An Introduction to Algorithmic Trading: Basic to Advanced Strategies (Anglais) Relié – 1 mars 2011
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Description du produit
Présentation de l'éditeur
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.
Quatrième de couverture
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.
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Commentaires client les plus utiles sur Amazon.com
The book references a CD and the data sets which are included it it. Since I bought the Kindle edition I don't have the CD. Is there any way I can get the data referenced in the book?
The basic idea of this book is that individual traders can benefit from trading at higher frequencies (in the 10s of seconds). I agree with the premise, but their execution is horribly flawed.
I have two big complaints: First the book is not about algorithmic trading, it is about systems trading. Algorithmic trading is systems trading wherein the system is programmed into a computer and allowed to execute orders without human intervention. This book teaches you how build an excel spreadsheet to provide you with trading signals according to your system. They expect you to manually enter the orders. Doing this reliably with the number of trades their system generates is something I would not want to attempt.
Second, the book does not cover anything that could be categorized as "Advanced". Anyone with a modicum of exposure to trading systems design, technical analysis and a bit of Excel experience will find nothing new here.
The first 30 pages, are a description of how big banks use algorithmic trading to cut costs and reduce the impact of large orders. This information could be found on the internet. They then spend the next 40 pages providing very poor introductions to statistics, Excel, and high frequency (tick) data. Another 30 pages get spend rambling about how to pick stocks that are worth trading by using various well known metrics. Fifteen pages are then spent briefly describing the example systems included on the CD. These are extremely simple applications of standard technical analysis methods. The only "innovation" is one that should be obvious to anyone remotely familiar with high frequency data -- instead of calculating moving averages over a series of equal-time charted bars, they calculated a moving average over the last so many market crossing (ticks).
That brings us to about page 115. From there until 160 is a random collection of things that you could find on the internet by searching various topics, and a bit of information about data vendors and computer hardware that might be worth something to someone totally unfamiliar with systems trading at high-frequencies.
The book closes with some Appendices which were also non-helpful.
At best I can say that the included CD might help someone with little or no Excel experience by providing some half-decent examples. Still, for the price of this book, I think you could find much better Excel lessons.
Finally, although they don't provide the details on how to do it, there is no reason you couldn't tie in an Excel model like the examples they provide to a trading system (like TradingTechnologies X_Trader) and fully automate your trading. This would be the simplest and most painless way for an individual trader with little programing experience to automate his or her trading system. Of course, as even they point out, Excel eats up a massive amount of computer resources for what it does. Using Excel for rapid prototyping might be useful, but when it comes to actually running the system, I'd much rather a compiled piece of well tested software than an Excel spreadsheet.