Market Impact Models and the Implementation of Portfolio Trades
Almgren & Chriss · 2003 · Risk Books
Market Impact Models and the Implementation of Portfolio Trades provides a comprehensive exploration of market microstructure and quantitative finance, focusing on the effects of trading on market prices. The authors, Almgren and Chriss, delve into the mathematical modelling of trading strategies and their implications for execution and portfolio management.
- Market microstructure
- Quantitative finance