ISBN 13 : 978-1032328225

Sommaire :
Preface
I Introduction
1. Introduction to Modeling Price Impact

II Acting on Price Impact
2. Mathematical Models of Price Impact
3. Applications of Price Impact Models
4. Further Applications of Price Impact Models

III Measuring Price Impact
5. An Introduction to the Mathematics of Causal Inference
6. Dealing with Biases when Fitting Price Impact Models
7. Empirical Analysis of Price Impact Models

IV Appendix
A. Using Kdb+ for Trading Models
B. Functional Convergence Theorems for Microstructure
C. Solutions to Exercises

Bibliography
Index

Langue : Anglais

Lieu d'édition : LONDON

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque