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High-frequency trading : a practical guide to algorithmic strategies and trading systems / / Irene Aldridge
| High-frequency trading : 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->
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| Hoboken, N.J., : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.]
| Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.] |
| Pubbl/distr/stampa | Hoboken, New Jersey, : John Wiley, c2007 |
| Descrizione fisica | 1 online resource (513 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | FabozziFrank J |
| Collana |
Frank J. Fabozzi series
Wiley finance |
| Soggetto topico |
Portfolio management
Robust optimization Gestió de cartera |
| Soggetto genere / forma |
Electronic books.
Llibres electrònics |
| ISBN |
1-119-20217-5
1-280-85552-5 9786610855520 0-470-16489-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Robust Portfolio Optimization and Management; Contents; Preface; TEACHING USING THIS BOOK; ACKNOWLEDGMENTS; Chapter 1: Introduction; QUANTITATIVE TECHNIQUES IN THE INVESTMENT MANAGEMENT INDUSTRY; CENTRAL THEMES OF THIS BOOK; OVERVIEW OF THIS BOOK; Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory; THE BENEFITS OF DIVERSIFICATION; MEAN-VARIANCE ANALYSIS: OVERVIEW; CLASSICAL FRAMEWORK FOR MEAN-VARIANCE OPTIMIZATION; THE CAPITAL MARKET LINE; SELECTION OF THE OPTIMAL PORTFOLIO WHEN THERE IS A RISK-FREE ASSET; MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE; SUMMARY
Chapter 3: Advances in the Theory of Portfolio Risk MeasuresDISPERSION AND DOWNSIDE MEASURES; PORTFOLIO SELECTION WITH HIGHER MOMENTS THROUGH EXPANSIONS OF UTILITY; POLYNOMIAL GOAL PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH HIGHER MOMENTS; SOME REMARKS ON THE ESTIMATION OF HIGHER MOMENTS; THE APPROACH OF MALEVERGNE AND SORNETTE; SUMMARY; Chapter 4: Portfolio Selection in Practice; PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE; INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS; MULTIACCOUNT OPTIMIZATION; SUMMARY; Chapter 5: Classical Asset Pricing; DEFINITIONS THEORETICAL AND ECONOMETRIC MODELSRANDOM WALK MODELS; GENERAL EQUILIBRIUM THEORIES; CAPITAL ASSET PRICING MODEL (CAPM); ARBITRAGE PRICING THEORY (APT); SUMMARY; Chapter 6: Forecasting Expected Return and Risk; DIVIDEND DISCOUNT AND RESIDUAL INCOME VALUATION MODELS; THE SAMPLE MEAN AND COVARIANCE ESTIMATORS; RANDOM MATRICES; ARBITRAGE PRICING THEORY AND FACTOR MODELS; FACTOR MODELS IN PRACTICE; OTHER APPROACHES TO VOLATILITY ESTIMATION; APPLICATION TO INVESTMENT STRATEGIES AND PROPRIETARY TRADING; SUMMARY; Chapter 7: Robust Estimation; THE INTUITION BEHIND ROBUST STATISTICS; ROBUST STATISTICS ROBUST ESTIMATORS OF REGRESSIONSCONFIDENCE INTERVALS; SUMMARY; Chapter 8: Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model; PRACTICAL PROBLEMS ENCOUNTERED IN MEAN-VARIANCE OPTIMIZATION; SHRINKAGE ESTIMATION; BAYESIAN APPROACHES; SUMMARY; Chapter 9: Mathematical and Numerical Optimization; MATHEMATICAL PROGRAMMING; NECESSARY CONDITIONS FOR OPTIMALITY FOR CONTINUOUS OPTIMIZATION PROBLEMS; OPTIMIZATION DUALITY THEORY; HOW DO OPTIMIZATION ALGORITHMS WORK?; SUMMARY; Chapter 10: Optimization Under Uncertainty; STOCHASTIC PROGRAMMING DYNAMIC PROGRAMMINGROBUST OPTIMIZATION; SUMMARY; Chapter 11: Implementing and Solving Optimization Problems in Practice; OPTIMIZATION SOFTWARE; PRACTICAL CONSIDERATIONS WHEN USING OPTIMIZATION SOFTWARE; IMPLEMENTATION EXAMPLES; SPECIALIZED SOFTWARE FOR OPTIMIZATION UNDER UNCERTAINTY; SUMMARY; Chapter 12: Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization; PORTFOLIO RESAMPLING TECHNIQUES; ROBUST PORTFOLIO ALLOCATION; SOME PRACTICAL REMARKS ON ROBUST PORTFOLIO ALLOCATION MODELS; SUMMARY Chapter 13: The Practice of Robust Portfolio Management: Recent Trends and New Directions |
| Record Nr. | UNINA-9910143433003321 |
| Hoboken, New Jersey, : John Wiley, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.]
| Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.] |
| Pubbl/distr/stampa | Hoboken, New Jersey, : John Wiley, c2007 |
| Descrizione fisica | 1 online resource (513 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | FabozziFrank J |
| Collana |
Frank J. Fabozzi series
Wiley finance |
| Soggetto topico |
Portfolio management
Robust optimization Gestió de cartera |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-20217-5
1-280-85552-5 9786610855520 0-470-16489-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Robust Portfolio Optimization and Management; Contents; Preface; TEACHING USING THIS BOOK; ACKNOWLEDGMENTS; Chapter 1: Introduction; QUANTITATIVE TECHNIQUES IN THE INVESTMENT MANAGEMENT INDUSTRY; CENTRAL THEMES OF THIS BOOK; OVERVIEW OF THIS BOOK; Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory; THE BENEFITS OF DIVERSIFICATION; MEAN-VARIANCE ANALYSIS: OVERVIEW; CLASSICAL FRAMEWORK FOR MEAN-VARIANCE OPTIMIZATION; THE CAPITAL MARKET LINE; SELECTION OF THE OPTIMAL PORTFOLIO WHEN THERE IS A RISK-FREE ASSET; MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE; SUMMARY
Chapter 3: Advances in the Theory of Portfolio Risk MeasuresDISPERSION AND DOWNSIDE MEASURES; PORTFOLIO SELECTION WITH HIGHER MOMENTS THROUGH EXPANSIONS OF UTILITY; POLYNOMIAL GOAL PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH HIGHER MOMENTS; SOME REMARKS ON THE ESTIMATION OF HIGHER MOMENTS; THE APPROACH OF MALEVERGNE AND SORNETTE; SUMMARY; Chapter 4: Portfolio Selection in Practice; PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE; INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS; MULTIACCOUNT OPTIMIZATION; SUMMARY; Chapter 5: Classical Asset Pricing; DEFINITIONS THEORETICAL AND ECONOMETRIC MODELSRANDOM WALK MODELS; GENERAL EQUILIBRIUM THEORIES; CAPITAL ASSET PRICING MODEL (CAPM); ARBITRAGE PRICING THEORY (APT); SUMMARY; Chapter 6: Forecasting Expected Return and Risk; DIVIDEND DISCOUNT AND RESIDUAL INCOME VALUATION MODELS; THE SAMPLE MEAN AND COVARIANCE ESTIMATORS; RANDOM MATRICES; ARBITRAGE PRICING THEORY AND FACTOR MODELS; FACTOR MODELS IN PRACTICE; OTHER APPROACHES TO VOLATILITY ESTIMATION; APPLICATION TO INVESTMENT STRATEGIES AND PROPRIETARY TRADING; SUMMARY; Chapter 7: Robust Estimation; THE INTUITION BEHIND ROBUST STATISTICS; ROBUST STATISTICS ROBUST ESTIMATORS OF REGRESSIONSCONFIDENCE INTERVALS; SUMMARY; Chapter 8: Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model; PRACTICAL PROBLEMS ENCOUNTERED IN MEAN-VARIANCE OPTIMIZATION; SHRINKAGE ESTIMATION; BAYESIAN APPROACHES; SUMMARY; Chapter 9: Mathematical and Numerical Optimization; MATHEMATICAL PROGRAMMING; NECESSARY CONDITIONS FOR OPTIMALITY FOR CONTINUOUS OPTIMIZATION PROBLEMS; OPTIMIZATION DUALITY THEORY; HOW DO OPTIMIZATION ALGORITHMS WORK?; SUMMARY; Chapter 10: Optimization Under Uncertainty; STOCHASTIC PROGRAMMING DYNAMIC PROGRAMMINGROBUST OPTIMIZATION; SUMMARY; Chapter 11: Implementing and Solving Optimization Problems in Practice; OPTIMIZATION SOFTWARE; PRACTICAL CONSIDERATIONS WHEN USING OPTIMIZATION SOFTWARE; IMPLEMENTATION EXAMPLES; SPECIALIZED SOFTWARE FOR OPTIMIZATION UNDER UNCERTAINTY; SUMMARY; Chapter 12: Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization; PORTFOLIO RESAMPLING TECHNIQUES; ROBUST PORTFOLIO ALLOCATION; SOME PRACTICAL REMARKS ON ROBUST PORTFOLIO ALLOCATION MODELS; SUMMARY Chapter 13: The Practice of Robust Portfolio Management: Recent Trends and New Directions |
| Record Nr. | UNINA-9910830958203321 |
| Hoboken, New Jersey, : John Wiley, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust portfolio optimization and management / / Frank J. Fabozzi ... [et al.]
