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. We are no longer limited by human An Introduction to Algorithmic Trading: Basic to Advanced Strategies. Edward Leshik , Jane Cralle. 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. Algorithmic trading is becoming the industry lifeblood.
But it is a secretive industry with few willing to share the secrets of their success. Preface to Part I. Algos Defined and Explained Who Uses and Provides Algos Benchmarks and Performance Measures Currently Popular Algos How to Use Algos for Individual Traders How to Optimize Individual Trader Algos Preface to Part II Excel Mini Seminar Our Metrics Algometrics Stock Personality Clusters Selecting a Cohort of Trading Stocks Stylistic Properties of Equity Markets Parameters and How to Set Them Technical Analysis TA The Road to Chaos or Nonlinear Science Hardware Specification Examples Brief Philosophical Digression 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.More...