【2011新书】An Introduction to Algorithmic Trading: Basic to Advanced Strategi-经管之家官网!

人大经济论坛-经管之家 收藏本站
您当前的位置> 软件培训>>

Advanced软件培训

>>

【2011新书】An Introduction to Algorithmic Trading: Basic to Advanced Strategi

【2011新书】An Introduction to Algorithmic Trading: Basic to Advanced Strategi

发布:navigateqd | 分类:Advanced软件培训

关于本站

人大经济论坛-经管之家:分享大学、考研、论文、会计、留学、数据、经济学、金融学、管理学、统计学、博弈论、统计年鉴、行业分析包括等相关资源。
经管之家是国内活跃的在线教育咨询平台!

获取电子版《CDA一级教材》

完整电子版已上线CDA网校,累计已有10万+在读~ 教材严格按考试大纲编写,适合CDA考生备考,也适合业务及数据分析岗位的从业者提升自我。

完整电子版已上线CDA网校,累计已有10万+在读~ 教材严格按考试大纲编写,适合CDA考生备考,也适合业务及数据分析岗位的从业者提升自我。

AnIntroductiontoAlgorithmicTrading:BasictoAdvancedStrategies(WileyTrading)March2011|ISBN:0470689544|538|PDF|1MInterestinalgorithmictradingisgrowingmassively–it’scheaper,fasterandbettertocontrolthans ...
坛友互助群


扫码加入各岗位、行业、专业交流群


An Introduction to Algorithmic Trading: Basic to Advanced Strategies (Wiley Trading)

March 2011 | ISBN: 0470689544 | 538| PDF | 1M


Interest in algorithmic trading is growing massively – it’s cheaper, faster and better to control than standard trading, it enables you to ‘pre-think’ the market, executing complex math in real time and take the required decisions based on the strategy defined. We are no longer limited by human ‘bandwidth’. The cost alone (estimated at 6 cents per share manual, 1 cent per share algorithmic) is a sufficient driver to power the growth of the industry. According to consultant firm, Aite Group LLC, high frequency trading firms alone account for 73% of all US equity trading volume, despite only representing approximately 2% of the total firms operating in the US markets. Algorithmic trading is becoming the industry lifeblood. But it is a secretive industry with few willing to share the secrets of their success.

The book begins with a step-by-step guide to algorithmic trading, demystifying this complex subject and providing readers with a specific and usable algorithmic trading knowledge. It provides background information leading to more advanced work by outlining the current trading algorithms, the basics of their design, what they are, how they work, how they are used, their strengths, their weaknesses, where we are now and where we are going.


The book then goes on to demonstrate a selection of detailed algorithms including their implementation in the markets. Using actual algorithms that have been used in live trading readers have access to real time trading functionality and can use the never before seen algorithms to trade their own accounts.


The markets are complex adaptive systems exhibiting unpredictable behaviour. As the markets evolve algorithmic designers need to be constantly aware of any changes that may impact their work, so for the more adventurous reader there is also a section on how to design trading algorithms.


All examples and algorithms are demonstrated in Excel on the accompanying CD ROM, including actual algorithmic examples which have been used in live trading.


[hide][/hide]



Authors:


Edward Leshik has spent the last 12 years trading his own account and researching the microeconomics of the NASDAQ and New York Stock Exchange markets. Previously he was CEO of an electronics company, supplying point of sale electronics to major retailers such as Sears and Sunoco in Canada and Allied Breweries in the UK, where he gained considerable electronics experience and was the first to automate an assembly line using electronics in the UK. His main academic background is in mathematics and physics and he has a great interest in the theories of Universality and Complexity as applied to the markets. He is currently developing a fully automated algorithmic trading system with his co-author Jane Cralle.


Jane Cralle began her career in stockbrokerage at PaineWebber, and later spent 22 years at Linker Capital Management Inc. managing the accounts of high net worth individuals. She has a wide knowledge of the markets and is an expert trader and investor - her extensive experience is invaluable gauging the ‘long run' of market evolution. She is currently researching and developing an automated algorithmic trading system with Edward, and her specialty of cluster analysis of the S&P index components is a work in progress background for a proposed book titled Stocks and their Personalities. Jane lives in Louisville with her husband, Rick Kremer, and three children, Sarah, Morgan and Jack.

