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Something we hope you'll especially enjoy: If you're a seller, Fulfillment by Amazon can help you increase your sales. We invite you to learn more about Fulfillment by Amazon. 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. Sponsored Products are advertisements for products sold by merchants on Amazon.
When you click on a Sponsored Product ad, you will be taken to an Amazon detail page where you can learn more about the product and purchase it. To learn more about Amazon Sponsored Products, click here. Her main research interests are stochastic control, stochastic processes and applications.
In addition to high frequency trading modeling and analysis, her recent research includes singular controls, impulse controls, non-linear expectations, mean-field games, and filtration enlargement with application to credit risk.
Howard Shek is a senior researcher at Tower Research Capital, where he has built and led the Core Research team with a mandate that covers the wide spectrum of research topics in automated trading.
He has over 15 years of quantitative research and trading experience in fixed-income arbitrage, market microstructure, volatility estimation, option pricing, and portfolio theory, and has held senior trading and research positions at Merrill Lynch and J.
Morgan, focusing on proprietary trading in fixed-income derivatives. Samuel Po-Shing Wong is CEO and Chief Quant of 5Lattice Securities, a proprietary trading company in Hong Kong that develops quantitative trading algorithms and corresponding risk management methodologies from statistical data analysis and machine learning.
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