The Science of Algorithmic Trading and Portfolio Management


Author: Robert Kissell
Publisher: Academic Press
ISBN: 0124016936
Category: Business & Economics
Page: 496
View: 5357

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The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. Helps readers design systems to manage algorithmic risk and dark pool uncertainty. Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.

Multi-Asset Risk Modeling

Techniques for a Global Economy in an Electronic and Algorithmic Trading Era
Author: Morton Glantz,Robert Kissell
Publisher: Academic Press
ISBN: 0124016944
Category: Business & Economics
Page: 544
View: 8927

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Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. Covers all asset classes Provides mathematical theoretical explanations of risk as well as practical examples with empirical data Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities

Algorithmic Trading

Winning Strategies and Their Rationale
Author: Ernie Chan
Publisher: John Wiley & Sons
ISBN: 1118460146
Category: Business & Economics
Page: 207
View: 1944

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Markets are now almost always electronic, and as a result of decimalization, algorithmic trading is booming. Algorithmic trading (or "algo trading" as it is referred) is the use of computer programs (such as Excel or MatLab) for entering and executing trading orders with the computer algorithm deciding on certain aspects of the order, such as the timing, price, or even the final quantity of the order. Algorithmic trading may be used in any investment strategy, including market-making, inter-market spreading, arbitrage, or pure speculation (including trend following). The investment decision and implementation may be augmented at any stage with algorithmic support or may operate completely automatically. Algorithmic Trading provides an understanding of the core concepts in quantitative trading, an understanding of the process of using mathematics and statistics to analyze the profitability of a trading model, a “hands on” experience of how backtesting is done, and an understanding of pair trading in stocks, ETFs, futures and currencies. Chan shows investors how to use Excel and MatLab to build their own algo trading tools, as well as FX1, an FX trading platform growing in popularity.He also shows investors how to conduct quantitative research and analysis, and turn quantitative trading strategies into profits using stocks, ETFs, futures, and other financial instruments.

Electronic and Algorithmic Trading Technology

The Complete Guide
Author: Kendall Kim
Publisher: Academic Press
ISBN: 9780080548869
Category: Business & Economics
Page: 224
View: 5542

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Electronic and algorithmic trading has become part of a mainstream response to buy-side traders’ need to move large blocks of shares with minimum market impact in today’s complex institutional trading environment. This book illustrates an overview of key providers in the marketplace. With electronic trading platforms becoming increasingly sophisticated, more cost effective measures handling larger order flow is becoming a reality. The higher reliance on electronic trading has had profound implications for vendors and users of information and trading products. Broker dealers providing solutions through their products are facing changes in their business models such as: relationships with sellside customers, relationships with buyside customers, the importance of broker neutrality, the role of direct market access, and the relationship with prime brokers. Electronic and Algorithmic Trading Technology: The Complete Guide is the ultimate guide to managers, institutional investors, broker dealers, and software vendors to better understand innovative technologies that can cut transaction costs, eliminate human error, boost trading efficiency and supplement productivity. As economic and regulatory pressures are driving financial institutions to seek efficiency gains by improving the quality of software systems, firms are devoting increasing amounts of financial and human capital to maintaining their competitive edge. This book is written to aid the management and development of IT systems for financial institutions. Although the book focuses on the securities industry, its solution framework can be applied to satisfy complex automation requirements within very different sectors of financial services – from payments and cash management, to insurance and securities. Electronic and Algorithmic Trading: The Complete Guide is geared toward all levels of technology, investment management and the financial service professionals responsible for developing and implementing cutting-edge technology. It outlines a complete framework for successfully building a software system that provides the functionalities required by the business model. It is revolutionary as the first guide to cover everything from the technologies to how to evaluate tools to best practices for IT management. First book to address the hot topic of how systems can be designed to maximize the benefits of program and algorithmic trading Outlines a complete framework for developing a software system that meets the needs of the firm's business model Provides a robust system for making the build vs. buy decision based on business requirements

