{"product_id":"handbook-of-price-impact-modeling-hardcover","title":"Handbook of Price Impact Modeling - Hardcover","description":"\u003cdiv\u003e\u003cp style=\"text-align: right;\"\u003e\u003ca href=\"https:\/\/reportcopyrightinfringement.com\/\" target=\"_blank\" rel=\"nofollow\"\u003e\u003cb\u003eReport copyright infringement\u003c\/b\u003e\u003c\/a\u003e\u003c\/p\u003e\u003c\/div\u003e\u003cp\u003eby \u003cb\u003eKevin T. Webster\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eHandbook of Price Impact Modeling\u003c\/strong\u003e provides practitioners and students with a mathematical framework grounded in academic references to apply price impact models to quantitative trading and portfolio management. Automated trading is now the dominant form of trading across all frequencies. Furthermore, trading algorithm rise introduces new questions professionals must answer, for instance: \u003c\/p\u003e\u003cul\u003e \u003cp\u003e \u003c\/p\u003e \u003cli\u003eHow do stock prices react to a trading strategy?\u003c\/li\u003e \u003cp\u003e \u003c\/p\u003e \u003cli\u003eHow to scale a portfolio considering its trading costs and liquidity risk?\u003c\/li\u003e \u003cp\u003e \u003c\/p\u003e \u003cli\u003eHow to measure and improve trading algorithms while avoiding biases?\u003c\/li\u003e \u003c\/ul\u003e\u003cp\u003ePrice impact models answer these novel questions at the forefront of quantitative finance. Hence, practitioners and students can use this Handbook as a comprehensive, modern view of systematic trading.\u003c\/p\u003e\u003cp\u003eFor financial institutions, the Handbook's framework aims to minimize the firm's price impact, measure market liquidity risk, and provide a unified, succinct view of the firm's trading activity to the C-suite via analytics and tactical research. \u003c\/p\u003e\u003cp\u003eThe Handbook's focus on applications and everyday skillsets makes it an ideal textbook for a master's in finance class and students joining quantitative trading desks. Using price impact models, the reader learns how to: \u003c\/p\u003e\u003cul\u003e \u003cp\u003e \u003c\/p\u003e \u003cli\u003eBuild a market simulator to back test trading algorithms\u003c\/li\u003e \u003cp\u003e \u003c\/p\u003e \u003cli\u003eImplement closed-form strategies that optimize trading signals\u003c\/li\u003e \u003cp\u003e \u003c\/p\u003e \u003cli\u003eMeasure liquidity risk and stress test portfolios for fire sales\u003c\/li\u003e \u003cp\u003e \u003c\/p\u003e \u003cli\u003eAnalyze algorithm performance controlling for common trading biases\u003c\/li\u003e \u003cp\u003e \u003c\/p\u003e \u003cli\u003eEstimate price impact models using public trading tape\u003c\/li\u003e \u003c\/ul\u003e\u003cp\u003eFinally, the reader finds a primer on the database kdb+ and its programming language q, which are standard tools for analyzing high-frequency trading data at banks and hedge funds. \u003c\/p\u003e\u003cp\u003eAuthored by a finance professional, this book is a valuable resource for quantitative researchers and traders.\u003c\/p\u003e\u003ch3\u003eAuthor Biography\u003c\/h3\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eDr. Kevin Webster\u003c\/strong\u003e graduated with a PhD from Princeton University Operations Research and Financial Engineering Department (ORFE). At ORFE, he studied mathematical models applied to high-frequency trading, emphasizing price impact, and market-making models. He previously worked at Deutsche Bank and Citadel and is currently a Visiting Assistant Professor (Visiting Reader) in the Department of Mathematics at Imperial College London.\u003c\/p\u003e\u003cp\u003eDr. Webster created and taught the course, ORF 474 High-Frequency Markets: Models and Data Analysis, as a Visiting Lecturer at Princeton in 2015. His publications include, \u003cem\u003eThe Self-Financing Equation in High Frequency Markets\u003c\/em\u003e, \u003cem\u003eInformation and Inventories in High Frequency Trading\u003c\/em\u003e, \u003cem\u003eA Portfolio Manager's Guidebook to Trade Execution\u003c\/em\u003e, and \u003cem\u003eHigh Frequency Market Making\u003c\/em\u003e.\u003c\/p\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 416\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 0.94 x 9.21 x 6.14 IN\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eIllustrated:\u003c\/strong\u003e Yes\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e May 05, 2023\u003c\/div\u003e\n            ","brand":"BooksCloud","offers":[{"title":"Default Title","offer_id":52704570868019,"sku":"9781032328225","price":194.9,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0300\/5595\/6612\/files\/RWVWcTJiZjM2ZE5YTWMzZ3NaaE5zZz09.webp?v=1763359163","url":"https:\/\/www.vysn.com\/en-ca\/products\/handbook-of-price-impact-modeling-hardcover","provider":"VYSN","version":"1.0","type":"link"}