The Science Of Algorithmic Trading And Portfolio Management by Robert KissellThe Science Of Algorithmic Trading And Portfolio Management by Robert Kissell

The Science Of Algorithmic Trading And Portfolio Management

byRobert KissellEditorRobert Kissell

Hardcover | October 14, 2013

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The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems.

This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects.



  • Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers.
    • Helps readers design systems to manage algorithmic risk and dark pool uncertainty.
    • Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.

    About The Author

    Dr. Robert Kissell is the president and founder of Kissell Research Group. He has over twenty years of experience specializing in economics, finance, math & statistics, risk, and sports modeling.Dr. Kissell is author of the leading industry books, The Science of Algorithmic Trading & Portfolio Management, (Elsevier, 2013), Multi-Asset ...
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    Details & Specs

    Title:The Science Of Algorithmic Trading And Portfolio ManagementFormat:HardcoverDimensions:496 pages, 9.25 × 7.5 × 0.98 inPublished:October 14, 2013Publisher:Academic PressLanguage:English

    The following ISBNs are associated with this title:

    ISBN - 10:0124016898

    ISBN - 13:9780124016897

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    Extra Content

    Table of Contents

    I - Introduction

    1. Algorithmic Trading

      2. Market Microstructure

        3. Transaction Cost Analysis (TCA)

        II Mathematical Modeling

        4.. Market Impact

          5. Multi-Asset Class Market Impact

            6 Price

              7. Algorithmic Trading Risk

                8. Algorithmic Decision Making Framework

                  9. Portfolio Algorithms

                  III Portfolio Management

                  10. Portfolio Construction

                  11. Quant Factors

                    12. Black Box Models

                      Editorial Reviews

                      "This book provides excellent coverage of the challenges faced by portfolio managers and traders in implementing investment ideas and the advanced modeling techniques to address these challenges."  --Kumar Venkataraman, Southern Methodist University