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An Introduction to Algorithmic Trading: Basic to Advanced Strategies

توضیحات

Algorithmic trading is becoming the industry lifeblood - it is cheaper, faster and easier to control than standard trading and it enables you to ‘pre-think' the market, executing complex math in real time. We are no longer limited by human ‘bandwidth', but the industry is secretive with few willing to share the secrets of their success.

An Introduction to Algorithmic Trading is an introductory guide to this hugely popular area. It begins with demystifying this complex subject and providing readers with specific and usable algorithmic trading knowledge. It outlines the current trading algorithms, the basics of their design, what they are, how they work, how they are used, their strengths, their weaknesses, where the industry is now and where it is going.

The book then features a section describing the choice of stocks to trade on the NASDAQ and the New York Stock Exchange, analytics, and metrics used to optimize trading results - and for the more adventurous reader, a section on how to design trading algorithms.

Finally the authors demonstrate a selection of detailed proprietary and never before seen algorithms targeted exclusively for use by individual traders to trade their own accounts. These algorithms have been developed and used by the authors and are being published here for the very first time.

This is an ideal book for the reader interested in understanding and harnessing the power of algorithmic trading systems, and is accompanied by a CD Rom which provides a quick ‘hands on' route to exploring the power of algorithmic trading on trade NASDAQ and NYSE stocks.


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.

MISSION STATEMENT.

PART 1.

PREFACE.

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 2.

PREFACE.

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 AND HOW TO BUILD THEM.

17 OUR METRICS.

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 139 --152.

THE ALPHA ALGO STRATEGIES.

1. ALPHA-1 (DIFF).

1.a (33) THE ALPHA-1 ALGO EXPRESSED IN EXCEL FUNCTION LANGUAGE.

2. ALPHA-2 (EMA PLUS) V1 & V2.

3. ALPHA-3 (LESHIK-CRALLE OSCILLATOR).

4. ALPHA-4 (HIGH FREQUENCY REAL-TIME PAIRS).

5. ALPHA-5 (FIREDAWN).

6. ALPHA-6 (GENERAL PAWN).

7. THE LC CAPITAL PROTECTION STOP.

26 PARAMETERS AND HOW TO SET THEM.

27 TECHNICAL ANALYSIS (TA).

28 HEURISTICS, AI , ARITIFICIAL NEURAL NETWORKS AND OTHER AVENUES TO BE EXPLORE 29 HOW WE DESIGN A TRADING ALPHA ALGO.

30 FROM EFFICIENT MARKET HYPOTHESIS TO PROSPECT THEORY.

31 THE ROAD TO CHAOS.

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 (WEBSITES, JOURNALS, BLOGS).

APPENDICES.

APPENDIX A: LIST OF ALGO USERS AND PROVIDERS.

APPENDIX B: OUR INDUSTRY CLASSIFICATION SECTOR DEFINITIONS.

APPENDIX C: STOCK WATCHLIST.

APPENDIX D: STOCK DETAILS SNAPSHOT.

CD FILES LIST.

BIBLIOGRAPHY.

INDEX.