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

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2003 Hardcover Good Item may show signs of shelf wear. Pages may include limited notes and highlighting. Includes supplemental or companion materials if applicable. Access ... codes may or may not work. Connecting readers since 1972. Customer service is our top priority. Read more Show Less

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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."

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Editorial Reviews

From the Publisher

“…brilliantly fill[s] a significant gap in the literature and its applications in real-life trading…provides an accessible introduction to the science of trading…a thorough quantitative handling for those looking for the highest level of detail.— www.seekingalpha.com

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Product Details

  • ISBN-13: 9780814407240
  • Publisher: AMACOM
  • Publication date: 7/9/2003
  • Edition number: 1
  • Pages: 350
  • Product dimensions: 7.36 (w) x 10.00 (h) x 1.23 (d)

Meet the Author

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 (0-8144-0500-2).

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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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  • Anonymous

    Posted June 26, 2003

    One of a kind must-read!!! Authors fill a major gap in the literature.

    This book deals with an all-to-often forgotten component of investment science: ¿the science of trading¿. The authors brilliantly fill a major gap in the literature and its real-world applications. This book provides both an accessible introduction to the science of trading, and a rigorous quantitative treatment. So far, most of the investment science literature assumes trades to be instantaneous, cost-free and divorced from returns. But to the active trader, portfolio manager, plan sponsor or student of finance, these assumptions can mean the difference between a winning and a losing investment. The authors present a methodology that will allow the uninitiated to qualitatively distinguish between trading strategies and gauge their brokers¿ quality of trade execution. The more technical reader will be provided with techniques necessary for the construction of customized trading strategies, tailored to his particular investment objectives, be they portfolio rebalancing, statistical arbitrage, swing trading, etc¿ If you¿re directly or indirectly involved in the trading of securities, this book is not only an invaluable reference, it¿s a one of a kind must-read!

    1 out of 1 people found this review helpful.

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  • Anonymous

    Posted August 5, 2003

    Mathematical Toolbox

    Optimal Trading Strategies provides a complete set of power mathematical tools for professional investors. At the core of this toolbox is a simple optimization formula: min ç(x) s.t. R(x)<=R* OTS assists investors and fund managers in addressing the fundamental problem known as the 'Traders dilemma'. Trading too aggressively increases costs, while trading too passively increases exposure to risk. This formula calculates the minimum cost [ç] of a trade [x] while ensuring that the risk of the trade [R(x)] will be within an acceptable level of risk [R*] for an investor. This is a great concept, and OTS makes it powerful with it's collection of precision tools to calculate both cost and risk. Costs are unbundled into nine distinct components. Thorough mathematical formulas are provided for analyzing each component. Key examples are the 3 models in chapter 9 designed to calculate market impact of a potential trade. The 3 different approaches help clarify the elusive effects that imbalance, volatility, trading style, and liquidity have on market impact. There is also a practical discussion of why traders select the popular Volume Weighted Price Strategy (VWAP). It is accompanies by the most complete mathematical analysis of VWAP I've ever seen. Examples with solutions are even included for practice using these newly acquired tools. The authors of OTS utilize an unprecedented combination of mathematical theory and real world experience to create a powerful framework that focuses investors on maintaining equilibrium between acceptable levels of cost and risk. No professional investors toolkit will be complete without it. Their new dilemma is where to pick up a copy of OTS.

    1 out of 1 people found this review helpful.

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