ALT - Algorithm trading and DMA 1

# 주요 알고리즘 트레이딩 소개 [출처]

 

1. Trend-following Strategies.( Momentum )
2. Arbitrage Opportunities. - Buying and selling simultaneouly
3. Index Fund Rebalancing. - Before index fund rebalancing
4. Mathematical Model-based Strategies. - Combination of assets (ex. for delta neutral)
5. Trading Range (Mean Reversion)
6. Volume-weighted Average Price (VWAP) - Execution method
7. Time Weighted Average Price (TWAP) - Execution method
8. Percentage of Volume (POV) - Execution method
9. Implementation Shortfall (IS) - Exeuction method
10. HF 마켓 메이킹 - Providing liquidity

• Papers
  
  • base2008 [NY]
  • market making and mean reversion [upenn]
  • optimal MM pricing model [Stanford]
  • intellegent version [Student]

• Blog
  
  • blog.quantinsti.com/market-making/

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# 번역 및 요약

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