【书名】 Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk 

【作者】Robert Kissell and Morton Glantz 

【出版社】AMACOM, American Management Association 

【版本】2003

【出版日期】2003

【文件格式】DJVU

【文件大小】3.53MB

【页数】399

【ISBN出版号】9780814407240 

【资料类别】计量策略，交易风险，市场冲击

【市面定价】US$69.95

【扫描版还是影印版】文字版

【是否缺页】否

【关键词】Stocks; Investments; Market Impact; Trading Risk; Trading Strategy

【内容简介】

Minimizing trading costs can help maximize return.

"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."

【目录】

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