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Contents Preface ix CHAPTER 1 Overview of Program and Algorithmic Trading 1.1 Overview 1.2 The Emergence of Electronic Trading Networks 1.3 The Participants 1.4 The Impact of Decimalization 1.5 The Different Faces of Electronic Trading 1.6 Program Trading and The Crash of 1987 1.7 Conclusion CHAPTER 2 Automating Trade and Order Flow 2.1 Introduction 2.2 Internal Controls 2.3 Trade Cycle 2.4 Straight Through Processing and trade automation 2.5 Data Management 2.6 Order Management Systems (OMS) 2.7 Order Routing 2.8 Liquidity Shift 2.9 Conclusion CHAPTER 3 The Growth of Program and Algorithmic Trading 3.1 Introduction 3.2 A Sample Program Trade 3.3 The Downside of Program Trading 3.4 Market Growth and IT Spending 3.5 Conclusion CHAPTER 4 Alternative Execution Venues 4.1 Introduction 4.2 Structure of Exchanges 4.3 Rule 390 4.4 Exchanges Scramble to Consolidate 4.5 Arguments Against Exchanges 4.6 The Exchanges in the News 4.7 Conclusion CHAPTER 5 Algorithmic Strategies 5.1 Introduction 5.2 Algorithmic Penetration 5.3 Implementation Shortfall Measurement 5.4 Volume Weighted Average Price 5.5 VWAP Definitions 5.6 Time Weighted Average Price 5.7 Conclusion CHAPTER 6 Algorithmic Feasibility and Limitations 6.1 Introduction 6.2 Trade Structure 6.3 Algorithmic Feasibility 6.4 Algorithmic Trading Checklist 6.5 High Opportunity Cost 6.6 Newsflow Algorithms 6.7 Blackbox Trading for Fixed Income Instruments 6.8 Conclusion CHAPTER 7 Electronic Trading Networks 7.1 Introduction 7.2 Direct Market Access 7.3 Electronic Communication Networks (ECNs) 7.4 Shifting Trends 7.5 Conclusion CHAPTER 8 Effective Data Management 8.1 Introduction 8.2 Real Time Data 8.3 Strategy Enablers 8.4 Order Routing 8.5 Impact of Operations and Technology 8.6 Conclusion CHAPTER 9 Minimizing Execution Costs 9.1 Introduction 9.2 Components of Trading Costs 9.3 Price Impacts with Liquidity 9.4 Cost of Waiting 9.5 Explicit Costs 9.6 Conclusion CHAPTER 10 Transaction Cost Research (TCR) 10.1 Introduction 10.2 Post-Trade TCR 10.3 Pre-Trade TCR 10.4 The Future of Transaction Cost Research 10.5 Conclusion CHAPTER 11 Program and Algorithmic Trading for Different Asset Classes 11.1 Introduction 11.2 Development of Electronic Trading 11.3 Electronic Trading Platforms 11.4 Types of Systems 11.5 TRACE - Reform in Transparency 11.6 Foreign Exchange Markets 11.7 Conclusion CHAPTER 12 Regulation NMS and other Regulatory Challenges 12.1 Introduction 12.2 Regulatory Challenges 12.3 The National Market System (NMS) 12.4 Markets in Financial Instruments Directive MiFID in Europe 12.5 Regulatory and Exchange Reporting 12.6 Example of an exchange data processing system 12.7 Conclusion CHAPTER 13 Build vs. Buy 13.1 Introduction 13.2 Vendor as a Service Provider 13.3 The Strive to Stand Out 13.4 The Surge of Electronic Trading through Regulatory Changes 13.5 Hedge Fund Systems - Outsource or In-House 13.6 Conclusion CHAPTER 14 Trading Technology and Prime Brokerage 14.1 Introduction 14.2 Prime Broker Services 14.3 The Structure of Hedge Funds 14.4 The Impact of Increased Trade Automation 14.5 Different Markets and Asset Classes 14.6 The Prime Brokerage Market 14.7 Conclusion CHAPTER 15 Profiling The Leading Vendors 15.1 Introduction 15.2 Profiling Leading Vendors (Source: Aite Group - Algorithmic Trading Technology April 2005) 15.3 Order Management Systems Appendix Implementation of Trading Systems
Library of Congress Subject Headings for this publication:
Stocks -- Prices -- Mathematical models.
Program trading (Securities).
Stock exchanges.