Optimal Trading Strategies

Quantitative Approaches for Managing Market Impact and Trading Risk
Author: Robert Kissell,Morton Glantz,Roberto Malamut
Publisher: Amacom Books
ISBN: 9780814407240
Category: Business & Economics
Page: 382
View: 3599

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"The decisions that investment professionals and fund managers make have a direct impact on investor return. Unfortunately, the best implementation methodologies are not widely disseminated throughout the professional community, compromising the best interests of funds, their managers, and ultimately the individual investor. But now there is a strategy that lets professionals make better decisions. This valuable reference answers crucial questions such as: * How do I compare strategies? * Should I trade aggressively or passively? * How do I estimate trading costs, ""slice"" an order, and measure performance? and dozens more. Optimal Trading Strategies is the first book to give professionals the methodology and framework they need to make educated implementation decisions based on the objectives and goals of the funds they manage and the clients they serve."

High-Frequency Trading

A Practical Guide to Algorithmic Strategies and Trading Systems
Author: Irene Aldridge
Publisher: John Wiley and Sons
ISBN: 9780470579770
Category: Business & Economics
Page: 368
View: 352

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A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency trading. This book covers all aspects of high-frequency trading, from the business case and formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies, with market microstructure, event arbitrage, and deviations arbitrage discussed in great detail. Contains the tools and techniques needed for building a high-frequency trading system Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation Written by well-known industry professional Irene Aldridge Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.

Handbook of High Frequency Trading


Author: Greg N. Gregoriou
Publisher: Academic Press
ISBN: 0128023627
Category: Business & Economics
Page: 494
View: 4788

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This comprehensive examination of high frequency trading looks beyond mathematical models, which are the subject of most HFT books, to the mechanics of the marketplace. In 25 chapters, researchers probe the intricate nature of high frequency market dynamics, market structure, back-office processes, and regulation. They look deeply into computing infrastructure, describing data sources, formats, and required processing rates as well as software architecture and current technologies. They also create contexts, explaining the historical rise of automated trading systems, corresponding technological advances in hardware and software, and the evolution of the trading landscape. Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy. Answers all questions about high frequency trading without being limited to mathematical modelling Illuminates market dynamics, processes, and regulations Explains how high frequency trading evolved and predicts its future developments

Applied Quantitative Methods for Trading and Investment


Author: Christian L. Dunis,Jason Laws,Patrick Naïm
Publisher: John Wiley & Sons
ISBN: 0470871342
Category: Business & Economics
Page: 426
View: 3248

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This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio

Optimal Sports Math, Statistics, and Fantasy


Author: Robert Kissell,James Poserina
Publisher: Academic Press
ISBN: 0128052937
Category: Mathematics
Page: 352
View: 857

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Optimal Sports Math, Statistics, and Fantasy provides the sports community—students, professionals, and casual sports fans—with the essential mathematics and statistics required to objectively analyze sports teams, evaluate player performance, and predict game outcomes. These techniques can also be applied to fantasy sports competitions. Readers will learn how to: Accurately rank sports teams Compute winning probability Calculate expected victory margin Determine the set of factors that are most predictive of team and player performance Optimal Sports Math, Statistics, and Fantasy also illustrates modeling techniques that can be used to decode and demystify the mysterious computer ranking schemes that are often employed by post-season tournament selection committees in college and professional sports. These methods offer readers a verifiable and unbiased approach to evaluate and rank teams, and the proper statistical procedures to test and evaluate the accuracy of different models. Optimal Sports Math, Statistics, and Fantasy delivers a proven best-in-class quantitative modeling framework with numerous applications throughout the sports world. Statistical approaches to predict winning team, probabilities, and victory margin Procedures to evaluate the accuracy of different models Detailed analysis of how mathematics and statistics are used in a variety of different sports Advanced mathematical applications that can be applied to fantasy sports, player evaluation, salary negotiation, team selection, and Hall of Fame determination

Quantitative Equity Investing

Techniques and Strategies
Author: Frank J. Fabozzi,Sergio M. Focardi,Petter N. Kolm
Publisher: John Wiley & Sons
ISBN: 9780470617526
Category: Business & Economics
Page: 512
View: 7140

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A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained. Written by a solid author team who has extensive financial experience in this area Presents state-of-the art quantitative strategies for managing equity portfolios Focuses on the implementation of quantitative equity asset management Outlines effective analysis, optimization methods, and risk models In today's financial environment, you have to have the skills to analyze, optimize and manage the risk of your quantitative equity investments. This guide offers you the best information available to achieve this goal.

Evidence-Based Technical Analysis

Applying the Scientific Method and Statistical Inference to Trading Signals
Author: David Aronson
Publisher: John Wiley & Sons
ISBN: 1118160584
Category: Business & Economics
Page: 544
View: 5656

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Evidence-Based Technical Analysis examines how you can apply the scientific method, and recently developed statistical tests, to determine the true effectiveness of technical trading signals. Throughout the book, expert David Aronson provides you with comprehensive coverage of this new methodology, which is specifically designed for evaluating the performance of rules/signals that are discovered by data mining.

Algorithmic Trading

Concepts, Perspectives, and Technical Notes
Author: Zeyu Zheng
Publisher: Createspace Independent Publishing Platform
ISBN: 9781545219331
Category:
Page: 198
View: 3135

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The purpose of this book is to provide an in-depth overview of some of the advanced techniques used in algorithmic trading. It is geared towards a wide spectrum of uses. The book will be of interest to proprietary traders, fund managers, investment researchers, and sophisticated individual investors. Topics covered include technical analysis, market neutrality, use of news, transaction cost analysis, derivatives, and high-frequency trading. A broad range of asset classes, including equity, bonds, currencies, and commodities, has been kept in mind when these topics are discussed. Building algorithmic trading strategies isn't predicated on being a market expert. Critical thinking and some acquaintance with statistics will be sufficient to get one started. Readers shall expect to learn most of the basic concepts and make competent use of the advanced techniques generally employed by market professionals in the field of algorithmic trading.

Financial Trading and Investing


Author: John L. Teall
Publisher: Academic Press
ISBN: 0128111178
Category: Business & Economics
Page: 522
View: 3099

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Financial Trading and Investing, Second Edition, delivers the most current information on trading and market microstructure for undergraduate and master’s students. Without demanding a background in econometrics, it explores alternative markets and highlights recent regulatory developments, implementations, institutions and debates. New explanations of controversial trading tactics (and blunders), such as high-frequency trading, dark liquidity pools, fat fingers, insider trading, and flash orders emphasize links between the history of financial regulation and events in financial markets. New sections on valuation and hedging techniques, particularly with respect to fixed income and derivatives markets, accompany updated regulatory information. In addition, new case studies and additional exercises are included on a website that has been revised, expanded and updated. Combining theory and application, the book provides the only up-to-date, practical beginner's introduction to today's investment tools and markets. Concentrates on trading, trading institutions, markets and the institutions that facilitate and regulate trading activities Introduces foundational topics relating to trading and securities markets, including auctions, market microstructure, the roles of information and inventories, behavioral finance, market efficiency, risk, arbitrage, trading technology, trading regulation and ECNs Covers market and technology advances and innovations, such as execution algo trading, Designated Market Makers (DMMs), Supplemental Liquidity Providers (SLPs), and the Super Display Book system (SDBK)

Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments

Developing Predictive-model-based Trading Systems Using TSSB
Author: David Aronson,Timothy Masters
Publisher: Createspace Independent Pub
ISBN: 9781489507716
Category: Business & Economics
Page: 520
View: 4008

