Oct 112013
 

Algorithmic trading and Direct Market Access (DMA) are important tools helping both buy and sell-side traders to achieve best execution. This book starts from the ground up to provide detailed explanations of both these techniques: An 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. Orders 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. Trading 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. Transaction costs can have a significant effect on investment returns. An in
Price:$47.49 (as of November 2, 2013 at 11:30 am UTC detailsProduct prices and availability are accurate as of the date/time indicated and are subject to change. Any price and availability information displayed on www.amazon.com at the time of purchase will apply to the purchase of this product.)

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Algorithmic Trading and DMA: An introduction to direct access trading strategies