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Advanced Analytics and Algorithmic Trading

Welcome

Introduction

Release Notes
Dedication
Preface
Symbols

Financial Markets Fundamentals

1. Financial Markets
2. Overview of Financial Instruments
3. Market microstructure
4. Algorithmic Trading

Financial Modelling Fundamentals

5. Introduction to Bayesian Modelling
6. Causal inference
7. Stochastic Calculus
8. Stochastic optimal control
9. Data-driven methods

Execution Algorithms

10. Execution fundamentals
11. Modelling the Limit Order Book
12. The Almgren - Chriss Framework
13. Execution tactics

Market Making Algorithms

14. Market Making fundamentals
15. Fair price estimation
16. Liquidity modelling
17. Modelling the request for quote process
18. The Avellaneda and Stoikov Framework
19. Enriching the Avellaneda and Stoikov Model
20. Hedging strategies
21. Reinforcement Learning and Market Making

Investment Algorithms

22. Quantitative investment fundamentals
23. Mean reversion strategies
24. Trend following strategies
25. Arbitrage Strategies
26. Factor Investing
27. Optimal portfolios

Glossary and References

27. Glossary
References

Notebooks

Stochastic Calculus
Fair Price Estimation

Repository
Open issue

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Algorithmic Trading

Contents

4.1. Introduction
4.2. Exercises

4. Algorithmic Trading#

4.1. Introduction#

4.2. Exercises#

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3. Market microstructure

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5. Introduction to Bayesian Modelling

Contents

4.1. Introduction
4.2. Exercises

By Javier Sabio González

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