Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk / Edition 1

Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk / Edition 1

by Robert Kissell, Morton Glantz
     
 

ISBN-10: 0814407242

ISBN-13: 9780814407240

Pub. Date: 07/09/2003

Publisher: AMACOM Books

"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

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Overview

"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."

Product Details

ISBN-13:
9780814407240
Publisher:
AMACOM Books
Publication date:
07/09/2003
Pages:
350
Product dimensions:
7.36(w) x 10.00(h) x 1.23(d)
Age Range:
17 Years

Table of Contents

"1. Transaction Cost

2. Unbundled Trading Costs

3. Pre-Trade Analysis

4. Price Appreciation

5. Market Impact

6. Timing Risk

7. Opportunity Cost

8. The Holy Grail of Market Impact

9. Optimal Trading Strategies

10. Principal Bid Transactions

11. VWAP Trading Strategies

12. Advanced Trading Techniques

13. Post Trade Analysis"

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