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Algorithmic trading [[electronic resource] ] : winning strategies and their rationale / / Ernest P. Chan
| Algorithmic trading [[electronic resource] ] : winning strategies and their rationale / / Ernest P. Chan |
| Autore | Chan Ernest P. <1966-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | 1 online resource (224 p.) |
| Disciplina | 332.63/2042 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Stocks Exchange traded funds Algorithms Program trading (Securities) |
| ISBN |
1-118-67699-8
1-118-65955-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Backtesting and automated execution -- The basics of mean reversion -- Implementing mean reversion strategies -- Mean reversion of stocks and ETFs. |
| Record Nr. | UNINA-9910132530503321 |
Chan Ernest P. <1966->
|
||
| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Algorithmic trading : winning strategies and their rationale / / Ernest P. Chan
| Algorithmic trading : winning strategies and their rationale / / Ernest P. Chan |
| Autore | Chan Ernest P. <1966-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | 1 online resource (224 p.) |
| Disciplina | 332.63/2042 |
| Collana | Wiley trading series |
| Soggetto topico |
Investment analysis
Stocks Exchange traded funds Algorithms Program trading (Securities) |
| ISBN |
1-118-67699-8
1-118-65955-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Backtesting and automated execution -- The basics of mean reversion -- Implementing mean reversion strategies -- Mean reversion of stocks and ETFs. |
| Record Nr. | UNINA-9910823251203321 |
|
Chan Ernest P. <1966->
|
||
| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Electronic and algorithmic trading technology [[electronic resource] ] : the complete guide / / Kendall Kim
| Electronic and algorithmic trading technology [[electronic resource] ] : the complete guide / / Kendall Kim |
| Autore | Kim Kendall |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Academic Press, an imprint of Elsevier, c2007 |
| Descrizione fisica | 1 online resource (224 p.) |
| Disciplina | 332.64 |
| Collana | Complete technology guides for financial services series |
| Soggetto topico |
Stocks - Prices - Mathematical models
Program trading (Securities) Stock exchanges |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-11902-4
9786611119027 0-08-054886-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front 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
2.5. 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 5.2. 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 7.4. 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 Chapter 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 12.7. Example of an Exchange Data Processing System |
| Record Nr. | UNINA-9910458596303321 |
|
Kim Kendall
|
||
| Amsterdam ; ; Boston, : Academic Press, an imprint of Elsevier, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Electronic and algorithmic trading technology [[electronic resource] ] : the complete guide / / Kendall Kim
| Electronic and algorithmic trading technology [[electronic resource] ] : the complete guide / / Kendall Kim |
| Autore | Kim Kendall |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Academic Press, an imprint of Elsevier, c2007 |
| Descrizione fisica | 1 online resource (224 p.) |
| Disciplina | 332.64 |
| Collana | Complete technology guides for financial services series |
| Soggetto topico |
Stocks - Prices - Mathematical models
Program trading (Securities) Stock exchanges |
| ISBN |
1-281-11902-4
9786611119027 0-08-054886-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front 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
2.5. 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 5.2. 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 7.4. 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 Chapter 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 12.7. Example of an Exchange Data Processing System |
| Record Nr. | UNINA-9910784654103321 |
|
Kim Kendall
|
||
| Amsterdam ; ; Boston, : Academic Press, an imprint of Elsevier, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Electronic and algorithmic trading technology : the complete guide / / Kendall Kim
