Algorithmic and High-Frequency Trading

Preface How to read this book Part I. Microstructure and Empirical Facts: 1. Electronic markets and the limit order book 2. A primer on the microstructure of financial markets 3. Empirical and statistical evidence - prices and returns 4. Empirical and statistical evidence - activity and market quality Part II. Mathematical Tools: 5. Stochastic optimal control and stopping Part III. Algorithmic and High-Frequency Trading: 6. Optimal execution with continuous trading I 7. Optimal execution with continuous trading II 8. Optimal execution with limit and market orders 9. Targeting volume 10. Market making 11. Pairs trading and statistical arbitrage strategies 12. Order imbalance Appendix A. Stochastic calculus for finance Bibliography Glossary Subject index.