Algorithmic Trading: A Practitioner’s Guide

Product Description

Algorithmic Trading has grown dramatically, from a tool used by only the most sophisticated traders to one used daily by virtually every major investment firm and broker. Trading algorithms today have permeated trading in most asset classes, not only traditional assets like stocks, but also more exotic assets like cryptocurrencies.This book aims to provide portfolio managers, traders, and other finance professionals with in-depth information about how trading algorithms actually work in practice. The book provides detailed coverage of:• Single-order algorithms, such as Volume-Weighted Average Price (VWAP), Time-Weighted Average Price (TWAP), Percent of Volume (POV), and variants of the Implementation Shortfall algorithm.• Multi-order algorithms, such as Pairs Trading and Portfolio Trading algorithms.• Smart routers, including “smart market,” “smart limit,” and dark aggregators.• Trading performance measurement, including trading benchmarks, “algo wheels,” trading cost models, and other measurement issues.

Review

“True to its title, Jeff Bacidore’s
 
Algorithmic Trading:  A Practitioner’s Guide delivers a thorough and practical introduction to the modern world of execution algorithms.  Today’s algorithmic landscape is highly technical, varied and intimidating.  Jeff brings a unique combination of theoretical knowledge and years of practical experience building and using algos in a number of different contexts;  as a result, he provides an incredibly accessible framework from which to evaluate algo choices.  Are dark pools useful?  When should I choose a VWAP algo instead of an algo?  How do portfolio algos work?  How important is routing versus timing and placing of child orders?  How can I measure the efficacy of execution across various choices?  This book offers excellent heuristics to address these questions and almost any other practical question execution traders and portfolio managers face today.  I highly recommend this book to anyone who wants to understand the algorithmic execution landscape.”

–
Mark Carhart, Chief Investment Officer and a founding partner of Kepos Capital, former Partner and Co-Chief Investment Officer of the Quantitative Investment Strategies Group at Goldman Sachs Asset Management, and namesake of the Carhart four-factor model.

“In
Algorithmic Trading, Jeff Bacidore takes us from the simplest order splitting rules to the advanced workings of opportunistic strategies and smart order routers. Drawing on his deep experience as a designer and user of algorithms, he presents a comprehensive framework for classifying them and exploring their features. In the process, he addresses many of the fundamental questions: What sorts of problems are algorithmic strategies trying to solve? What trade-offs govern the selection and use of particular algorithms? What are their limitations? How do we measure their performance? The exposition deftly combines the institutional realities of markets, the economic intuitions behind the strategies, and numerical examples that illustrate their use. The reader will come away with an expanded appreciation and comprehension of how our modern financial markets actually operate.”

–
Joel Hasbrouck, Professor of Finance and 
Kenneth G. Langone Professor of Business, Stern School of Business, NYU.

”
Algorithmic Trading is one of the select few books that is both conceptual and practical. The content synthesizes Jeff’s vast experiences working at the NYSE, leading brokerages and a sophisticated quant fund, as well as currently consulting numerous institutional clients at all stages of the investment process. There are earlier excellent publications on this topic as well, but as global markets constantly evolve the reader will undoubtedly benefit from the up-to-date information and also from a thought-provoking overview of explosive market electronification across asset classes and geographi