| Electronic and algorithmic trading technology : the complete guide / / Kendall Kim |
| Autore | Kim Kendall |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Academic Press, an imprint of Elsevier, c2007 |
| Descrizione fisica | 1 online resource (224 p.) |
| Disciplina | 332.64 |
| Collana | Complete technology guides for financial services series |
| Soggetto topico |
Stocks - Prices - Mathematical models
Program trading (Securities) Stock exchanges |
| ISBN |
1-281-11902-4
9786611119027 0-08-054886-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front 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
2.5. 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 5.2. 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 7.4. 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 Chapter 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 12.7. Example of an Exchange Data Processing System |
| Record Nr. | UNINA-9910821254903321 |
|
Kim Kendall
|
||
| Amsterdam ; ; Boston, : Academic Press, an imprint of Elsevier, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity markets in action [[electronic resource] ] : the fundamentals of liquidity, market structure & trading / / Robert A. Schwartz, Reto Francioni
| Equity markets in action [[electronic resource] ] : the fundamentals of liquidity, market structure & trading / / Robert A. Schwartz, Reto Francioni |
| Autore | Schwartz Robert A (Robert Alan), <1937-> |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, c2004 |
| Descrizione fisica | 1 online resource (482 p.) |
| Disciplina | 332.64 |
| Altri autori (Persone) | FrancioniReto |
| Collana | Wiley trading |
| Soggetto topico |
Stock exchanges
Securities Program trading (Securities) Liquidity (Economics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-26523-X
9786610265237 0-471-68988-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Equity Markets in Action; Contents; Preface; CHAPTER 1 The Role of an Equity Market; CHAPTER 2 From Information to Prices; CHAPTER 3 Liquidity; CHAPTER 4 What We Want from Our Markets; CHAPTER 5 Institutional Order Flow; CHAPTER 6 Order-Driven Markets; CHAPTER 7 Intermediated Markets; CHAPTER 8 The Evolving Scene in the United States; CHAPTER 9 The Evolving Scene in Europe; CHAPTER 10 Clearing and Settlement; CHAPTER 11 Regulation; CHAPTER 12 Simulated Trading; APPENDIX A Prices and Returns; APPENDIX B From Portfolio Decisions to Trading in a Frictionless Environment
APPENDIX C Dimensions of Informational EfficiencyAPPENDIX D The Concept of Self-Regulation; Selected Readings; About the Authors; About the CD-ROM; Index |
| Record Nr. | UNINA-9910449950103321 |
|
Schwartz Robert A (Robert Alan), <1937->
|
||
| Hoboken, N.J., : J. Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity markets in action [[electronic resource] ] : the fundamentals of liquidity, market structure & trading / / Robert A. Schwartz, Reto Francioni
| Equity markets in action [[electronic resource] ] : the fundamentals of liquidity, market structure & trading / / Robert A. Schwartz, Reto Francioni |
| Autore | Schwartz Robert A (Robert Alan), <1937-> |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, c2004 |
| Descrizione fisica | 1 online resource (482 p.) |
| Disciplina | 332.64 |
| Altri autori (Persone) | FrancioniReto |
| Collana | Wiley trading |
| Soggetto topico |
Stock exchanges
Securities Program trading (Securities) Liquidity (Economics) |
| ISBN |
1-280-26523-X
9786610265237 0-471-68988-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Equity Markets in Action; Contents; Preface; CHAPTER 1 The Role of an Equity Market; CHAPTER 2 From Information to Prices; CHAPTER 3 Liquidity; CHAPTER 4 What We Want from Our Markets; CHAPTER 5 Institutional Order Flow; CHAPTER 6 Order-Driven Markets; CHAPTER 7 Intermediated Markets; CHAPTER 8 The Evolving Scene in the United States; CHAPTER 9 The Evolving Scene in Europe; CHAPTER 10 Clearing and Settlement; CHAPTER 11 Regulation; CHAPTER 12 Simulated Trading; APPENDIX A Prices and Returns; APPENDIX B From Portfolio Decisions to Trading in a Frictionless Environment
APPENDIX C Dimensions of Informational EfficiencyAPPENDIX D The Concept of Self-Regulation; Selected Readings; About the Authors; About the CD-ROM; Index |
