An introduction to algorithmic trading : basic to advanced strategies / Edward A. Leshik, Jane Cralle.

Format:

Book

Author/Creator:

Leshik, Edward A.

Contributor:

Cralle, Jane.

Series:

Wiley trading series.

Wiley trading

Language:

English

Subjects (All):

Stocks--Mathematical models.

Stocks.

Algorithms.

Program trading (Securities).

Investment analysis.

Physical Description:

1 online resource (274 p.)

Edition:

1st ed.

Place of Publication:

Chichester, U.K. : Wiley, 2011.

Language Note:

English

Summary:

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 rep

Contents:

Introduction to trading algorithms. 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. 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

Information sources.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on metadata supplied by the publisher and other sources.

ISBN:

9786613239587

9781119206033

1119206030

9781283239585

1283239582

9780470979358

0470979356

OCLC:

759040873