Professional Automated Trading - Theory and Practice

Informationen zum Autor EUGENE A. DURENARD is CEO of DTC Ltd in Bermuda, a firm that specializes in applying systematic techniques to leveraged and real money trading across a wide variety of asset classes. DTC has been acting over the years as investment advisor and manager for a range of institutions including banks, hedge funds, and proprietary trading groups. DTC is currently advising Capital G, the largest private bank in Bermuda, where Eugene acts as Head of Research and Product Development. Eugene is a partner and CIO of ERA Capital Partners, a Chicago-based quantitative systematic Proprietary Trading Group. Klappentext An insider's view of how to develop and operate an automated proprietary trading networkReflecting author Eugene Durenard's extensive experience in this field, Professional Automated Trading offers valuable insights you won't find anywhere else. It reveals how a series of concepts and techniques coming from current research in artificial life and modern control theory can be applied to the design of effective trading systems that outperform the majority of published trading systems. It also skillfully provides you with essential information on the practical coding and implementation of a scalable systematic trading architecture.Based on years of practical experience in building successful research and infrastructure processes for purpose of trading at several frequencies, this book is designed to be a comprehensive guide for understanding the theory of design and the practice of implementation of an automated systematic trading process at an institutional scale.* Discusses several classical strategies and covers the design of efficient simulation engines for back and forward testing* Provides insights on effectively implementing a series of distributed processes that should form the core of a robust and fault-tolerant automated systematic trading architecture* Addresses trade execution optimization by studying market-pressure models and minimization of costs via applications of execution algorithms* Introduces a series of novel concepts from artificial life and modern control theory that enhance robustness of the systematic decision making--focusing on various aspects of adaptation and dynamic optimal model choiceEngaging and informative, Proprietary Automated Trading covers the most important aspects of this endeavor and will put you in a better position to excel at it. Zusammenfassung An insider's view of how to develop and operate an automated proprietary trading network Reflecting author Eugene Durenard's extensive experience in this field, Professional Automated Trading offers valuable insights you won't find anywhere else. Inhaltsverzeichnis Preface xv Chapter 1 Introduction to Systematic Trading 1 1.1 Definition of Systematic Trading 2 1.2 Philosophy of Trading 3 1.2.1 Lessons from the Market 3 1.2.2 Mechanism vs. Organism 5 1.2.3 The Edge of Complexity 5 1.2.4 Is Systematic Trading Reductionistic? 6 1.2.5 Reaction vs. Proaction 6 1.2.6 Arbitrage? 7 1.2.7 Two Viable Paths 7 1.3 The Business of Trading 7 1.3.1 Profitability and Track Record 8 1.3.2 The Product and Its Design 10 1.3.3 The Trading Factory 12 1.3.4 Marketing and Distribution 15 1.3.5 Capital, Costs, and Critical Mass 16 1.4 Psychology and Emotions 19 1.4.1 Ups and Downs 19 1.4.2 Peer Pressure and the Blame Game 20 1.4.3 Trust: Continuity of Quality 20 1.4.4 Learning from Each Other 21 1.5 From Candlesticks in Kyoto to FPGAs in Chicago 22 Part One Strategy Design and Testing Chapter 2 A New Socioeconomic Paradigm 33 2.1 Financial Theory vs. Market Reality 33 2.1.1 Adaptive Reactions vs. Rigid Anticipations 33 2.1.2 Accumulation vs. Divestment Games 37 ...