| Record Nr. | UNINA-9910783520103321 |
|
Schwartz Robert A (Robert Alan), <1937->
|
||
| Hoboken, N.J., : J. Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity markets in action : the fundamentals of liquidity, market structure & trading / / Robert A. Schwartz, Reto Francioni
| Equity markets in action : the fundamentals of liquidity, market structure & trading / / Robert A. Schwartz, Reto Francioni |
| Autore | Schwartz Robert A (Robert Alan), <1937-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, c2004 |
| Descrizione fisica | 1 online resource (482 p.) |
| Disciplina | 332.64 |
| Altri autori (Persone) | FrancioniReto |
| Collana | Wiley trading |
| Soggetto topico |
Stock exchanges
Securities Program trading (Securities) Liquidity (Economics) |
| ISBN |
1-280-26523-X
9786610265237 0-471-68988-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Equity Markets in Action; Contents; Preface; CHAPTER 1 The Role of an Equity Market; CHAPTER 2 From Information to Prices; CHAPTER 3 Liquidity; CHAPTER 4 What We Want from Our Markets; CHAPTER 5 Institutional Order Flow; CHAPTER 6 Order-Driven Markets; CHAPTER 7 Intermediated Markets; CHAPTER 8 The Evolving Scene in the United States; CHAPTER 9 The Evolving Scene in Europe; CHAPTER 10 Clearing and Settlement; CHAPTER 11 Regulation; CHAPTER 12 Simulated Trading; APPENDIX A Prices and Returns; APPENDIX B From Portfolio Decisions to Trading in a Frictionless Environment
APPENDIX C Dimensions of Informational EfficiencyAPPENDIX D The Concept of Self-Regulation; Selected Readings; About the Authors; About the CD-ROM; Index |
| Record Nr. | UNINA-9910817899503321 |
|
Schwartz Robert A (Robert Alan), <1937->
|
||
| Hoboken, N.J., : J. Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Essays on algorithmic trading / / Markus Gsell
| Essays on algorithmic trading / / Markus Gsell |
| Autore | Gsell Markus |
| Pubbl/distr/stampa | Stuttgart : , : Ibidem Verlag, , 2012 |
| Descrizione fisica | 1 online resource (226 p.) |
| Disciplina | 332.60285 |
| Soggetto topico | Program trading (Securities) |
| Soggetto genere / forma | Electronic books. |
| ISBN | 3-8382-6114-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Table of Contents""; ""1 Introduction""; ""1.1 Motivation and objective of the thesis""; ""1.2 Structure of the thesis""; ""2 Research Context: Securities Trading""; ""2.1 Value chain""; ""2.2 The role of Algorithmic Trading""; ""2.2.1 Purposes and users""; ""2.2.2 Benchmarks and strategies""; ""2.2.3 Stages of development""; ""2.2.4 Implications for market operators""; ""3 Research Approach and Methodology""; ""3.1 Quantitative Survey""; ""3.2 Literature Review""; ""3.3 Simulation of Financial Markets""; ""3.4 Empirical Analysis""; ""4 Main Results""
""4.1 Paper 1 : Investigating the adoption decision""""4.2 Paper 2 : Theoretically assessing structural behavioral differences""; ""4.3 Paper 3 : Assessing the impact on the market outcome by simulation""; ""4.4 Paper 4: Empirically assessing the impact on trading behavior""; ""5 Contribution to theory and practical implications""; ""5.1 Contribution to theory""; ""5.2 Practical implications""; ""6 Limitations and potential further research""; ""6.1 Limitations""; ""6.2 Future Research""; ""References"" ""Paper 1: Technological Innovations in Securities Trading: The Adoption of Algorithmic Trading """"1 Introduction""; ""2 Related work""; ""3 Methodology""; ""4 Research Model""; ""4.1 Usage""; ""4.2 Intention to use""; ""4.3 Performance Expectancy""; ""4.4 Effort Expectancy""; ""4.5 Task-Technology Fit""; ""4.6 Technology Expertise""; ""5 Results""; ""5.1 Quality criteria of the measurement model""; ""5.1.1 Reflective constructs""; ""5.1.2 Formative construct""; ""5.2 Quality criteria of the structural model""; ""6 Conclusion""; ""References"" ""Paper 2: Is Algorithmic Trading distinctively different?""""1 Introduction""; ""2 Stylized traders in the literature""; ""3 What are algorithmic trading models doing?""; ""4 Why algorithmic trading models are different""; ""4.1 Are algorithmic trading models informed traders?""; ""4.2 Are algorithmic trading models momentum traders?""; ""4.3 Are algorithmic trading models noise traders?""; ""4.4 What are