{"product_id":"multi-period-trading-via-convex-optimization-9781680833287","title":"Multi-Period Trading via Convex Optimization","description":"\u003cp\u003e\u003cem\u003eMulti-Period Trading via Convex Optimization\u003c\/em\u003e considers a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. It describes a framework for single-period optimization, where the trades in each period are found by solving a convex optimization problem that trades off expected return, risk, transaction cost and holding cost such as the borrowing cost for shorting assets. It then describes a multi-period version of the trading method, where optimization is used to plan a sequence of trades, with only the first one executed, using estimates of future quantities that are unknown when the trades are chosen. The single period method traces back to Markowitz; the multi-period methods trace back to model predictive control. This monograph addresses the single-period and multi-period methods in one simple framework, giving a clear description of the development and the approximations made. The methods described can be thought of as good ways to exploit predictions, no matter how they are made. We have also developed a companion open-source software library that implements many of the ideas and methods described in the paper.\u003c\/p\u003e\u003cp\u003e\u003cem\u003eMulti-Period Trading via Convex Optimization\u003c\/em\u003e collects in one place the basic definitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework. It provides the reader with a unified, self-contained treatment, focusing on the practical issues that arise in multi-period trading. It will benefit anyone interested in the study of these methods and is also an ideal reference for a quantitative trader, or someone who works with or for, or employs, one.\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=AUTH-2014602\"\u003eStephen Boyd\u003c\/a\u003e, \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=AUTH-11314107\"\u003eEnzo Busseti\u003c\/a\u003e, \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=AUTH-848930\"\u003eSteven Diamond\u003c\/a\u003e\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Now Publishers\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 07\/28\/2017\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 92\u003cbr\u003e\u003cb\u003eBinding Type:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.31lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.21h x 6.14w x 0.19d\u003cbr\u003e\u003cb\u003eISBN13:\u003c\/b\u003e 9781680833287\u003cbr\u003e\u003cb\u003eISBN10:\u003c\/b\u003e 1680833286\u003cbr\u003e\u003cb\u003eBISAC Categories:\u003c\/b\u003e\u003cbr\u003e- \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=CAT-MAT\"\u003eMathematics\u003c\/a\u003e | \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=BISAC-MAT042000\"\u003eOptimization\u003c\/a\u003e\u003cbr\u003e- \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=CAT-TEC\"\u003eTechnology \u0026amp; Engineering\u003c\/a\u003e | \u003ca href=\"https:\/\/sureshotbooks-com.myshopify.com\/search?type=product%2Carticle%2Cpage\u0026amp;q=BISAC-TEC007000\"\u003eElectrical\u003c\/a\u003e\u003cbr\u003e","brand":"Now Publishers","offers":[{"title":"Default Title","offer_id":44542202675437,"sku":"9781680833287","price":86.67,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0550\/8097\/6621\/products\/img_93e30fb7-c395-4cf8-9796-dc9e0e031b5e.jpg?v=1701522749","url":"https:\/\/sureshotbooks.com\/products\/multi-period-trading-via-convex-optimization-9781680833287","provider":"SureShot Books Publishing LLC","version":"1.0","type":"link"}