Contents:


Acknowledgments.

Mission Statement.
PART I INTRODUCTION TO TRADING ALGORITHMS.
Preface to Part I.
1 History.
2 All About Trading Algorithms You Ever Wanted to Know . . ..
3 Algos Defined and Explained.
4 Who Uses and Provides Algos.
5 Why Have They Become Mainstream so Quickly?
6 Currently Popular Algos.
7 A Perspective View From a Tier 1 Company.
8 How to Use Algos for Individual Traders.
9 How to Optimize Individual Trader Algos.
10 The Future – Where Do We Go from Here?
PART II THE LESHIK-CRALLE TRADING METHODS.
Preface to Part II.
11 Our Nomenclature.
12 Math Toolkit.
13 Statistics Toolbox.
14 Data – Symbol, Date, Timestamp, Volume, Price.
15 Excel Mini Seminar.
16 Excel Charts: How to Read Them and How to Build Them.
17 Our Metrics – Algometrics.
18 Stock Personality Clusters.
19 Selecting a Cohort of Trading Stocks.
20 Stock Profiling.
21 Stylistic Properties of Equity Markets.
22 Volatility.
23 Returns – Theory.
24 Benchmarks and Performance Measures.
25 Our Trading Algorithms Described – The ALPHA ALGO Strategies.
1. ALPHA-1 (DIFF).
1a. The ALPHA-1 Algo Expressed in Excel Function Language.
2. ALPHA-2 (EMA PLUS) V1 And V2.
3. ALPHA-3 (The Leshik-Cralle Oscillator).
4. ALPHA-4 (High Frequency Real-Time Matrix).
5. ALPHA-5 (Firedawn).
6. ALPHA-6 (General Pawn).
7. The LC Adaptive Capital Protection Stop.
26 Parameters and How to Set Them.
27 Technical Analysis (TA).
28 Heuristics, AI, Artificial Neural Networks and Other Avenues to be Explored.
29 How We Design a Trading Alpha Algo.
30 From the Efficient Market Hypothesis to Prospect Theory.
31 The Road to Chaos (or Nonlinear Science).
32 Complexity Economics.
33 Brokerages.
34 Order Management Platforms and Order Execution Systems.
35 Data Feed Vendors, Real-Time, Historical.
36 Connectivity.
37 Hardware Specification Examples.
38 Brief Philosophical Digression.
39 Information Sources.
APPENDICES.
Appendix A ‘The List’ of Algo Users and Providers.
Appendix B Our Industry Classification SECTOR Definitions.
Appendix C The Stock Watchlist.
Appendix D Stock Details Snapshot.
CD Files List.
Bibliography.
Index.
扫码或添加微信号:坛友素质互助


「经管之家」APP:经管人学习、答疑、交友,就上经管之家!
免流量费下载资料----在经管之家app可以下载论坛上的所有资源,并且不额外收取下载高峰期的论坛币。
涵盖所有经管领域的优秀内容----覆盖经济、管理、金融投资、计量统计、数据分析、国贸、财会等专业的学习宝库,各类资料应有尽有。
来自五湖四海的经管达人----已经有上千万的经管人来到这里,你可以找到任何学科方向、有共同话题的朋友。
经管之家(原人大经济论坛),跨越高校的围墙,带你走进经管知识的新世界。
扫描下方二维码下载并注册APP
本文关键词:

本文论坛网址:https://bbs.pinggu.org/thread-1316755-1-1.html

人气文章

1.凡人大经济论坛-经管之家转载的文章,均出自其它媒体或其他官网介绍,目的在于传递更多的信息,并不代表本站赞同其观点和其真实性负责;
2.转载的文章仅代表原创作者观点,与本站无关。其原创性以及文中陈述文字和内容未经本站证实,本站对该文以及其中全部或者部分内容、文字的真实性、完整性、及时性,不作出任何保证或承若;
3.如本站转载稿涉及版权等问题,请作者及时联系本站,我们会及时处理。
联系客服
值班时间:工作日(9:00--18:00)