algorithmic trading models after all?""; ""5 Conclusion""; ""References""; ""Paper 3: Assessing the impact of Algorithmic Trading on markets : A simulation approach "" ""1 Introduction""""2 Related work""; ""2.1 Algorithmic Trading""; ""2.2 Simulation of financial markets""; ""3 The simulation model""; ""3.1 Behavior of Traders""; ""3.2 Parameterizatio n""; ""4 Results obtained""; ""5 Conclusion and Outlook""; ""References""; ""Paper 4: The Behavior of Algorithmic Traders in Equity Markets - Empirical Evidence from Xetra ""; ""1 Introduction""; ""2 Related Work""; ""3 The Xetra Trading System""; ""3.1 Continuous Trading""; ""3.2 Call Auctions""; ""3.3 Trading Schedule""; ""3.4 Dataset and Methodology""; ""4 Results""; ""4.1 Continuous Trading"" ""4.2 Call Auctions"" |
| Record Nr. | UNINA-9910463986203321 |
|
Gsell Markus
|
||
| Stuttgart : , : Ibidem Verlag, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Essays on algorithmic trading / / Markus Gsell
| Essays on algorithmic trading / / Markus Gsell |
| Autore | Gsell Markus |
| Pubbl/distr/stampa | Stuttgart : , : Ibidem Verlag, , 2012 |
| Descrizione fisica | 1 online resource (226 p.) |
| Disciplina | 332.60285 |
| Soggetto topico | Program trading (Securities) |
| ISBN | 3-8382-6114-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Table of Contents""; ""1 Introduction""; ""1.1 Motivation and objective of the thesis""; ""1.2 Structure of the thesis""; ""2 Research Context: Securities Trading""; ""2.1 Value chain""; ""2.2 The role of Algorithmic Trading""; ""2.2.1 Purposes and users""; ""2.2.2 Benchmarks and strategies""; ""2.2.3 Stages of development""; ""2.2.4 Implications for market operators""; ""3 Research Approach and Methodology""; ""3.1 Quantitative Survey""; ""3.2 Literature Review""; ""3.3 Simulation of Financial Markets""; ""3.4 Empirical Analysis""; ""4 Main Results""
""4.1 Paper 1 : Investigating the adoption decision""""4.2 Paper 2 : Theoretically assessing structural behavioral differences""; ""4.3 Paper 3 : Assessing the impact on the market outcome by simulation""; ""4.4 Paper 4: Empirically assessing the impact on trading behavior""; ""5 Contribution to theory and practical implications""; ""5.1 Contribution to theory""; ""5.2 Practical implications""; ""6 Limitations and potential further research""; ""6.1 Limitations""; ""6.2 Future Research""; ""References"" ""Paper 1: Technological Innovations in Securities Trading: The Adoption of Algorithmic Trading """"1 Introduction""; ""2 Related work""; ""3 Methodology""; ""4 Research Model""; ""4.1 Usage""; ""4.2 Intention to use""; ""4.3 Performance Expectancy""; ""4.4 Effort Expectancy""; ""4.5 Task-Technology Fit""; ""4.6 Technology Expertise""; ""5 Results""; ""5.1 Quality criteria of the measurement model""; ""5.1.1 Reflective constructs""; ""5.1.2 Formative construct""; ""5.2 Quality criteria of the structural model""; ""6 Conclusion""; ""References"" ""Paper 2: Is Algorithmic Trading distinctively different?""""1 Introduction""; ""2 Stylized traders in the literature""; ""3 What are algorithmic trading models doing?""; ""4 Why algorithmic trading models are different""; ""4.1 Are algorithmic trading models informed traders?""; ""4.2 Are algorithmic trading models momentum traders?""; ""4.3 Are algorithmic trading models noise traders?""; ""4.4 What are algorithmic trading models after all?""; ""5 Conclusion""; ""References""; ""Paper 3: Assessing the impact of Algorithmic Trading on markets : A simulation approach "" ""1 Introduction""""2 Related work""; ""2.1 Algorithmic Trading""; ""2.2 Simulation of financial markets""; ""3 The simulation model""; ""3.1 Behavior of Traders""; ""3.2 Parameterizatio n""; ""4 Results obtained""; ""5 Conclusion and Outlook""; ""References""; ""Paper 4: The Behavior of Algorithmic Traders in Equity Markets - Empirical Evidence from Xetra ""; ""1 Introduction""; ""2 Related Work""; ""3 The Xetra Trading System""; ""3.1 Continuous Trading""; ""3.2 Call Auctions""; ""3.3 Trading Schedule""; ""3.4 Dataset and Methodology""; ""4 Results""; ""4.1 Continuous Trading"" ""4.2 Call Auctions"" |
| Record Nr. | UNINA-9910787830603321 |
|
Gsell Markus
|
||
| Stuttgart : , : Ibidem Verlag, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
