Professional Automated Trading: Theory and Practice
Trading is a science based on a variety of fields, from mathematics to physics. It is also an art based on knowing and respecting the markets and, equally important, knowing oneself. But most of all, trading is a business that hinges on a carefully understood discipline and process of seeking reward in the face of risk.No one is more familiar with this than author Eugene Durenard. A recognized expert in automated trading – who has long incorporated aspects of artificial life and robotics systems research into his trading – he knows what it takes to create systematic trading strategies that are adaptive and opportunistic. Now, with this new book, he shares those valuable insights with you. Whether you’re part of a professional prop trading desk or an ambitious individual trader, this practical guide will put you in a better position to successfully navigate today’s competitive markets.Divided into four comprehensive parts,Professional Automated Trading: Theory and Practiceopens with an introductory chapter that sets the stage for modern systematic trading. It critically examines the merits of systematic trading from a philosophical and psychological perspective, as well as focuses on it as a business activity.With this information in hand, Durenard moves on to skillfully cover the theory, practice, and technologies needed to excel at this endeavor.- Part Iintroduces the basic conceptual and programmatic framework for the design of trading strategies as trading agents – exploring data representation, indicators, basic model types, and techniques to test them- Part IIintroduces innovative concepts designed to tackle adaptation of trading strategies to changing market conditions. Those include Swarm Systems that help navigate the higher complexity of the markets at lower timescales.- Part IIIfocuses on the important aspect of trading costs and slippage – discussing the analysis of the intraday bid-offer and volume seasonality in major markets and detailing several algorithmic execution strategies designed to help reduce market impact- Part IVpresents the practical implementation of a real-time, low-latency automated trading infrastructure designed to support a Swarm of Trading Agents operating on a collection of Electronic Commerce Networks (ECNs) Engaging and accessible,Professional Automated Tradingcontains the information you need to make the most of automated trading in free markets.