Optimal Trading Strategies

Quantitative Approaches for Managing Market Impact and Trading Risk

Robert Kissel, Morton Glantz

382 pages, parution le 17/09/2003

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Résumé

Minimizing trading costs can help maximize return.

The decisions that investment professionals and fund managers make have a direct impact on investor return. Unfortunately, the best implementation methodologies are not widely disseminated throughout the professional community, compromising the best interests of funds, their managers, and ultimately the individual investor. But now there is a strategy that lets professionals make better decisions. This valuable reference answers crucial questions such as:

How do I compare strategies?
Should I trade aggressively or passively?
How do I estimate trading costs, "slice" an order, and measure performance?

and dozens more. Optimal Trading Strategies is the first book to give professionals the methodology and framework they need to make educated implementation decisions based on the objectives and goals of the funds they manage and the clients they serve.

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

L'auteur - Robert Kissel

Robert Kissell (Atlanta, GA) is director of trading research at a major provider of technology-based trading solutions. Morton Glantz (Dix Hills, NY) is the founder of Mort Glantz Associates, a consulting firm specializing in credit, strategic planning, and risk management. He is the author of Scientific Financial Management

L'auteur - Morton Glantz

(New York City) is the founder of Mort Glantz Associates.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Amacom
Auteur(s)	Robert Kissel, Morton Glantz
Parution	17/09/2003
Nb. de pages	382
Format	18 x 26
Couverture	Relié
Poids	930g
Intérieur	Noir et Blanc
EAN13	9780814407240
ISBN13	978-0-8144-0724-0