TY  - BOOK
AU  - Kissell,Robert
TI  - The science of algorithmic trading and portfolio management
SN  - 9780124016897 (hbk.)
AV  - HG4515.5 .K577 2014
PY  - 2014///
CY  - Amsterdam, Boston
PB  - Academic Press is an imprint of Elsevier
KW  - Investments
KW  - Algorithms
KW  - Stocks
KW  - Mathematical models
KW  - Program trading (Securities)
KW  - Portfolio management
N1  - Includes bibliographical references (pages 453-463) and index; Algorithmic trading -- Market microstructure -- Algorithmic transaction cost analysis -- Market impact models --  Estimating I-star model parameters -- Price volatility -- Advanced algorithmic forecasting techniques -- Algorithmic decision making framework -- Portfolio algorithms -- Portfolio construction -- Quantitative portfolio management techniques -- Cost index and multi-asset trading costs -- High frequency trading and black box models
ER  -