiley, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
High-frequency trading [[electronic resource] ] : a practical guide to algorithmic strategies and trading systems / / Irene Aldridge
| High-frequency trading [[electronic resource] ] : a practical guide to algorithmic strategies and trading systems / / Irene Aldridge |
| Autore | Aldridge Irene <1975-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2013 |
| Descrizione fisica | 1 online resource (322 p.) |
| Disciplina | 332.64 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Portfolio management Securities Electronic trading of securities Anàlisi financera Gestió de cartera Valors |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-41682-1
1-119-20380-5 1-299-46496-3 1-118-42011-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Acknowledgments -- How modern markets differ from those past -- Technological innovations, systems, and hft -- Market microstructure, orders, and limit order books -- High-frequency data -- End of chapter questions -- About the author -- About the website -- Index. |
| Record Nr. | UNINA-9910139014203321 |
|
Aldridge Irene <1975->
|
||
| Hoboken, N.J., : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
High-frequency trading [[electronic resource] ] : a practical guide to algorithmic strategies and trading system / / Irene Aldridge
| High-frequency trading [[electronic resource] ] : a practical guide to algorithmic strategies and trading system / / Irene Aldridge |
| Autore | Aldridge Irene <1975-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina |
332.6
332.64 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Portfolio management Securities Electronic trading of securities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-470-57977-3
1-283-10094-0 1-282-47175-9 9786612471759 9786613100948 1-118-00631-3 0-470-57976-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems; Contents; Acknowledgments; Chapter 1: Introduction; Chapter 2: Evolution of High-Frequency Trading; FINANCIAL MARKETS AND TECHNOLOGICAL INNOVATION; EVOLUTION OF TRADING METHODOLOGY; Chapter 3: Overview of the Business of High-Frequency Trading; COMPARISON WITH TRADITIONAL APPROACHES TO TRADING; MARKET PARTICIPANTS; OPERATING MODEL; ECONOMICS; CAPITALIZING A HIGH-FREQUENCY TRADING BUSINESS; CONCLUSION; Chapter 4: Financial Markets Suitable for High-Frequency Trading
FINANCIAL MARKETS AND THEIR SUITABILITY FOR HIGH-FREQUENCY TRADING CONCLUSION; Chapter 5: Evaluating Performance of High-Frequency Strategies; BASIC RETURN CHARACTERISTICS; COMPARATIVE RATIOS; PERFORMANCE ATTRIBUTION; OTHER CONSIDERATIONS IN STRATEGY EVALUATION; CONCLUSION; Chapter 6: Orders, Traders, and Their Applicability to High-Frequency Trading; ORDER TYPES; ORDER DISTRIBUTIONS; CONCLUSION; Chapter 7: Market Inefficiency and Profit Opportunities at Different Frequencies; PREDICTABILITY OF PRICE MOVES AT HIGH FREQUENCIES; CONCLUSION Chapter 8: Searching for High-Frequency Trading Opportunities STATISTICAL PROPERTIES OF RETURNS; LINEAR ECONOMETRIC MODELS; VOLATILITY MODELING; NONLINEAR MODELS; CONCLUSION; Chapter 9: Working with Tick Data; PROPERTIES OF TICK DATA; QUANTITY AND QUALITY OF TICK DATA; BID-ASK SPREADS; BID-ASK