Quantitative trading : algorithms, analytics, data, models, optimization

Content: Introduction     Evolution of trading infrastructure     Quantitative strategies and time-scales    Statistical arbitrage and debates about EMH     Quantitative funds, mutual funds, hedge funds    Data, analytics, models, optimization, algorithms     Interdisciplinary nature of the subject and how the book can be used     Supplements and problems     Statistical Models and Methods for Quantitative Trading     Stylized facts on stock price data     Time series of low-frequency returns    Discrete price changes in high-frequency data    Brownian motion at the Paris Exchange and random walk down Wall Street     MPT as a \walking shoe" down Wall Street     Statistical underpinnings of MPT     Multifactor pricing models     Bayes, shrinkage, and Black-Litterman estimators    Bootstrapping and the resampled frontier    A new approach incorporating parameter uncertainty     Solution of the optimization problem     Computation of the optimal weight vector     Bootstrap estimate of performance and NPEB    From random walks to martingales that match stylized facts     From Gaussian to Paretian random walks    Random walks with optional sampling times    From random walks to ARIMA, GARCH     Neo-MPT involving martingale regression models    Incorporating time series e_ects in NPEB     Optimizing information ratios along e_cient frontier     An empirical study of neo-MPT     Statistical arbitrage and strategies beyond EMH     Technical rules and the statistical background    Time series, momentum, and pairs trading strategies     Contrarian strategies, behavioral _nance, and investors' cognitive biases     From value investing to global macro strategies     In-sample and out-of-sample evaluation    Supplements and problems     Active Portfolio Management and Investment Strategies     Active alpha and beta in portfolio management     Sources of alpha     Exotic beta beyond active alpha     A new approach to active portfolio optimization     Transaction costs, and long-short constraints     Components of cost of transaction    Long-short and other portfolio constraints     Multiperiod portfolio management     The Samuelson-Merton theory    Incorporating transaction costs into Merton's problem     Multiperiod capital growth and volatility pumping     Multiperiod mean-variance portfolio rebalancing     Dynamic mean-variance portfolio optimization     Dynamic portfolio selection     Supplementary notes and comments     Exercises    Econometrics of Transactions in Electronic Platforms     Transactions and transactions data    Models for high-frequency data    Roll's model of bid-ask bounce     Market microstructure model with additive noise    Estimation of integrated variance of Xt    Sparse sampling methods    Averaging method over subsamples     Method of two time-scales     Method of kernel smoothing: Realized kernels     Method of pre-averaging    From MLE of volatility parameter to QMLE of [X]T     Estimation of covariation of multiple assets    Asynchronicity and the Epps effect     Synchronization procedures    QMLE for covariance and correlation estimation     Multivariate realized kernels and two-scale estimators     Fourier methods     Fourier estimator of [X]T and spot volatility    Statistical properties of Fourier estimators    Fourier estimators of spot co-volatilities     Other econometric models involving TAQ    ACD models of inter-transaction durations     Self-exciting point process models    Decomposition of Di and generalized linear models     Joint modeling of point process and its marks    McCulloch and Tsay's decomposition    Realized GARCH and other predictive models    Jumps in e_cient price process and power variation    Supplementary notes and comments     Exercises     Limit Order Book: Data Analytics and Dynamic Models     From market data to limit order book (LOB)    Stylized facts of LOB data     Book price adjustment    Volume imbalance and other indicators     Fitting a multivariate point process to LOB data     Marketable orders as a multivariate point process     Empirical illustration    LOB data analytics via machine learning    Queueing models of LOB dynamics     Diffusion limits of the level-1 reduced-form model     Fluid limit of order positions     LOB-based queue-reactive model     Supplements and problems     Optimal Execution and Placement     Optimal execution with a single asset    Dynamic programming solution of problem (6.2)     Continuous-time models and calculus of variations     Myth{the optimal deterministic strategies     Multiplicative price impact model     The model and stochastic control problem     HJB equation for _nite-horizon case     In_nite-horizon case T = 1     Price manipulation and transient price impact    Optimal execution with LOB    Cost minimization     Optimal strategy for Model 1    Optimal strategy for Model 2     Closed-form solution for block-shaped LOBs    Optimal execution with portfolios    Optimal placement     Markov random walk model with mean reversion     Continuous-time Markov chain model     Supplements and problems    Market Making and Smart Order Routing     Ho and Stoll's model and the Avellanedo-Stoikov policy     Solution to the HJB equation and subsequent extensions     Impulse control involving limit and market orders    Impulse control for the market     Control formulation     Smart order routing and dark pools    Optimal order splitting among exchanges in SOR     The cost function and optimization problem     Optimal order placement across K exchanges    A stochastic approximation method    Censored exploration-exploitation for dark pools     The SOR problem and a greedy algorithm     Modi_ed Kaplan-Meier estimate ^ Ti     Exploration, exploitation, and optimal allocation     Stochastic Lagrangian optimization in dark pools     Lagrangian approach via stochastic approximation     Convergence of Lagrangian recursion to optimizer     Supplementary notes and comments     Exercises    Informatics, Regulation and Risk Management     Some quantitative strategies    Exchange infrastructure    Order gateway    Matching engine     Market data dissemination    Order fee structure     Colocation service     Clearing and settlement     Strategy informatics and infrastructure     Market data handling     Alpha engine     Order management    Order type and order qualifier    Exchange rules and regulations    SIP and Reg NMS    Regulation SHO     Other exchange-specific rules     Circuit breaker    Market manipulation    Risk management     Operational risk     Strategy risk     Supplementary notes and comments     Exercises    A Martingale Theory     Discrete-time martingales     Continuous-time martingales    Markov Chain and Related Topics     Generator Q of CTMC    Potential theory for Markov chains    Markov decision theory     Doubly Stochastic Self-Exciting Point Processes     Martingale theory, intensity process, self-excitation     Hawkes process: Compensator and stationarity    Estimation in point process models     Asymptotic theory and likelihood inference     Simulation of doubly stochastic SEPP    Weak Convergence and Limit Theorems     Donsker's theorem and its extensions     Queuing system and limit theorems