Algorithmic trading methods : applications using advanced statistics, optimization, and machine learning techniques

Intro -- Title page -- Table of Contents -- Copyright -- Preface -- Acknowledgments -- Chapter 1. Introduction -- What is Electronic Trading? -- What is Algorithmic Trading? -- Trading Algorithm Classifications -- Trading Algorithm Styles -- Investment Cycle -- Investment Objective -- Information Content -- Investment Styles -- Investment Strategies -- Research Data -- Broker Trading Desks -- Research Function -- Sales Function -- Implementation Types -- Algorithmic Decision-Making Process -- Chapter 2. Algorithmic Trading -- Advantages -- Disadvantages -- Growth in Algorithmic Trading -- Market Participants -- Classifications of Algorithms -- Types of Algorithms -- Algorithmic Trading Trends -- Day of Week Effect -- Intraday Trading Profiles -- Trading Venue Classification -- Types of Orders -- Revenue Pricing Models -- Execution Options -- Algorithmic Trading Decisions -- Algorithmic Analysis Tools -- High Frequency Trading -- Direct Market Access -- Chapter 3. Transaction Costs -- What are transaction costs? -- What is best execution? -- What is the goal of implementation? -- Unbundled Transaction Cost Components -- Transaction Cost Classification -- Transaction Cost Categorization -- Transaction Cost Analysis -- Implementation Shortfall -- Implementation Shortfall Formulation -- Evaluating Performance -- Comparing Algorithms -- Independent Samples -- Median Test -- Distribution Analysis -- Chi-Square Goodness of Fit -- Kolmogorov-Smirnov Goodness of Fit -- Experimental Design -- Final Note on Posttrade Analysis -- Chapter 4. Market Impact Models -- Introduction -- Definition -- Derivation of Models -- I-Star Market Impact Model -- Model Formulation -- Chapter 5. Probability and Statistics -- Introduction -- Random Variables -- Probability Distributions -- Probability Distribution Functions -- Continuous Distribution Functions.