BOUNCE; MODELING ARRIVALS OF TICK DATA; APPLYING TRADITIONAL ECONOMETRIC TECHNIQUES TO TICK DATA; CONCLUSION; Chapter 10: Trading on Market Microstructure; OVERVIEW OF INVENTORY TRADING STRATEGIES; ORDERS, TRADERS, AND LIQUIDITY; PROFITABLE MARKET MAKING; DIRECTIONAL LIQUIDITY PROVISION; CONCLUSION Chapter 11: Trading on Market MicrostructureMEASURES OF ASYMMETRIC INFORMATION; INFORMATION-BASED TRADING MODELS; CONCLUSION; Chapter 12: Event Arbitrage; DEVELOPING EVENT ARBITRAGE TRADING STRATEGIES; WHAT CONSTITUTES AN EVENT?; FORECASTING METHODOLOGIES; TRADABLE NEWS; APPLICATION OF EVENT ARBITRAGE; CONCLUSION; Chapter 13: Statistical Arbitrage in High-Frequency Settings; MATHEMATICAL FOUNDATIONS; PRACTICAL APPLICATIONS OF STATISTICAL ARBITRAGE; CONCLUSION; Chapter 14: Creating and Managing Portfolios of High-Frequency Strategies; ANALYTICAL FOUNDATIONS OF PORTFOLIO OPTIMIZATION EFFECTIVE PORTFOLIO MANAGEMENT PRACTICES CONCLUSION; Chapter 15: Back-Testing Trading Models; EVALUATING POINT FORECASTS; EVALUATING DIRECTIONAL FORECASTS; CONCLUSION; Chapter 16: Implementing High-Frequency Trading Systems; MODEL DEVELOPMENT LIFE CYCLE; SYSTEM IMPLEMENTATION; TESTING TRADING SYSTEMS; CONCLUSION; Chapter 17: Risk Management; DETERMINING RISK MANAGEMENT GOALS; MEASURING RISK; MANAGING RISK; CONCLUSION; Chapter 18: Executing and Monitoring High-Frequency Trading; EXECUTING HIGH-FREQUENCY TRADING SYSTEMS; MONITORING HIGH-FREQUENCY EXECUTION; CONCLUSION Chapter 19: Post-Trade Profitability Analysis |
| Record Nr. | UNINA-9910457001703321 |
|
Aldridge Irene <1975->
|
||
| Hoboken, N.J., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
High-frequency trading [[electronic resource] ] : a practical guide to algorithmic strategies and trading system / / Irene Aldridge
| High-frequency trading [[electronic resource] ] : a practical guide to algorithmic strategies and trading system / / Irene Aldridge |
| Autore | Aldridge Irene <1975-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina |
332.6
332.64 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Portfolio management Securities Electronic trading of securities |
| ISBN |
0-470-57977-3
1-283-10094-0 1-282-47175-9 9786612471759 9786613100948 1-118-00631-3 0-470-57976-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems; Contents; Acknowledgments; Chapter 1: Introduction; Chapter 2: Evolution of High-Frequency Trading; FINANCIAL MARKETS AND TECHNOLOGICAL INNOVATION; EVOLUTION OF TRADING METHODOLOGY; Chapter 3: Overview of the Business of High-Frequency Trading; COMPARISON WITH TRADITIONAL APPROACHES TO TRADING; MARKET PARTICIPANTS; OPERATING MODEL; ECONOMICS; CAPITALIZING A HIGH-FREQUENCY TRADING BUSINESS; CONCLUSION; Chapter 4: Financial Markets Suitable for High-Frequency Trading
