Handbook of Price Impact Modeling

Handbook of Price Impact Modeling

Author: Kevin T Webster

Publisher: CRC Press

Published: 2023-05-05

Total Pages: 485

ISBN-13: 1000877663

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Handbook of Price Impact Modeling 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: How do stock prices react to a trading strategy? How to scale a portfolio considering its trading costs and liquidity risk? How to measure and improve trading algorithms while avoiding biases? Price 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. For 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. The 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: Build a market simulator to back test trading algorithms Implement closed-form strategies that optimize trading signals Measure liquidity risk and stress test portfolios for fire sales Analyze algorithm performance controlling for common trading biases Estimate price impact models using public trading tape Finally, 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. Authored by a finance professional, this book is a valuable resource for quantitative researchers and traders.


Discrete Choice Methods with Simulation

Discrete Choice Methods with Simulation

Author: Kenneth Train

Publisher: Cambridge University Press

Published: 2009-07-06

Total Pages: 399

ISBN-13: 0521766559

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This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.


Essentials of Marketing Analytics

Essentials of Marketing Analytics

Author: Joseph F. Hair (Jr.)

Publisher:

Published: 2024

Total Pages: 0

ISBN-13: 9781266876776

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"Preface We developed this new book with enthusiasm and great optimism. Marketing analytics is an exciting field to study, and there are numerous emerging opportunities for students at the undergraduate level, and particularly at the masterís level. We live in a global, highly competitive, rapidly changing world that is increasingly influenced by digital data, expanded analytical capabilities, information technology, social media, artificial intelligence, and many other recent developments. We believe this book will become the premier source for new and essential knowledge in data analytics, particularly for situations related to decision making that can benefit from marketing analytics, which is likely 80 percent of all challenges faced by organizations. Many of you have been asking us to write this book, and we are confident you will be pleased it is now available. This second edition of Essentials of Marketing Analytics was written to meet the needs of you, our customers. The text is concise, highly readable, and value-priced, yet it delivers the basic knowledge needed for an introductory text on marketing analytics. We provide you and your students with an exciting, up-to-date text and an extensive sup-plement package. In the following sections, we summarize what you will find when you examineóand we hope, adoptóthe second edition of Essentials of Marketing Analytics"--


Digital Marketing Essentials

Digital Marketing Essentials

Author: Cybellium

Publisher: YouGuide Ltd

Published:

Total Pages: 229

ISBN-13: 1836797001

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Welcome to the forefront of knowledge with Cybellium, your trusted partner in mastering the cutting-edge fields of IT, Artificial Intelligence, Cyber Security, Business, Economics and Science. Designed for professionals, students, and enthusiasts alike, our comprehensive books empower you to stay ahead in a rapidly evolving digital world. * Expert Insights: Our books provide deep, actionable insights that bridge the gap between theory and practical application. * Up-to-Date Content: Stay current with the latest advancements, trends, and best practices in IT, Al, Cybersecurity, Business, Economics and Science. Each guide is regularly updated to reflect the newest developments and challenges. * Comprehensive Coverage: Whether you're a beginner or an advanced learner, Cybellium books cover a wide range of topics, from foundational principles to specialized knowledge, tailored to your level of expertise. Become part of a global network of learners and professionals who trust Cybellium to guide their educational journey. www.cybellium.com


The Science of Algorithmic Trading and Portfolio Management

The Science of Algorithmic Trading and Portfolio Management

Author: Robert Kissell

Publisher: Academic Press

Published: 2013-10-01

Total Pages: 492

ISBN-13: 0124016936

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The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. - Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. - Helps readers design systems to manage algorithmic risk and dark pool uncertainty. - Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.


Fundamentals of Surgical Simulation

Fundamentals of Surgical Simulation

Author: Anthony G. Gallagher

Publisher: Springer Science & Business Media

Published: 2011-08-24

Total Pages: 384

ISBN-13: 0857297635

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Fundamentals of Surgical Simulation explains in detail, from a behavioural science/human factors perspective, why modern image guided medicine such as surgery, interventional cardiology and interventional radiology are difficult to learn and practice. Medicine is currently at a tipping point in terms of how physicians in procedural based medicine are trained. Fundamentals of Surgical Simulation helps drive this change and is a valuable resource for medical trainers and trainees alike. For trainers, this book gives explicit theoretical and applied information on how this new training paradigm works thus allowing them to tailor the application of simulation training to their program, no matter where in the world they work. For the trainee, it allows them to see and understand the rules of this new training paradigm thus allowing them to optimize their approach to training and reaching proficiency in as efficient a manner as possible. For the simulation researcher, engineer and medical profession Fundamentals of Surgical Simulation poses some difficult questions that require urgent unambiguous and agreed answers.


Science in the Age of Computer Simulation

Science in the Age of Computer Simulation

Author: Eric Winsberg

Publisher: University of Chicago Press

Published: 2010-10-30

Total Pages: 166

ISBN-13: 0226902048

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"Digital computer simulation helps study phenomena of great complexity, but how much do we know about the limits and possibilities of this new scientific practice? How do simulations compare to traditional experiments? And are they reliable? Scrutinizing these issues with a philosophical lens, Eric Winsberg explores the impact of simulation on such issues as the nature of scientific evidence, the role of values in science, the nature and role of fictions in science, and the relationship between simulation and experiment, theories and data, and theories at different levels of description"--Cover.


Perspectives in Marketing, Innovation and Strategy

Perspectives in Marketing, Innovation and Strategy

Author: Philip Kotler

Publisher: Taylor & Francis

Published: 2023-09-29

Total Pages: 277

ISBN-13: 1000961265

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This book provides guidelines for the pragmatic integration of new marketing tools and business strategies for managers, researchers and students to implement innovative strategies in various industries. Practical and actionable guidance is key to achieving high standards of strategic marketing across different organizations. This book offers a comprehensive overview of the application of diverse tools and strategic practices in the finance, e- commerce, fashion, entertainment and tourism industries, among others. It provides deep insights into consumer behaviour through extensive research and analysis in different sectors of business, especially during the COVID- 19 pandemic, as well as industry perspectives on shifts in consumption practices. It assesses buying behaviour and trends, demographic classifications, operational practices and the integration of technology in marketing and strategy. Part of the Contemporary Management Practices series, this book will be useful to practicing managers, researchers and students who are interested in marketing, business studies, management studies, innovation and business strategy and communications.