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This book serves two purposes. First, it teaches the importance of using sophisticated yet accessible statistical methods to evaluate a trading system before it is put to real-world use. In order to accommodate readers having limited mathematical background, these techniques are illustrated with step-by-step examples using actual market data, and all examples are explained in plain language. Second, this book shows how the free program TSSB (Trading System Synthesis & Boosting) can be used to develop and test trading systems. The machine learning and statistical algorithms available in TSSB go far beyond those available in other off-the-shelf development software. Intelligent use of these state-of-the-art techniques greatly improves the likelihood of obtaining a trading system whose impressive backtest results continue when the system is put to use in a trading account. Among other things, this book will teach the reader how to: Estimate future performance with rigorous algorithms Evaluate the influence of good luck in backtests Detect overfitting before deploying your system Estimate performance bias due to model fitting and selection of seemingly superior systems Use state-of-the-art ensembles of models to form consensus trade decisions Build optimal portfolios of trading systems and rigorously test their expected performance Search thousands of markets to find subsets that are especially predictable Create trading systems that specialize in specific market regimes such as trending/flat or high/low volatility More information on the TSSB program can be found at TSSBsoftware dot com.

Building Algorithmic Trading Systems

A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading
Author: Kevin Davey
Publisher: John Wiley & Sons
ISBN: 111877888X
Category: Business & Economics
Page: 288
View: 8335

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Develop your own trading system with practical guidance and expert advice In Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Training, award-winning trader Kevin Davey shares his secrets for developing trading systems that generate triple-digit returns. With both explanation and demonstration, Davey guides you step-by-step through the entire process of generating and validating an idea, setting entry and exit points, testing systems, and implementing them in live trading. You'll find concrete rules for increasing or decreasing allocation to a system, and rules for when to abandon one. The companion website includes Davey's own Monte Carlo simulator and other tools that will enable you to automate and test your own trading ideas. A purely discretionary approach to trading generally breaks down over the long haul. With market data and statistics easily available, traders are increasingly opting to employ an automated or algorithmic trading system—enough that algorithmic trades now account for the bulk of stock trading volume. Building Algorithmic Trading Systems teaches you how to develop your own systems with an eye toward market fluctuations and the impermanence of even the most effective algorithm. Learn the systems that generated triple-digit returns in the World Cup Trading Championship Develop an algorithmic approach for any trading idea using off-the-shelf software or popular platforms Test your new system using historical and current market data Mine market data for statistical tendencies that may form the basis of a new system Market patterns change, and so do system results. Past performance isn't a guarantee of future success, so the key is to continually develop new systems and adjust established systems in response to evolving statistical tendencies. For individual traders looking for the next leap forward, Building Algorithmic Trading Systems provides expert guidance and practical advice.

The Quants

How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
Author: Scott Patterson
Publisher: Crown Business
ISBN: 9780307453396
Category: Business & Economics
Page: 352
View: 7581

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With the immediacy of today’s NASDAQ close and the timeless power of a Greek tragedy, The Quants is at once a masterpiece of explanatory journalism, a gripping tale of ambition and hubris, and an ominous warning about Wall Street’s future. In March of 2006, four of the world’s richest men sipped champagne in an opulent New York hotel. They were preparing to compete in a poker tournament with million-dollar stakes, but those numbers meant nothing to them. They were accustomed to risking billions. On that night, these four men and their cohorts were the new kings of Wall Street. Muller, Griffin, Asness, and Weinstein were among the best and brightest of a new breed, the quants. Over the prior twenty years, this species of math whiz--technocrats who make billions not with gut calls or fundamental analysis but with formulas and high-speed computers--had usurped the testosterone-fueled, kill-or-be-killed risk-takers who’d long been the alpha males the world’s largest casino. The quants helped create a digitized money-trading machine that could shift billions around the globe with the click of a mouse. Few realized, though, that in creating this unprecedented machine, men like Muller, Griffin, Asness and Weinstein had sowed the seeds for history’s greatest financial disaster. Drawing on unprecedented access to these four number-crunching titans, The Quants tells the inside story of what they thought and felt in the days and weeks when they helplessly watched much of their net worth vaporize--and wondered just how their mind-bending formulas and genius-level IQ’s had led them so wrong, so fast.

