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Introduction to Algorithmic Trading Basic to Advanced Strategies

ISBN-10: 0470689544

ISBN-13: 9780470689547

Edition: 2nd 2011

Authors: Edward Leshik, Jane Cralle

List price: $52.00
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Description:

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.
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Book details

List price: $52.00
Edition: 2nd
Copyright year: 2011
Publisher: John Wiley & Sons, Limited
Publication date: 3/1/2011
Binding: Hardcover
Pages: 272
Size: 6.25" wide x 9.25" long x 1.00" tall
Weight: 1.232
Language: English

Acknowledgments
Mission Statement
Introduction to Trading Algorithms
Preface to Part I
History
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?
The Leshik-Cralle Trading Methods
Preface to Part II
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
ALPHA-1 (DIFF)
The ALPHA-1 Algo Expressed in Excel Function Language
ALPHA-2 (EMA PLUS) VI And V2
ALPHA-3 (The Leshik-Cralle Oscillator)
ALPHA-4 (High Frequency Real-Time Matrix)
ALPHA-5 (Firedawn)
ALPHA-6 (General Pawn)
The LC Adaptive Capital Protection Stop
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
Information Sources
Appendices
'The List' of Algo Users and Providers
Our Industry Classification SECTOR Definitions
The Stock Watchlist
Stock Details Snapshot
CD Files List
Bibliography
Index