Professor Xin Guo, the Coleman Fung Chair in Financial Modeling at the University of California, Berkeley is releasing a new book titled Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization. Guo wrote the book along with Howard Shek from North Dakota State University, and Tze Leung Lai & Po-Shing Wong from Stanford University. The book will provide an introduction to algorithmic trading by integrating statistics, engineering systems, dynamic optimization, and computer science.
A summary of the book can be found below:
The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.