Machine Trading: Deploying Computer Algorithms to Conquer the Markets

In Machine Trading, you’ll discover the latest platforms that are becoming increasingly easy to use, gain access to new markets, and learn new quantitative strategies that are applicable to stocks, options, futures, currencies, and even bitcoins. The companion website provides downloadable software codes, and you’ll learn to design your own proprietary tools using MATLAB. The author’s experiences provide deep insight into both the business and human side of systematic trading and money management, and his evolution from proprietary trader to fund manager contains valuable lessons for investors at any level.

Introduction:

The best way to learn something really well is to teach it to someone else (Bargh and Schul, 1980). So I confess that one major motivation for my writing this book, the third and the most advanced to date in a series, is to force myself to study in more depth the following topics:

• The latest backtesting and trading platforms and the best and most cost-effective vendors for all manners of data (Chapter 1);
• How to pick the best broker for algorithmic executions and what precautions we should take (Chapter 1);
• The simplest way to optimize allocations to different assets and strategies (Chapter 1);
• Factor models in all their glory, including those derived from the options market, and why they can be useful to short-term traders (Chapter 2);
• Time series techniques: ARIMA, VAR, and state space models (with hidden variables) as applied to practical trading (Chapter 3);
• Artificial intelligence/machine learning techniques: particularly methods that will reduce overfitting (Chapter 4);
• Options and volatility trading strategies, including those that involve portfolios of options (Chapter 5);
• Intraday and higher frequency trading: market microstructure, order types and routing optimization, dark pools, adverse selection, order flow, and how to backtest intraday strategies with tick data (Chapter 6);
• Bitcoins: bringing some of the techniques we covered to this new asset class (Chapter 7);
• How to keep up with the latest knowledge (Chapter 8);
• Transitioning from a proprietary trader to an investment advisor (Chapter 8).

Contents:

• The Basics of Algorithmic Trading
• Factor Models
• Time-Series Analysis
• Artificial Intelligence Techniques
• Options Strategies
• Intraday Trading andMarket Microstructure
• Bitcoins
• Algorithmic Trading Is Good for Body and Soul

Machine Trading: Deploying Computer Algorithms to Conquer the Markets By Ernest P. Chan pdf