An Introduction to Algorithmic Trading – Basic to Advanced Strategies

E Leshik (Autor)

Software / Digital Media

272 Seiten

2015
John Wiley & Sons Inc (Hersteller)
978-1-119-20603-3 (ISBN)

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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.

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.

Acknowledgments vii Mission Statement viii PART I INTRODUCTION TO TRADING ALGORITHMS Preface to Part I 3 1 History 7 2 All About Trading Algorithms You Ever Wanted to Know ... 9 3 Algos Defined and Explained 11 4 Who Uses and Provides Algos 13 5 Why Have They Become Mainstream so Quickly? 17 6 Currently Popular Algos 19 7 A Perspective View From a Tier 1 Company 25 8 How to Use Algos for Individual Traders 29 9 How to Optimize Individual Trader Algos 33 10 The Future Where Do We Go from Here? 37 PART II THE LESHIK-CRALLE TRADING METHODS Preface to Part II 41 11 Our Nomenclature 49 12 Math Toolkit 53 13 Statistics Toolbox 61 14 Data Symbol, Date, Timestamp, Volume, Price 67 15 Excel Mini Seminar 69 16 Excel Charts: How to Read Them and How to Build Them 75 17 Our Metrics Algometrics 81 18 Stock Personality Clusters 85 19 Selecting a Cohort of Trading Stocks 89 20 Stock Profiling 91 21 Stylistic Properties of Equity Markets 93 22 Volatility 97 23 Returns Theory 101 24 Benchmarks and Performance Measures 103 25 Our Trading Algorithms Described The ALPHA ALGO Strategies 107 1. ALPHA-1 (DIFF) 107 1a. The ALPHA-1 Algo Expressed in Excel Function Language 109 2. ALPHA-2 (EMA PLUS) V1 And V2 110 3. ALPHA-3 (The Leshik-Cralle Oscillator) 112 4. ALPHA-4 (High Frequency Real-Time Matrix) 112 5. ALPHA-5 (Firedawn) 113 6. ALPHA-6 (General Pawn) 113 7. The LC Adaptive Capital Protection Stop 114 26 Parameters and How to Set Them 115 27 Technical Analysis (TA) 117 28 Heuristics, AI, Artificial Neural Networks and Other Avenues to be Explored 125 29 How We Design a Trading Alpha Algo 127 30 From the Efficient Market Hypothesis to Prospect Theory 133 31 The Road to Chaos (or Nonlinear Science) 139 32 Complexity Economics 143 33 Brokerages 147 34 Order Management Platforms and Order Execution Systems 149 35 Data Feed Vendors, Real-Time, Historical 151 36 Connectivity 153 37 Hardware Specification Examples 155 38 Brief Philosophical Digression 157 39 Information Sources 159 APPENDICES Appendix A The List of Algo Users and Providers 165 Appendix B Our Industry Classification SECTOR Definitions 179 Appendix C The Stock Watchlist 183 Appendix D Stock Details Snapshot 185 CD Files List 243 Bibliography 245 Index 249

Verlagsort	New York
Sprache	englisch
Maße	152 x 229 mm
Gewicht	666 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	1-119-20603-0 / 1119206030
ISBN-13	978-1-119-20603-3 / 9781119206033
Zustand	Neuware