| Robust portfolio optimization and management / / Frank J. Fabozzi ... [et al.] |
| Pubbl/distr/stampa | Hoboken, New Jersey, : John Wiley, c2007 |
| Descrizione fisica | 1 online resource (513 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | FabozziFrank J |
| Collana |
Frank J. Fabozzi series
Wiley finance |
| Soggetto topico |
Portfolio management
Robust optimization Gestió de cartera |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-20217-5
1-280-85552-5 9786610855520 0-470-16489-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Robust Portfolio Optimization and Management; Contents; Preface; TEACHING USING THIS BOOK; ACKNOWLEDGMENTS; Chapter 1: Introduction; QUANTITATIVE TECHNIQUES IN THE INVESTMENT MANAGEMENT INDUSTRY; CENTRAL THEMES OF THIS BOOK; OVERVIEW OF THIS BOOK; Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory; THE BENEFITS OF DIVERSIFICATION; MEAN-VARIANCE ANALYSIS: OVERVIEW; CLASSICAL FRAMEWORK FOR MEAN-VARIANCE OPTIMIZATION; THE CAPITAL MARKET LINE; SELECTION OF THE OPTIMAL PORTFOLIO WHEN THERE IS A RISK-FREE ASSET; MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE; SUMMARY
Chapter 3: Advances in the Theory of Portfolio Risk MeasuresDISPERSION AND DOWNSIDE MEASURES; PORTFOLIO SELECTION WITH HIGHER MOMENTS THROUGH EXPANSIONS OF UTILITY; POLYNOMIAL GOAL PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH HIGHER MOMENTS; SOME REMARKS ON THE ESTIMATION OF HIGHER MOMENTS; THE APPROACH OF MALEVERGNE AND SORNETTE; SUMMARY; Chapter 4: Portfolio Selection in Practice; PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE; INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS; MULTIACCOUNT OPTIMIZATION; SUMMARY; Chapter 5: Classical Asset Pricing; DEFINITIONS THEORETICAL AND ECONOMETRIC MODELSRANDOM WALK MODELS; GENERAL EQUILIBRIUM THEORIES; CAPITAL ASSET PRICING MODEL (CAPM); ARBITRAGE PRICING THEORY (APT); SUMMARY; Chapter 6: Forecasting Expected Return and Risk; DIVIDEND DISCOUNT AND RESIDUAL INCOME VALUATION MODELS; THE SAMPLE MEAN AND COVARIANCE ESTIMATORS; RANDOM MATRICES; ARBITRAGE PRICING THEORY AND FACTOR MODELS; FACTOR MODELS IN PRACTICE; OTHER APPROACHES TO VOLATILITY ESTIMATION; APPLICATION TO INVESTMENT STRATEGIES AND PROPRIETARY TRADING; SUMMARY; Chapter 7: Robust Estimation; THE INTUITION BEHIND ROBUST STATISTICS; ROBUST STATISTICS ROBUST ESTIMATORS OF REGRESSIONSCONFIDENCE INTERVALS; SUMMARY; Chapter 8: Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model; PRACTICAL PROBLEMS ENCOUNTERED IN MEAN-VARIANCE OPTIMIZATION; SHRINKAGE ESTIMATION; BAYESIAN APPROACHES; SUMMARY; Chapter 9: Mathematical and Numerical Optimization; MATHEMATICAL PROGRAMMING; NECESSARY CONDITIONS FOR OPTIMALITY FOR CONTINUOUS OPTIMIZATION PROBLEMS; OPTIMIZATION DUALITY THEORY; HOW DO OPTIMIZATION ALGORITHMS WORK?; SUMMARY; Chapter 10: Optimization Under Uncertainty; STOCHASTIC PROGRAMMING DYNAMIC PROGRAMMINGROBUST OPTIMIZATION; SUMMARY; Chapter 11: Implementing and Solving Optimization Problems in Practice; OPTIMIZATION SOFTWARE; PRACTICAL CONSIDERATIONS WHEN USING OPTIMIZATION SOFTWARE; IMPLEMENTATION EXAMPLES; SPECIALIZED SOFTWARE FOR OPTIMIZATION UNDER UNCERTAINTY; SUMMARY; Chapter 12: Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization; PORTFOLIO RESAMPLING TECHNIQUES; ROBUST PORTFOLIO ALLOCATION; SOME PRACTICAL REMARKS ON ROBUST PORTFOLIO ALLOCATION MODELS; SUMMARY Chapter 13: The Practice of Robust Portfolio Management: Recent Trends and New Directions |
| Record Nr. | UNINA-9910877788103321 |
| Hoboken, New Jersey, : John Wiley, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
What hedge funds really do : an introduction to portfolio management / / Philip J. Romero and Tucker Balch
| What hedge funds really do : an introduction to portfolio management / / Philip J. Romero and Tucker Balch |
| Autore | Romero Philip J. |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | New York, New York (222 East 46th Street, New York, NY 10017) : , : Business Expert Press, , 2014 |
| Descrizione fisica | 1 online resource (148 pages) |
| Disciplina | 332.6327 |
| Collana | Economics collection |
| Soggetto topico |
Hedge funds
Fons especulatius Gestió de cartera Portfolio management |
