The concepts of trading costs and market impact often get overlooked in the grand scheme of investing. As this extremely informative book points out, though, this can be a costly omission.
Amacom, by Robert Kissell and Morton Glantz is not exactly light reading. In fact, many pages are filled with imposing mathematical formulas and derivations.
Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk by Robert Kissell — Reviews, Discussion, Bookclubs, Lists
Such explicitness is needed to fully cover this often complicated subject matter though. Trading costs are an overlooked factor in investment management, so it is worth the effort to wade through the math to get to the underlying principles at hand.
One of which is known as the "Traders dilemma". Simply put; trading too aggressively increases costs, while robert kissell optimal trading strategies too passively increases exposure to risk.
We are understand this concept at an intuitive level, but the authors manage to clearly and effectively quantify the dilemma enabling an investor to properly weigh the tradeoff and make the appropriate trading decisions. Kissell and Glantz also include a practical discussion of why traders select robert kissell optimal trading strategies popular Volume Weighted Price Strategy for trade automated charting forex software trading. It is accompanied by the most complete mathematical and quantitative analysis of VWAP I have encountered.
Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk - AbeBooks - Robert Kissell; Morton Glantz:
The intended audience for this book is the people on the trading desks of mutual funds and hedge funds who execute large-size orders for a living. This book is NOT for small day traders, or the casual investor who may trade frequently in his retirement account.
The technical treatment of the subject matter combined with examples from institutional trading render this text appropriate for a certain group of investors who realize that performance can be enhanced by pay close attention to market impact and costs of trading.
In summary, Kissell and Glantz brilliantly fill a significant gap in the literature and its applications in real-life trading.
Greig, CFA, CAIA, CMT's Blog momentum, ETF investing, portfolio strategy, registered investment advisor.
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