图书简介
Handbook of Price Impact Modeling provides practitioners and students with a mathematical framework grounded in academic references to apply price impact models to quantitative trading and portfolio management. Automated trading is now the dominant form of trading across all frequencies. Furthermore, trading algorithm rise introduces new questions professionals must answer, for instance:How do stock prices react to a trading strategy?How to scale a portfolio considering its trading costs and liquidity risk?How to measure and improve trading algorithms while avoiding biases?Price impact models answer these novel questions at the forefront of quantitative finance. Hence, practitioners and students can use this Handbook as a comprehensive, modern view of systematic trading.For financial institutions, the Handbook’s framework aims to minimize the firm’s price impact, measure market liquidity risk, and provide a unified, succinct view of the firm’s trading activity to the C-suite via analytics and tactical research. The Handbook’s focus on applications and everyday skillsets makes it an ideal textbook for a master’s in finance class and students joining quantitative trading desks. Using price impact models, the reader learns how to:Build a market simulator to back test trading algorithmsImplement closed-form strategies that optimize trading signalsMeasure liquidity risk and stress test portfolios for fire salesAnalyze algorithm performance controlling for common trading biasesEstimate price impact models using public trading tapeFinally, the reader finds a primer on the database kdb and its programming language q, which are standard tools for analyzing high-frequency trading data at banks and hedg
Preface
I Introduction
Introduction to Modeling Price Impact
The Handbook’s Scope
Introduction
What is Price Impact? Why do Traders Care About It?
The Causality Challenge for Price Impact Models
Four Core Modeling Principles
A Brief History of Price Impact Models
Trading Terminology
Trading Strategies
Trading Data: Fills, Orders, and Binned Data
Trading Signals, Alpha Signals
Intended, Predicted, and Realized Data
Basic Trading Parameters
Order Slippage, Arrival Price
Alpha Slippage, Slippage Due to Price Impact
Trading Experiments: A-B Tests and Back Tests
Outlining Applications
Transaction Cost Analysis (TCA) for Sell-Side Execu-
tion Teams
Portfolio Optimization for Buy-Side Statistical Arbi-
trage Teams
Liquidity Reports for Risk Management Teams
Portfolio Consolidation Analysis for Senior Manage-
ment
Roadmap
What to Expect from the Handbook
A Brief Summary of Each Chapter
II Acting on Price Impact
2 Mathematical Models of Price Impact
2.1 A Pedagogical Example
2.2 Mathematical Setup
2.2.1 Defining Price Impact and Instantaneous Transaction Costs
2.2.2 Establishing P
Trade Policy 买家须知
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