Leshik / Cralle An Introduction to Algorithmic Trading

Basic to Advanced Strategies
2. Auflage 2011
ISBN: 978-0-470-97935-8
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 272 Seiten, E-Book

Reihe: Wiley Trading Series

Interest in algorithmic trading is growing massively -it's cheaper, faster and better to control than standardtrading, it enables you to 'pre-think' the market,executing complex math in real time and take the required decisionsbased on the strategy defined. We are no longer limited by human'bandwidth'. The cost alone (estimated at 6 cents pershare manual, 1 cent per share algorithmic) is a sufficient driverto 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 representingapproximately 2% of the total firms operating in the US markets.Algorithmic trading is becoming the industry lifeblood. But it is asecretive industry with few willing to share the secrets of theirsuccess.
The book begins with a step-by-step guide to algorithmictrading, demystifying this complex subject and providing readerswith a specific and usable algorithmic trading knowledge. Itprovides background information leading to more advanced work byoutlining the current trading algorithms, the basics of theirdesign, what they are, how they work, how they are used, theirstrengths, their weaknesses, where we are now and where we aregoing.
The book then goes on to demonstrate a selection of detailedalgorithms including their implementation in the markets. Usingactual algorithms that have been used in live trading readers haveaccess to real time trading functionality and can use the neverbefore seen algorithms to trade their own accounts.
The markets are complex adaptive systems exhibitingunpredictable behaviour. As the markets evolve algorithmicdesigners need to be constantly aware of any changes that mayimpact their work, so for the more adventurous reader there is alsoa section on how to design trading algorithms.
All examples and algorithms are demonstrated in Excel on theaccompanying CD ROM, including actual algorithmic examples whichhave been used in live trading.

Autoren/Hrsg.

Leshik, Edward

Cralle, Jane

Inhaltsverzeichnis

Acknowledgments vii
Mission Statement viii
PART I INTRODUCTION TO TRADING ALGORITHMS
Preface to Part I 3
1 History 7
2 All About Trading Algorithms You Ever Wanted to Know . . . 9
3 Algos Defined and Explained 11
4 Who Uses and Provides Algos 13
5 Why Have They Become Mainstream so Quickly? 17
6 Currently Popular Algos 19
7 A Perspective View From a Tier 1 Company 25
8 How to Use Algos for Individual Traders 29
9 How to Optimize Individual Trader Algos 33
10 The Future - Where Do We Go from Here? 37
PART II THE LESHIK-CRALLE TRADING METHODS
Preface to Part II 41
11 Our Nomenclature 49
12 Math Toolkit 53
13 Statistics Toolbox 61
14 Data - Symbol, Date, Timestamp, Volume, Price 67
15 Excel Mini Seminar 69
16 Excel Charts: How to Read Them and How to Build Them 75
17 Our Metrics - Algometrics 81
18 Stock Personality Clusters 85
19 Selecting a Cohort of Trading Stocks 89
20 Stock Profiling 91
21 Stylistic Properties of Equity Markets 93
22 Volatility 97
23 Returns - Theory 101
24 Benchmarks and Performance Measures 103
25 Our Trading Algorithms Described - The ALPHA ALGO Strategies 107
1. ALPHA-1 (DIFF) 107
1a. The ALPHA-1 Algo Expressed in Excel Function Language 109
2. ALPHA-2 (EMA PLUS) V1 And V2 110
3. ALPHA-3 (The Leshik-Cralle Oscillator) 112
4. ALPHA-4 (High Frequency Real-Time Matrix) 112
5. ALPHA-5 (Firedawn) 113
6. ALPHA-6 (General Pawn) 113
7. The LC Adaptive Capital Protection Stop 114
26 Parameters and How to Set Them 115
27 Technical Analysis (TA) 117
28 Heuristics, AI, Artificial Neural Networks and Other Avenues to be Explored 125
29 How We Design a Trading Alpha Algo 127
30 From the Efficient Market Hypothesis to Prospect Theory 133
31 The Road to Chaos (or Nonlinear Science) 139
32 Complexity Economics 143
33 Brokerages 147
34 Order Management Platforms and Order Execution Systems 149
35 Data Feed Vendors, Real-Time, Historical 151
36 Connectivity 153
37 Hardware Specification Examples 155
38 Brief Philosophical Digression 157
39 Information Sources 159
APPENDICES
Appendix A 'The List' of Algo Users and Providers 165
Appendix B Our Industry Classification SECTOR Definitions 179
Appendix C The Stock Watchlist 183
Appendix D Stock Details Snapshot 185
CD Files List 243
Bibliography 245
Index 249

Über Autor(innen)

Edward Leshik has spent the last 12 years trading his ownaccount and researching the microeconomics of the NASDAQ and NewYork Stock Exchange markets. Previously he was CEO of anelectronics company, supplying point of sale electronics to majorretailers such as Sears and Sunoco in Canada and Allied Breweriesin the UK, where he gained considerable electronics experience andwas the first to automate an assembly line using electronics in theUK. His main academic background is in mathematics and physics andhe has a great interest in the theories of Universality andComplexity as applied to the markets. He is currently developing afully automated algorithmic trading system with his co-author JaneCralle.
Jane Cralle began her career in stockbrokerage atPaineWebber, and later spent 22 years at Linker Capital ManagementInc. managing the accounts of high net worth individuals. She has awide knowledge of the markets and is an expert trader and investor- her extensive experience is invaluable gauging the 'longrun' of market evolution. She is currently researching anddeveloping an automated algorithmic trading system with Edward, andher specialty of cluster analysis of the S&P index componentsis a work in progress background for a proposed book titled Stocksand their Personalities. Jane lives in Louisville with her husband,Rick Kremer, and three children, Sarah, Morgan and Jack.