A Primer for Financial Engineering Financial Signal Processing and Electronic Trading
Auteurs : Akansu Ali N., Torun Mustafa U.
The book builds from the fundamentals, with the help of simple examples, clearly explaining the concepts to the level needed by an engineer, while showing their practical significance. Topics covered include an in depth examination of market microstructure and trading, a detailed explanation of High Frequency Trading and the 2010 Flash Crash, risk analysis and management, popular trading strategies and their characteristics, and High Performance DSP and Financial Computing. The book has many examples to explain financial concepts, and the presentation is enhanced with the visual representation of relevant market data. It provides relevant MATLAB codes for readers to further their study. Please visit the companion website on http://booksite.elsevier.com/9780128015612/
1) Introduction2) Financial Markets and Instruments3) Mathematical Preliminaries4) Fundamentals of Quantitative Finance5) Trading Strategies6) Risk Estimation and Management7) Order Execution and Limit Order Book8) Conclusions
Mustafa U. Torun received his BS and MS degrees from the Dokuz Eylul University, Turkey, in 2005 and 2007 respectively, both in electrical and electronics engineering. He received his Ph.D degree from the New Jersey Institute of Technology, Newark, NJ, in 2013, in electrical engineering. He published several papers and served as a peer reviewer in many journals and conferences in a wide range of topics including multi-resolution signal processing, statistical signal processing, pattern classification, neural networks, genetic algorithms; their applications in quantitative finance, electronic trading, high frequency trading, digital communications, digital imaging, biomedical engineering; and their implementations on general purpose graphics processing units (GP-GPU) and field programmable gate arrays (FPGA). His current interests include distributed systems, distributed algorithms, cloud computing, and massively parallel computing.
- Provides engineering perspective to financial problems
- In depth coverage of market microstructure
- Detailed explanation of High Frequency Trading and 2010 Flash Crash
- Explores risk analysis and management
- Covers high performance DSP & financial computing
Date de parution : 03-2015
Ouvrage de 156 p.
15x22.8 cm
Thème d’A Primer for Financial Engineering :
Mots-clés :
DSP; Financial computing; Signal Processing; Quantitative finance; Electronic trading