خرید و دانلود نسخه کامل کتاب The science of algorithmic trading and portfolio management – Original PDF

Managers use algorithms in a variety of ways. Money management funds— mutual and index funds, pension plans, quantitative funds and even hedge funds—use algorithms to implement investment decisions. In these cases, money managers use different stock selection and portfolio construction techniques to determine their preferred holdings, and then employ algo- rithms to implement those decisions. Algorithms determine the best way to slice orders and trade over time. They determine appropriate price, time, and quantity of shares (size) to enter the market. Often, these algorithms make decisions independent of any human interaction. Similar to a more antiquated, manual market-making approach, broker dealers and market makers now use automated algorithms to provide liquidity to the marketplace. As such, these parties are able to make markets in a broader spectrum of securities electronically rather than manually, cutting costs of hiring additional traders.