FINANCIAL MARKETS AND THEIR SUITABILITY FOR HIGH-FREQUENCY TRADING CONCLUSION; Chapter 5: Evaluating Performance of High-Frequency Strategies; BASIC RETURN CHARACTERISTICS; COMPARATIVE RATIOS; PERFORMANCE ATTRIBUTION; OTHER CONSIDERATIONS IN STRATEGY EVALUATION; CONCLUSION; Chapter 6: Orders, Traders, and Their Applicability to High-Frequency Trading; ORDER TYPES; ORDER DISTRIBUTIONS; CONCLUSION; Chapter 7: Market Inefficiency and Profit Opportunities at Different Frequencies; PREDICTABILITY OF PRICE MOVES AT HIGH FREQUENCIES; CONCLUSION Chapter 8: Searching for High-Frequency Trading Opportunities STATISTICAL PROPERTIES OF RETURNS; LINEAR ECONOMETRIC MODELS; VOLATILITY MODELING; NONLINEAR MODELS; CONCLUSION; Chapter 9: Working with Tick Data; PROPERTIES OF TICK DATA; QUANTITY AND QUALITY OF TICK DATA; BID-ASK SPREADS; BID-ASK BOUNCE; MODELING ARRIVALS OF TICK DATA; APPLYING TRADITIONAL ECONOMETRIC TECHNIQUES TO TICK DATA; CONCLUSION; Chapter 10: Trading on Market Microstructure; OVERVIEW OF INVENTORY TRADING STRATEGIES; ORDERS, TRADERS, AND LIQUIDITY; PROFITABLE MARKET MAKING; DIRECTIONAL LIQUIDITY PROVISION; CONCLUSION Chapter 11: Trading on Market MicrostructureMEASURES OF ASYMMETRIC INFORMATION; INFORMATION-BASED TRADING MODELS; CONCLUSION; Chapter 12: Event Arbitrage; DEVELOPING EVENT ARBITRAGE TRADING STRATEGIES; WHAT CONSTITUTES AN EVENT?; FORECASTING METHODOLOGIES; TRADABLE NEWS; APPLICATION OF EVENT ARBITRAGE; CONCLUSION; Chapter 13: Statistical Arbitrage in High-Frequency Settings; MATHEMATICAL FOUNDATIONS; PRACTICAL APPLICATIONS OF STATISTICAL ARBITRAGE; CONCLUSION; Chapter 14: Creating and Managing Portfolios of High-Frequency Strategies; ANALYTICAL FOUNDATIONS OF PORTFOLIO OPTIMIZATION EFFECTIVE PORTFOLIO MANAGEMENT PRACTICES CONCLUSION; Chapter 15: Back-Testing Trading Models; EVALUATING POINT FORECASTS; EVALUATING DIRECTIONAL FORECASTS; CONCLUSION; Chapter 16: Implementing High-Frequency Trading Systems; MODEL DEVELOPMENT LIFE CYCLE; SYSTEM IMPLEMENTATION; TESTING TRADING SYSTEMS; CONCLUSION; Chapter 17: Risk Management; DETERMINING RISK MANAGEMENT GOALS; MEASURING RISK; MANAGING RISK; CONCLUSION; Chapter 18: Executing and Monitoring High-Frequency Trading; EXECUTING HIGH-FREQUENCY TRADING SYSTEMS; MONITORING HIGH-FREQUENCY EXECUTION; CONCLUSION Chapter 19: Post-Trade Profitability Analysis |
| Record Nr. | UNINA-9910780925003321 |
|
Aldridge Irene <1975->
|
||
| Hoboken, N.J., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
High-frequency trading [[electronic resource] ] : a practical guide to algorithmic strategies and trading system / / Irene Aldridge
| High-frequency trading [[electronic resource] ] : a practical guide to algorithmic strategies and trading system / / Irene Aldridge |
| Autore | Aldridge Irene <1975-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina |
332.6
332.64 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Portfolio management Securities Electronic trading of securities |
| ISBN |
0-470-57977-3
1-283-10094-0 1-282-47175-9 9786612471759 9786613100948 1-118-00631-3 0-470-57976-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems; Contents; Acknowledgments; Chapter 1: Introduction; Chapter 2: Evolution of High-Frequency Trading; FINANCIAL MARKETS AND TECHNOLOGICAL INNOVATION; EVOLUTION OF TRADING METHODOLOGY; Chapter 3: Overview of the Business of High-Frequency Trading; COMPARISON WITH TRADITIONAL APPROACHES TO TRADING; MARKET PARTICIPANTS; OPERATING MODEL; ECONOMICS; CAPITALIZING A HIGH-FREQUENCY TRADING BUSINESS; CONCLUSION; Chapter 4: Financial Markets Suitable for High-Frequency Trading
