Cambridge University Press Algorithmic and High-Frequency Trading

I'm a graduate student of Computational Finance and I found this book to be both challenging for my education level and extremely interesting. It provides an extensive introduction to concepts such as market microstructure, touching on the fundamental of stochastic calculus before introducing the stochastic optimisation chapter. The second part of the book is exclusively dedicated to algorithmic trading models. I found useful to support this book with Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability) by Pham, which provides an in-depth mathematical structure where the reader may need it. Overall a great book, suggested to any student willing to get a self-contained guide for the field of algorithmic trading.

Die systematischen, finanztechnischen Überlegungen zur Darstellung der Algorithmen des High Frequency Tradings (HFT) sind hilfreich bei Beurteilung der Verfahrensweise von Dark Pools.

Amazing collection of trading problems and how to solve them. Not for the casually reader, but those willing to put in the effort will gain lots of insight. Some of the models need to be peppered with real world nuances to make them practical. My sense is that they wrote this book as a demonstration of how to apply control methods to algorithmic trading, rather than providing just a collection of rules of thumb. All in all, well worth the price.

Undoubtedly one of the best books out there on this topic. It is on the mathematical end but rooted on data and realistic applications. Those who want to learn about the maths behind trading algorithms must start here.

Useless Dont waste money