Inside the Black Box

A Simple Guide to Quantitative and High Frequency Trading
Author: Rishi K. Narang
Publisher: John Wiley & Sons
ISBN: 1118416996
Category: Business & Economics
Page: 336
View: 2294

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New edition of book that demystifies quant and algo trading In this updated edition of his bestselling book, Rishi K Narang offers in a straightforward, nontechnical style—supplemented by real-world examples and informative anecdotes—a reliable resource takes you on a detailed tour through the black box. He skillfully sheds light upon the work that quants do, lifting the veil of mystery around quantitative trading and allowing anyone interested in doing so to understand quants and their strategies. This new edition includes information on High Frequency Trading. Offers an update on the bestselling book for explaining in non-mathematical terms what quant and algo trading are and how they work Provides key information for investors to evaluate the best hedge fund investments Explains how quant strategies fit into a portfolio, why they are valuable, and how to evaluate a quant manager This new edition of Inside the Black Box explains quant investing without the jargon and goes a long way toward educating investment professionals.

Automated Trading with R

Quantitative Research and Platform Development
Author: Chris Conlan
Publisher: Apress
ISBN: 1484221788
Category: Computers
Page: 205
View: 9645

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Learn to trade algorithmically with your existing brokerage, from data management, to strategy optimization, to order execution, using free and publicly available data. Connect to your brokerage’s API, and the source code is plug-and-play. Automated Trading with R explains automated trading, starting with its mathematics and moving to its computation and execution. You will gain a unique insight into the mechanics and computational considerations taken in building a back-tester, strategy optimizer, and fully functional trading platform. The platform built in this book can serve as a complete replacement for commercially available platforms used by retail traders and small funds. Software components are strictly decoupled and easily scalable, providing opportunity to substitute any data source, trading algorithm, or brokerage. This book will: Provide a flexible alternative to common strategy automation frameworks, like Tradestation, Metatrader, and CQG, to small funds and retail traders Offer an understanding of the internal mechanisms of an automated trading system Standardize discussion and notation of real-world strategy optimization problems What You Will Learn Understand machine-learning criteria for statistical validity in the context of time-series Optimize strategies, generate real-time trading decisions, and minimize computation time while programming an automated strategy in R and using its package library Best simulate strategy performance in its specific use case to derive accurate performance estimates Understand critical real-world variables pertaining to portfolio management and performance assessment, including latency, drawdowns, varying trade size, portfolio growth, and penalization of unused capital Who This Book Is For Traders/practitioners at the retail or small fund level with at least an undergraduate background in finance or computer science; graduate level finance or data science students

Systematic Trading

A unique new method for designing trading and investing systems
Author: Robert Carver
Publisher: Harriman House Limited
ISBN: 085719500X
Category: Business & Economics
Page: 325
View: 4760

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This is not just another book with yet another trading system. This is a complete guide to developing your own systems to help you make and execute trading and investing decisions. It is intended for everyone who wishes to systematise their financial decision making, either completely or to some degree. Author Robert Carver draws on financial theory, his experience managing systematic hedge fund strategies and his own in-depth research to explain why systematic trading makes sense and demonstrates how it can be done safely and profitably. Every aspect, from creating trading rules to position sizing, is thoroughly explained. The framework described here can be used with all assets, including equities, bonds, forex and commodities. There is no magic formula that will guarantee success, but cutting out simple mistakes will improve your performance. You'll learn how to avoid common pitfalls such as over-complicating your strategy, being too optimistic about likely returns, taking excessive risks and trading too frequently. Important features include: - The theory behind systematic trading: why and when it works, and when it doesn't. - Simple and effective ways to design effective strategies. - A complete position management framework which can be adapted for your needs. - How fully systematic traders can create or adapt trading rules to forecast prices. - Making discretionary trading decisions within a systematic framework for position management. - Why traditional long only investors should use systems to ensure proper diversification, and avoid costly and unnecessary portfolio churn. - Adapting strategies depending on the cost of trading and how much capital is being used. - Practical examples from UK, US and international markets showing how the framework can be used. Systematic Trading is detailed, comprehensive and full of practical advice. It provides a unique new approach to system development and a must for anyone considering using systems to make some, or all, of their investment decisions.