The Science of Algorithmic Trading and Portfolio Management
"Kissell... introduces the mathematical models for constructing, calibrating, and testing market impact models that calculate the change in stock price caused by a large trade or order, and presents an advanced portfolio optimization process that incorporates market impact and transaction costs directly into portfolio optimization."--ProtoView.com,March 2014"This book provides excellent coverage of the challenges faced by portfolio managers and traders in implementing investment ideas and the advanced modeling techniques to address these challenges."--Kumar Venkataraman, Southern Methodist University