FINANCIAL MARKETS AND THEIR SUITABILITY FOR HIGH-FREQUENCY TRADING CONCLUSION; Chapter 5: Evaluating Performance of High-Frequency Strategies; BASIC RETURN CHARACTERISTICS; COMPARATIVE RATIOS; PERFORMANCE ATTRIBUTION; OTHER CONSIDERATIONS IN STRATEGY EVALUATION; CONCLUSION; Chapter 6: Orders, Traders, and Their Applicability to High-Frequency Trading; ORDER TYPES; ORDER DISTRIBUTIONS; CONCLUSION; Chapter 7: Market Inefficiency and Profit Opportunities at Different Frequencies; PREDICTABILITY OF PRICE MOVES AT HIGH FREQUENCIES; CONCLUSION Chapter 8: Searching for High-Frequency Trading Opportunities STATISTICAL PROPERTIES OF RETURNS; LINEAR ECONOMETRIC MODELS; VOLATILITY MODELING; NONLINEAR MODELS; CONCLUSION; Chapter 9: Working with Tick Data; PROPERTIES OF TICK DATA; QUANTITY AND QUALITY OF TICK DATA; BID-ASK SPREADS; BID-ASK BOUNCE; MODELING ARRIVALS OF TICK DATA; APPLYING TRADITIONAL ECONOMETRIC TECHNIQUES TO TICK DATA; CONCLUSION; Chapter 10: Trading on Market Microstructure; OVERVIEW OF INVENTORY TRADING STRATEGIES; ORDERS, TRADERS, AND LIQUIDITY; PROFITABLE MARKET MAKING; DIRECTIONAL LIQUIDITY PROVISION; CONCLUSION Chapter 11: Trading on Market MicrostructureMEASURES OF ASYMMETRIC INFORMATION; INFORMATION-BASED TRADING MODELS; CONCLUSION; Chapter 12: Event Arbitrage; DEVELOPING EVENT ARBITRAGE TRADING STRATEGIES; WHAT CONSTITUTES AN EVENT?; FORECASTING METHODOLOGIES; TRADABLE NEWS; APPLICATION OF EVENT ARBITRAGE; CONCLUSION; Chapter 13: Statistical Arbitrage in High-Frequency Settings; MATHEMATICAL FOUNDATIONS; PRACTICAL APPLICATIONS OF STATISTICAL ARBITRAGE; CONCLUSION; Chapter 14: Creating and Managing Portfolios of High-Frequency Strategies; ANALYTICAL FOUNDATIONS OF PORTFOLIO OPTIMIZATION EFFECTIVE PORTFOLIO MANAGEMENT PRACTICES CONCLUSION; Chapter 15: Back-Testing Trading Models; EVALUATING POINT FORECASTS; EVALUATING DIRECTIONAL FORECASTS; CONCLUSION; Chapter 16: Implementing High-Frequency Trading Systems; MODEL DEVELOPMENT LIFE CYCLE; SYSTEM IMPLEMENTATION; TESTING TRADING SYSTEMS; CONCLUSION; Chapter 17: Risk Management; DETERMINING RISK MANAGEMENT GOALS; MEASURING RISK; MANAGING RISK; CONCLUSION; Chapter 18: Executing and Monitoring High-Frequency Trading; EXECUTING HIGH-FREQUENCY TRADING SYSTEMS; MONITORING HIGH-FREQUENCY EXECUTION; CONCLUSION Chapter 19: Post-Trade Profitability Analysis |
| Record Nr. | UNINA-9910828976203321 |
|
Aldridge Irene <1975->
|
||
| Hoboken, N.J., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Real-time risk : what investors should know about fintech, high-frequency trading, and flash crashes / / Irene Aldridge and Steven Krawciw
| Real-time risk : what investors should know about fintech, high-frequency trading, and flash crashes / / Irene Aldridge and Steven Krawciw |
| Autore | Aldridge Irene <1975-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2017 |
| Descrizione fisica | 1 online resource (227 pages) : illustrations |
| Disciplina | 332.6 |
| Collana | THEi Wiley ebooks |
| Soggetto topico | Investments |
| ISBN |
1-119-31904-8
1-119-31906-4 1-119-31903-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910162911803321 |
|
Aldridge Irene <1975->
|
||
| Hoboken, New Jersey : , : Wiley, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||