Quantitative trading : algorithms, analytics, data, models, optimization / Xin Guo, Tze Leung Lai, Howard Shek & Samuel Po-Shing Wong.

Includes bibliographical references and index.

Preface -- List of figures -- List of tables -- 1. Introduction -- 1.1. Evolution of trading infrastructure -- 1.2. Quantitative strategies and time-scales -- 1.3. Statistical arbitrage and debates about EMH -- 1.4. Quantitative funds, mutual funds, hedge funds -- 1.5. Data, analytics, models, optimization, algorithms -- 1.6. Interdisciplinary nature of the subject and how the book can -- 1.7. Supplements and problems -- 2. Statistical Models and Methods for Quantitative Trading -- 2.1. Stylized facta on stock price data -- 2.2. Brownian motion models for speculative prices -- 2.3. MPT as a "walking shoe" down Wall Street -- 2.4. Statistical underpinnings of MPT -- 2.5. A new approach incorporating parameter uncertainty -- 2.6. From random walks to martingales that match stylized facts -- 2.7. Neo-MPT involving martingale regression models -- 2.8. Statistical arbitrage and strategies beyond EMH -- 2.9. Supplements and problems -- 3. Active Portfolio Management and Investment Strategies -- 3.1. Active alpha and beta in portfolio management -- 3.2. Transaction costs, and long-short constraints -- 3.3. Multiperiod portfolio management -- 3.4. Supplementary notes and comments -- 3.5. Exercises -- 4. Econometrics of Transactions in Electronic Platforms -- 4.1. Transactions and transactions data -- 4.2. Models for high-frequency data -- 4.3. Estimation of integrated variance of Xt -- 4.4. Estimation of covariation of multiple assets -- 4.5. Fourier methods -- 4.6. Other econometric models involving TAQ -- 4.7. Supplementary notes and comments -- 4.8. Exercises -- 5. Limit Order Book: Data Analytics and Dynamic Models -- 5.1. From market data to limit Order book (LOB -- 5.2. Stylized facts of LOB data -- 5.3. Fitting a multivariate point process to LOB data -- 5.4. LOB data analytics via machine learning -- 5.5. Queueing models of LOB dynamics -- 5.6. Supplements and problems -- 6. Optimal Execution and Placement -- 6.1. Optimal execution with a single asset -- 6.2. Multiplicative price impact model -- 6.3. Optimal execution using the LOB shape -- 6.4. Optimal execution for portfolios -- 6.5. Optimal placement -- 6.6. Supplements and problems -- 7. Market Making and Smart Order Routing -- 7.1. Ho and Stoibs model and the Avellanedo-Stoikov policy -- 7.2. Solution to the HJB equation and subsequent extensions -- 7.3. Impulse control involving limit and market Orders -- 7.4. Smart order routing and dark pools -- 7.5. Optimal order Splitting among exchanges in SOR -- 7.6. Censored exploration-exploitation for dark pools -- 7.7. Stochastic Lagrangian optimization in dark pools -- 7.8. Supplementary notes and comments -- 7.9. Exercises -- 8. Informatics, Regulation and Risk Management -- 8.1. Some quantitative strategies -- 8.2. Exchange infrastructure -- 8.7. Exercises -- Appendix A. Martingale theory -- Appendix B. Markov chain and related topics -- Appendix C. Doubly stochastic self-exciting point processes -- Appendix D. Weak coverage and limit theorems -- Bibliography -- Index.

"This book is an outgrowth of recent curriculum development in the Financial Engineering and Mathematical and Computational Finance programs at Berkeley, Stanford, and elsewhere where the authors are involved, in response to the new era of big data and FinTech in the financial industry...this book gives a comprehensive treatment of quantitative trading by using a multidisciplinary approach. It also bridges the gap between academic research/education and the financial industry."--Back cover.