List of contents

Preface xv
 
CHAPTER 1 - Introduction to Systematic Trading 1
 
1.1 Definition of Systematic Trading 2
 
1.2 Philosophy of Trading 3
 
1.3 The Business of Trading 7
 
1.4 Psychology and Emotions 19
 
1.5 From Candlesticks in Kyoto to FPGAs in Chicago 22
 
PART ONE - Strategy Design and Testing
 
CHAPTER 2 - A New Socioeconomic Paradigm 33
 
2.1 Financial Theory vs. Market Reality 33
 
2.2 The Market Is a Complex Adaptive System 42
 
2.3 Origins of Robotics and Artificial Life 45
 
CHAPTER 3 - Analogies between Systematic Trading and Robotics 49
 
3.1 Models and Robots 49
 
3.2 The Trading Robot 50
 
3.3 Finite-State-Machine Representation of the Control System 52
 
CHAPTER 4 - Implementation of Strategies as Distributed Agents 57
 
4.1 Trading Agent 57
 
4.2 Events 60
 
4.3 Consuming Events 60
 
4.4 Updating Agents 61
 
4.5 Defining FSM Agents 63
 
4.6 Implementing a Strategy 66
 
CHAPTER 5 - Inter-Agent Communications 73
 
5.1 Handling Communication Events 73
 
5.2 Emitting Messages and Running Simulations 75
 
5.3 Implementation Example 76
 
CHAPTER 6 - Data Representation Techniques 83
 
6.1 Data Relevance and Filtering of Information 83
 
6.2 Price and Order Book Updates 84
 
6.3 Sampling: Clock Time vs. Event Time 89
 
6.4 Compression 90
 
6.5 Representation 97
 
CHAPTER 7 - Basic Trading Strategies 105
 
7.1 Trend-Following 105
 
7.2 Acceleration 114
 
7.3 Mean-Reversion 118
 
7.4 Intraday Patterns 122
 
7.5 News-Driven Strategies 124
 
CHAPTER 8 - Architecture for Market-Making 127
 
8.1 Traditional Market-Making: The Specialists 127
 
8.2 Conditional Market-Making: Open Outcry 128
 
8.3 Electronic Market-Making 129
 
8.4 Mixed Market-Making Model 131
 
8.5 An Architecture for a Market-Making Desk 134
 
CHAPTER 9 - Combining Strategies into Portfolios 139
 
9.1 Aggregate Agents 139
 
9.2 Optimal Portfolios 141
 
9.3 Risk-Management of a Portfolio of Models 142
 
CHAPTER 10 - Simulating Agent-Based Strategies 145
 
10.1 The Simulation Problem 146
 
10.2 Modeling the Order Management System 147
 
10.3 Running Simulations 158
 
10.4 Analysis of Results 162
 
10.5 Degrees of Over-Fitting 167
 
PART TWO - Evolving Strategies
 
CHAPTER 11 - Strategies for Adaptation 173
 
11.1 Avenues for Adaptations 173
 
11.2 The Cybernetics of Trading 175
 
CHAPTER 12 - Feedback and Control 179
 
12.1 Looking at Markets through Models 179
 
12.2 Fitness Feedback Control 184
 
12.3 Robustness of Strategies 192
 
12.4 Efficiency of Control 193
 
CHAPTER 13 - Simple Swarm Systems 199
 
13.1 Switching Strategies 199
 
13.2 Strategy Neighborhoods 206
 
13.3 Choice of a Simple Individual from a Population 208
 
13.4 Additive Swarm System 210
 
13.5 Maximizing Swarm System 214
 
13.6 Global Performance Feedback Control 216
 
CHAPTER 14 - Implementing Swarm Systems 219
 
14.1 Setting Up the Swarm Strategy Set 220
 
14.2 Running the Swarm 220
 
CHAPTER 15 - Swarm Systems with Learning 223
 
15.1 Reinforcement Learning 224
 
15.2 Swarm Efficiency 224
 
15.3 Behavior Exploitation by the Swarm 225
 
15.4 Exploring New Behaviors 227
 
15.5 Lamark among the Machines 227
 
PART THREE - Optim

Product details

• Authors: Durenard, E Durenard, Eugene A Durenard, Eugene A. Durenard, DURENARD EUGENE A, Durenard Eugene A.
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 29.11.2013
• EAN: 9781118129852
• ISBN: 978-1-118-12985-2
• No. of pages: 384
• Series: Wiley Trading Series; Wiley Trading; Wiley Trading; Wiley Trading Series
• Subjects: Social sciences, law, business > Business > Business administration; Finanzwesen, Finance & Investments, Finanz- u. Anlagewesen, Spezialthemen Finanz- u. Anlagewesen, Finance & Investments Special Topics