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Advanced Analytics and Algorithmic Trading

Welcome

Introduction

Release Notes
Dedication
Preface
Symbols

Financial Fundamentals

1. Financial Markets
2. Market microstructure
3. Algorithmic Trading

Modelling Fundamentals

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

Execution Algorithms

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

Market Making Algorithms

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

Investment Algorithms

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

Glossary and References

27. Glossary
28. References

Repository
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Glossary

27. Glossary#

Term: Description

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26. Optimal portfolios

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28. References

By Javier Sabio González

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