| Soggetto genere / forma | Llibres electrònics |
| Soggetto non controllato |
absolute return
active investment management arbitrage capital asset pricing model CAPM derivatives exchange traded funds ETF fat tails finance hedge funds hedging high-frequency trading HFT investing investment management long/short modern portfolio theory MPT optimization quant quantitative trading strategies portfolio construction portfolio management portfolio optimization trading trading strategies Wall Street |
| ISBN | 1-63157-090-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I. The basics -- 1. Introduction -- 2. So you want to be a hedge fund manager -- 3. An illustrative hedge fund strategy: arbitrage -- 4. Market-making mechanics -- 5. Introduction to company valuation -- Part II. Investing fundamentals: CAPM and EMH -- 6. How valuation is used by hedge funds -- 7. Framework for investing: the capital asset pricing model (CAPM) -- 8. The efficient market hypothesis (EMH), its three versions -- 9. The fundamental law of active portfolio management -- Part III. Market simulation and portfolio construction -- 10. Modern portfolio theory: the efficient frontier and portfolio optimization -- 11. Event studies -- 12. Overcoming data quirks to design trading strategies -- 13. Data sources -- 14. Back testing strategies -- Part IV. Case study and issues -- 15. Hedge fund case study: long term capital management (LTCM) -- 16. Opportunities and challenges for hedge funds -- Teaching cases -- Glossary -- Summary -- Index. |
| Record Nr. | UNINA-9910791003103321 |
|
Romero Philip J.
|
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| New York, New York (222 East 46th Street, New York, NY 10017) : , : Business Expert Press, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
What hedge funds really do : an introduction to portfolio management / / Philip J. Romero and Tucker Balch
| What hedge funds really do : an introduction to portfolio management / / Philip J. Romero and Tucker Balch |
| Autore | Romero Philip J. |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | New York, New York (222 East 46th Street, New York, NY 10017) : , : Business Expert Press, , 2014 |
| Descrizione fisica | 1 online resource (148 pages) |
| Disciplina | 332.6327 |
| Collana | Economics collection |
| Soggetto topico |
Hedge funds
Fons especulatius Gestió de cartera Portfolio management |
| Soggetto genere / forma | Llibres electrònics |
| Soggetto non controllato |
absolute return
active investment management arbitrage capital asset pricing model CAPM derivatives exchange traded funds ETF fat tails finance hedge funds hedging high-frequency trading HFT investing investment management long/short modern portfolio theory MPT optimization quant quantitative trading strategies portfolio construction portfolio management portfolio optimization trading trading strategies Wall Street |
| ISBN | 1-63157-090-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I. The basics -- 1. Introduction -- 2. So you want to be a hedge fund manager -- 3. An illustrative hedge fund strategy: arbitrage -- 4. Market-making mechanics -- 5. Introduction to company valuation -- Part II. Investing fundamentals: CAPM and EMH -- 6. How valuation is used by hedge funds -- 7. Framework for investing: the capital asset pricing model (CAPM) -- 8. The efficient market hypothesis (EMH), its three versions -- 9. The fundamental law of active portfolio management -- Part III. Market simulation and portfolio construction -- 10. Modern portfolio theory: the efficient frontier and portfolio optimization -- 11. Event studies -- 12. Overcoming data quirks to design trading strategies -- 13. Data sources -- 14. Back testing strategies -- Part IV. Case study and issues -- 15. Hedge fund case study: long term capital management (LTCM) -- 16. Opportunities and challenges for hedge funds -- Teaching cases -- Glossary -- Summary -- Index. |
| Record Nr. | UNINA-9910817453103321 |
|
Romero Philip J.
|
||
| New York, New York (222 East 46th Street, New York, NY 10017) : , : Business Expert Press, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
