Anonymous shelf assessment
Overview of Algorithmic and High-Frequency Trading
Shelf score 7.5 / 10
On Algorithmic and High-Frequency Trading: An Overview · Cartea et al. · MIT Press
Published 23 March 2026
This text serves as a comprehensive guide to algorithmic execution and optimisation in trading.
Overview
Published by MIT Press in 2015, 'Algorithmic and High-Frequency Trading: An Overview' by Cartea et al. focuses on the intricacies of market microstructure and the mathematical foundations of execution algorithms. It is particularly aimed at execution specialists and algorithmic traders, providing insights into optimal execution strategies such as VWAP and TWAP, along with smart routing techniques.
The book is noted for its technical depth, making it suitable for practitioners who require a rigorous understanding of the quantitative aspects of trading. It addresses the complexities of market impact and offers a detailed examination of algorithmic trading strategies, making it a valuable resource for those involved in the financial markets.
By area & interest
Target Audience
This book is best suited for traders, quants, and technologists who are engaged in algorithmic trading and execution strategies.
Mathematical Rigor
The text is characterised by its mathematical rigor, providing a solid foundation for understanding the complexities of algorithmic trading.
Execution Algorithms
It offers a focused exploration of execution algorithms, including practical applications and theoretical underpinnings relevant to market microstructure.
Basis of this assessment
This assessment is based on the catalogue description and Google Books metadata.
Strengths
The book's strengths lie in its comprehensive approach to execution algorithms and its mathematical rigor, making it a valuable resource for practitioners in the field.
Limitations
Its technical nature may pose challenges for readers without a strong quantitative background, potentially limiting its accessibility.
Ideal reader
Ideal readers include execution specialists and algorithmic traders seeking an in-depth understanding of trading algorithms and market impact.