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Advanced Analytics and Algorithmic Trading

Welcome

Introduction

Release Notes
Dedication
Preface
Symbols

Financial Markets Fundamentals

1. Financial Markets
2. Mechanics 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
10. Generative Artificial Intelligence

Execution Algorithms

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

Market Making Algorithms

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

Investment Algorithms

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

Glossary and References

27. Glossary
References

Notebooks

Stochastic Calculus
Market Microstructure
Fair Price Estimation

Repository
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Quantitative investment fundamentals

Contents

23.1. Introduction
23.2. Exercises

23. Quantitative investment fundamentals#

23.1. Introduction#

23.2. Exercises#

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22. Reinforcement Learning and Market Making

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24. Mean reversion strategies

Contents

23.1. Introduction
23.2. Exercises

By Javier Sabio González

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