An Introduction to Algorithmic Trading: Basic to Advanced Strategies
$23.55
| Author(s) | , |
|---|---|
| Format |
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| Pages |
272 |
| Published Date |
2011 |
524
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Description
An Introduction to Algorithmic Trading: Basic to Advanced Strategies 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.
Introduction:
The goal of this book is to:
- 1. Demystify algorithmic trading, provide some background on the state of the art, and explain who the major players are.
- 2. Provide brief descriptions of current algorithmic strategies and their user properties.
- 3. Provide some templates and tools for the individual trader to be able to learn a number of our proprietary strategies to take up-to date control over his trading, thus level the playing field and at the same time provide a flavor of algorithmic trading.
- 4. Outline the math and statistics we have used in the book while keeping the math content to a minimum.
- 5. Provide the requisite Excel information and explanations of formulas and functions to be able to handle the algorithms on the CD.
- 6. Provide the reader with an outline ‘grid’ of the algorithmic trading business so that further knowledge and experience can be ‘slotted’ into this grid.
- 7. Use a ‘first principles’ approach to the strategies for algorithmic trading to provide the necessary bedrock on which to build from basic to advanced strategies.
- 8. Describe the proprietary ALPHA ALGOS in Part II of the book to provide a solid foundation for later running of fully automated systems.
- 9. Make the book as self-contained as possible to improve convenience of use and reduce the time to get up and running.
- 10. Touch upon relevant disciplines which may be helpful in understanding the underlying principles involved in the strategy of designing and using trading algorithms.
- 11. Provide a detailed view of some of our Watchlist of stocks, with descriptions of each company’s operations. Provide a framework for analyzing each company’s trading characteristics using our proprietary metrics. It is our belief that an intimate knowledge of each stock that is traded provides a competitive advantage to the individual trader enabling a better choice and implementation of algo strategies.
Contents:
- All About Trading Algorithms You Ever Wanted to Know . . .
- Algos Defined and Explained
- Who Uses and Provides Algos
- Why Have They Become Mainstream so Quickly?
- Currently Popular Algos
- A Perspective View From a Tier 1 Company
- How to Use Algos for Individual Traders
- How to Optimize Individual Trader Algos
- The Future – Where Do We Go from Here?
- Our Nomenclature
- Math Toolkit
- Statistics Toolbox
- Data – Symbol, Date, Timestamp, Volume, Price
- Excel Mini Seminar
- Excel Charts: How to Read Them and How to Build Them
- Our Metrics – Algometrics
- Stock Personality Clusters
- Selecting a Cohort of Trading Stocks
- Stock Profiling
- Stylistic Properties of Equity Markets
- Volatility
- Returns – Theory
- Benchmarks and Performance Measures
- Our Trading Algorithms Described – The ALPHA ALGO Strategies
- Parameters and How to Set Them
- Technical Analysis (TA)
- Heuristics, AI, Artificial Neural Networks and Other Avenues to be Explored
- How We Design a Trading Alpha Algo
- From the Efficient Market Hypothesis to Prospect Theory
- The Road to Chaos (or Nonlinear Science)
- Complexity Economics
- Brokerages
- Order Management Platforms and Order Execution Systems
- Data Feed Vendors, Real-Time, Historical
- Connectivity
- Hardware Specification Examples
- Brief Philosophical Digression
An Introduction to Algorithmic Trading: Basic to Advanced Strategies By Edward Leshik, Jane Cralle pdf
10 reviews for An Introduction to Algorithmic Trading: Basic to Advanced Strategies
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Ishaan Bennett (verified owner) –
I had high expectations on this book especially as the subtitle is promising advanced strategies on algorithmic trading. Unfortunaly none of these expections got met und this was the most disappointing book I have red for a while.
In such a modern and “computerized” field like algorithmic trading one could expect a high level of professionalism regarding the practical approach of building algorithmic trading machines. Instead the authors rely on implementing everything in Excel using excel function language. The funny side is that they seriously praise this as a an effective approach. Here is a comment where I found myself first laughing and then wanting to scream out loud:
“We have chosen Excel to implement our algos as it the universal spreadsheet with the added advantage of a fairly rich function language in optimized microcode and thus fast execution.”
Consequently many approaches the authors proposes are limited to the effectiveness what you can do with excel. For example the authors suggest to test parameters manually and thus create 6000 excels files having 60 sessions for 100 stocks. Maybe I do not see the level of humor the authors apply but I am fearing they are serious about this.
To clear things up a bit: The design goal of this book are excel sheets which work on live input and generate buy or sell signals. It is not about autonomous trading bots. The major discussion of algos encompasses about 3 pages and is quite basic.
The provided excel files are very poorly designed. One can see that there was not put much effort in providing this additional material.
All in all I would say some bad input is better than no input and maybe I might pick up some ideas this book suggests but I must say that at the moment I rather regret the money and the time I employed.
Juliet Hunter (verified owner) –
Elementary moving averages calculated in Excel. The effort to be “free standing” results in dozens of pages explainimg elementary descriptive statistics and explanations of how to add cells in a spreadsheet. The textual philosophical musings are nowhere tied down in firm terminology or mathematically argumented.
It never gets where it’s going.
August Lang (verified owner) –
The book is totally rubbish at all. Actually it doesn’t deserve any star at all. I gave it one star because Amazon imposed me to rate the book. The authors even do not understand what algorithms is.
Alana Best (verified owner) –
This book doesn’t seem right. Looks like it is written for individual traders as the authors are sharing their experience of their own automated prop trading approach build on top of Excel and market data feed. But the start of the book is filled with information about execution algorithms developed by brokers for agency flow, which is completely irrelevant to individual traders who are not agencies and are not taking orders from clients for execution.
Mccoy Valentine (verified owner) –
I would pay about $5 for this book, but can’t possibly justify the $25 cost.
Clara Schaefer (verified owner) –
This has to be one of the worst books I have ever read on the topic of algorithmic trading. The emphasis here is on the “Introduction to” as there is almost nothing of substance in relation to the “Algorithmic” and “Strategies” components. What strikes me the most is that the authors have no handle on their topic. It is a book with a great title and reasonable front cover with nothing of substance in its content. Save your money for something else.
Wells Santos (verified owner) –
Pure garbage …
Minus 5* rating would be appropriate
Harlem Juarez (verified owner) –
This book does live up to its title. It is pleasant and enjoyable reading that introduces and educates you in how to start from scratch and move forward through this extremely complicated maze.
Cesar Kennedy (verified owner) –
The book is completly poor.I bought the book based on the index that by the way is interesting but when I received the book at home and started to read oh my gosh.. each subject is composed by three or four pages explained badly.There’s no pratical sample and nothing that really teaches effectively.
Marco Perry (verified owner) –
If U’r in Algo this is the book to read.
But don’t go if you do not have a good Math skill