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Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk
 
 
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Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk [Hardcover]

Robert Kissell (Author), Morton Glantz (Author)
5.0 out of 5 stars  See all reviews (9 customer reviews)

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."..brilliantly fill[s] a significant gap in the literature and its applications in real-life trading...provides an accessible introduction to the science of trading...a thorough quantitative handling for those looking for the highest level of detail.-- www.seekingalpha.com

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'The decisions that investment professionals and fund managers make have a direct impact on investor return. Unfortunately, the best implementation methodologies are not widely disseminated throughout the professional community, compromising the best interests of funds, their managers, and ultimately the individual investor. But now there is a strategy that lets professionals make better decisions. This valuable referenceanswers crucial questions such as: * How do I compare strategies? * Should I trade aggressively or passively? * How do I estimate trading costs, ''slice'' an order, and measure performance? and dozens more. 'Optimal Trading Strategies' is the first book to give professionals the methodology and framework they need to make educated implementation decisions based on the objectives and goals of the funds they manage and the clients they serve.'
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There are several people who have provided significant comments and contributions and without their help the writing of this book would not have been possible. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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9 Reviews
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5.0 out of 5 stars (9 customer reviews)
 
 
 
 
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5.0 out of 5 stars Great from start to end, Sep 16 2003
This review is from: Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk (Hardcover)
This book was well written for the rookies and professionals. Authors explained the trading process from pre-trade to post-trade analysis, with added topics like impact cost and VWAP. Great explanations. A must have desknotes.
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5.0 out of 5 stars Extraordinary Financial Resource!, Aug 13 2003
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This review is from: Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk (Hardcover)
This is an excellent financial resource for the seasoned professional or enthusiastic student. The book is the first of its kind to address finance and investing from the point of view of the trader.

It widely known that improper implementation of an investment decision can negate much of a manager's anticipated alpha, but how exactly should managers examine the set of potential implementation schemes? The solution to this question is the primary focus of Optimal Trading Strategies. The authors provide a very thorough investigation of transaction costs (e.g. when, where, and why they arise) and continue with an easy-to-understand analytical process to estimate, manage, and control those costs. The authors' approach to developing these "optimal trading strategies" also turns out to be the basis for achieving "best execution." The net result to managers is higher returns. I highly recommend this reference for anyone interested in understanding all aspects of finance and investment theory, and it makes a wonderful complement to graduate level texts.

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5.0 out of 5 stars A worthy read for investment professionals., Aug 7 2003
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"qlandrew" (Stony Brook, New York) - See all my reviews
This review is from: Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk (Hardcover)
Ever since Datek took advantage of the Small Order Execution System and made day-trading popular, every day people have been looking for a sensible way to make money trading stocks.
They are now learning the tools that large investment companies have been using for years. Every basis point counts.

Anybody interested in Program Trading needs to read this book.
I cannot recommend this more highly, and this comes from a comlpetely unbiased review of an excellent book.

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