Released July 2020
Algorithmic Trading: A Practitioner's Guide
provides portfolio managers, traders, and other finance professionals with in-depth information about how trading algorithms actually work in practice.
The information contained in the book is meant to be accessible to those who actually use trading algorithms and smart routers, and not simply those that design and build them.
In addition to covering how the most widely used algorithms work, the book also discusses how to most effectively evaluate algo performance .
Specifically, the book provides detailed coverage of:
Single-order algorithms, such as VWAP, TWAP, 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.
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