Editorial Reviews:
Synopsis
pAlgorithmic trading and Direct Market Access (DMA) are important tools helping both buy and sell-side traders to achieve best execution./p pThis book starts from the ground up to provide detailed explanations of both these techniques:/p ul liAn introduction to the different types of execution is followed by a review of market microstructure theory. Throughout the book examples from empirical studies bridge the gap between the theory and practice of trading./li liOrders are the fundamental building blocks for any strategy. Market, limit, stop, hidden, iceberg, peg, routed and immediate-or-cancel orders are all described with illustrated examples./li liTrading algorithms are explained and compared using charts to show potential trading patterns. TWAP, VWAP, Percent of Volume, Minimal Impact, Implementation Shortfall, Adaptive Shortfall, Market On Close and Pairs trading algorithms are all covered, together with common variations./li liTransaction costs can have a significant effect on investment returns. An in-depth example shows how these may be broken down into constituents such as market impact, timing risk, spread and opportunity cost and other fees./li liCoverage includes all the major asset classes, from equities to fixed income, foreign exchange and derivatives. Detailed overviews for each of the world's major markets are provided in the appendices./li liOrder placement and execution tactics are covered in more detail, as well as potential enhancements (such as short-term forecasts), for those interested in the specifics of implementing these strategies./li liCutting edge applications such as portfolio and multi-asset trading are also considered, as are handling news and data mining/artificial intelligence./li /ul pThere is also a website for this book at www.algo-dma.com/p
