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Optimal Trading Strategies : Quantitative Approaches For Managing Market Impact And Trading Risk
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ISBN
:
9788120331129
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Publisher
:
Phi Learning
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Subject
:
Business & Management
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Binding
:
Hardcover
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Pages
:
400
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Year
:
2007
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525.0
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393.0
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Description
The goal of this book is to formulate a mathematical approach to address those questions and issues that arise during the implementation phase of the investment cycle—namely, putting in place a quantitative framework to identify measure and estimate transaction costs. With this goal in view, the text introduces mathematical techniques to forecast market impact cost and timing risks associated with trading strategies. The techniques provide investors with the means to analyze the trade-off between cost and risk and evaluate alternative strategies to determine the most appropriate strategy for the fund, and ultimately achieve best execution. The book presents cutting-edge advancements and clearly presents the deficiencies surrounding the transaction cost analysis and implementation decision making. Illustrated with large number of figures, as well as graphs, tables, and examples, this is a must read book for fund managers, those trading in shares, share brokers, financial consultants, and even individual investo Postgraduate students of management and finance will of course find the rigorous analysis of the trading strategies and the illustrative examples highly useful for their course. Table of Contents Foreword. Preface. Acknowledgments. Introduction. Transaction Costs. Unbundled Transaction Cost Components. Pre-Trade Analysis. Price Appreciation. Market Impact. Timing Risk. Opportunity Cost. The Holy Grail of Market Impact. Optimal Trading Strategies. Principal Bid Transactions. VWAP Trading Strategies. Advanced Trading Techniques. Post-Trade Analysis. References. Index.
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