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Algorithmic Trading and Quantitative Strategies

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275 views2 pages

Algorithmic Trading and Quantitative Strategies

Uploaded by

iyaddurrani
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Journal of Statistical Computation and Simulation

ISSN: (Print) (Online) Journal homepage: www.tandfonline.com/journals/gscs20

Algorithmic trading and quantitative strategies


by Raja Velu, Maxence Hardy, and Daniel Nehren, Boca Raton, FL, Chapman
and Hall, 2020, CRC Financial Mathematics Series, 434 + xvi pp., $ 94.75
(hardback), ISBN: 978-1498737166

Ramalingam Shanmugam

To cite this article: Ramalingam Shanmugam (2023) Algorithmic trading and quantitative
strategies, Journal of Statistical Computation and Simulation, 93:9, 1478-1478, DOI:
10.1080/00949655.2023.2168168

To link to this article: https://doi.org/10.1080/00949655.2023.2168168

Published online: 01 Feb 2023.

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https://www.tandfonline.com/action/journalInformation?journalCode=gscs20
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
2023, VOL. 93, NO. 9, 1478

BOOK REVIEW

Algorithmic trading and quantitative strategies, by Raja Velu, Maxence Hardy, and
Daniel Nehren,Boca Raton, FL, Chapman and Hall, 2020, CRC Financial Mathematics
Series, 434 + xvi pp., $ 94.75 (hardback), ISBN: 978-1498737166

In the trading such as stock market, investment analysis, commodity market discussions,
foreign exchanges, and insurance decision-making could be efficiently practised with pertinent
financial data and statistical computing techniques. Basic knowledge of mathematical statistics,
matrix theory, and computing would ease the difficulty of comprehending tough materials in
this well-written book.
There are 12 chapters and an up-to-date reference. The topics that are covered in this book
are history of trading, review of market structure, mechanics of trading, taxonomy of data ver-
sus algorithms for selection, univariate and multivariate time series models, state space modelling,
point process, time aggregated data analysis, machine learning processes, statistical trading strate-
gies, dynamic portfolio management, from market attention and sentiment to trading, modelling
trade data, market impact models, execution strategies, from client to trade reconciliation, data,
calibration, and simulation infrastructures. The bibliography is exhaustive. Every chapter has
challenging and pertinent exercises. This book is quite suitable for usage to be a textbook to
teach a graduate-level course. Lesser derivations are seen. More graphs and interpretations help
to easily comprehend the main ideas in this book.
Some salient features of this well-illustrated book are short versus long-term asset manage-
ment, currency exchanging concepts, auction theory and implementation, economic fundamentals
of freedom, liquidity concepts, autoregressive integrated moving average processes, asset return
analysis, multivariate time series techniques, principal component analysis, market volatility,
neural networking, filter rules, decomposition algorithms, high-frequency equity pairs trading,
mean-variance portfolio theory and its statistical underpinnings, portfolio allocations, from mar-
ket attention and sentiment in trading, normalizing analytics, market impacts, bench marking,
order routing, and multiple asset analysis among others.
I enjoyed reading this excellent book. I strongly recommend this book to mathematical and
applied statisticians generally and to portfolio analysts in particular.

Ramalingam Shanmugam
School of Health Administration, Texas State University, San Marcos, TX, USA
© 2023 Ramalingam Shanmugam
https://doi.org/10.1080/00949655.2023.2168168

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