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Author: Algotrade
Publisher: DIMI BOOK
ISBN: 6047775292
Category : Antiques & Collectibles
Languages : en
Pages : 268
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Book Description
You have profitable trading strategies in place and tested in the market for years but too time-consuming to execute. Do you like to completely automate this process to spend your time on more important work? Do you have new trading ideas but are unable to assess their performance in the long term? Do you find potential strategies in testing but end up losing in real trading? Knowing the limitations of AmiBroker, MetaTrader, or TradingView, do you want to develop your own trading system with the capability to deploy a diverse range of trading strategies, including but not limited to technical analysis? Do you want to approach a high-frequency trading system but face too many technical barriers? Are you a fundamental analyst investor looking for technology to optimize the trade execution process in Vietnam? Algorithmic trading theory and practice, a practical guide with applications on the Vietnamese stock market, is a book for you. It covers the entire process of building an algorithmic trading system and a roadmap to turn ideas into real investment strategies, testing, optimizing, and automating the entire execution process.
Author: Algotrade
Publisher: DIMI BOOK
ISBN: 6047775292
Category : Antiques & Collectibles
Languages : en
Pages : 268
Get Book Here
Book Description
You have profitable trading strategies in place and tested in the market for years but too time-consuming to execute. Do you like to completely automate this process to spend your time on more important work? Do you have new trading ideas but are unable to assess their performance in the long term? Do you find potential strategies in testing but end up losing in real trading? Knowing the limitations of AmiBroker, MetaTrader, or TradingView, do you want to develop your own trading system with the capability to deploy a diverse range of trading strategies, including but not limited to technical analysis? Do you want to approach a high-frequency trading system but face too many technical barriers? Are you a fundamental analyst investor looking for technology to optimize the trade execution process in Vietnam? Algorithmic trading theory and practice, a practical guide with applications on the Vietnamese stock market, is a book for you. It covers the entire process of building an algorithmic trading system and a roadmap to turn ideas into real investment strategies, testing, optimizing, and automating the entire execution process.
Author: Richard O. Michaud
Publisher: Oxford University Press
ISBN: 0199887195
Category : Business & Economics
Languages : en
Pages : 207
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Book Description
In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.
Author: El Bachir Boukherouaa
Publisher: International Monetary Fund
ISBN: 1589063953
Category : Business & Economics
Languages : en
Pages : 35
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Book Description
This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.
Author: Kevin J. Davey
Publisher: John Wiley & Sons
ISBN: 1118778987
Category : Business & Economics
Languages : en
Pages : 294
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Book Description
Develop your own trading system with practical guidance and expert advice In Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Training, award-winning trader Kevin Davey shares his secrets for developing trading systems that generate triple-digit returns. With both explanation and demonstration, Davey guides you step-by-step through the entire process of generating and validating an idea, setting entry and exit points, testing systems, and implementing them in live trading. You'll find concrete rules for increasing or decreasing allocation to a system, and rules for when to abandon one. The companion website includes Davey's own Monte Carlo simulator and other tools that will enable you to automate and test your own trading ideas. A purely discretionary approach to trading generally breaks down over the long haul. With market data and statistics easily available, traders are increasingly opting to employ an automated or algorithmic trading system—enough that algorithmic trades now account for the bulk of stock trading volume. Building Algorithmic Trading Systems teaches you how to develop your own systems with an eye toward market fluctuations and the impermanence of even the most effective algorithm. Learn the systems that generated triple-digit returns in the World Cup Trading Championship Develop an algorithmic approach for any trading idea using off-the-shelf software or popular platforms Test your new system using historical and current market data Mine market data for statistical tendencies that may form the basis of a new system Market patterns change, and so do system results. Past performance isn't a guarantee of future success, so the key is to continually develop new systems and adjust established systems in response to evolving statistical tendencies. For individual traders looking for the next leap forward, Building Algorithmic Trading Systems provides expert guidance and practical advice.
Author: National Intelligence Council
Publisher: Cosimo Reports
ISBN: 9781646794973
Category :
Languages : en
Pages : 158
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Book Description
"The ongoing COVID-19 pandemic marks the most significant, singular global disruption since World War II, with health, economic, political, and security implications that will ripple for years to come." -Global Trends 2040 (2021) Global Trends 2040-A More Contested World (2021), released by the US National Intelligence Council, is the latest report in its series of reports starting in 1997 about megatrends and the world's future. This report, strongly influenced by the COVID-19 pandemic, paints a bleak picture of the future and describes a contested, fragmented and turbulent world. It specifically discusses the four main trends that will shape tomorrow's world: - Demographics-by 2040, 1.4 billion people will be added mostly in Africa and South Asia. - Economics-increased government debt and concentrated economic power will escalate problems for the poor and middleclass. - Climate-a hotter world will increase water, food, and health insecurity. - Technology-the emergence of new technologies could both solve and cause problems for human life. Students of trends, policymakers, entrepreneurs, academics, journalists and anyone eager for a glimpse into the next decades, will find this report, with colored graphs, essential reading.
Author: Shui Yu
Publisher: Springer
ISBN: 3319277634
Category : Computers
Languages : en
Pages : 440
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Book Description
This book covers three major parts of Big Data: concepts, theories and applications. Written by world-renowned leaders in Big Data, this book explores the problems, possible solutions and directions for Big Data in research and practice. It also focuses on high level concepts such as definitions of Big Data from different angles; surveys in research and applications; and existing tools, mechanisms, and systems in practice. Each chapter is independent from the other chapters, allowing users to read any chapter directly. After examining the practical side of Big Data, this book presents theoretical perspectives. The theoretical research ranges from Big Data representation, modeling and topology to distribution and dimension reducing. Chapters also investigate the many disciplines that involve Big Data, such as statistics, data mining, machine learning, networking, algorithms, security and differential geometry. The last section of this book introduces Big Data applications from different communities, such as business, engineering and science. Big Data Concepts, Theories and Applications is designed as a reference for researchers and advanced level students in computer science, electrical engineering and mathematics. Practitioners who focus on information systems, big data, data mining, business analysis and other related fields will also find this material valuable.
Author: Irene Aldridge
Publisher: John Wiley & Sons
ISBN: 1119602971
Category : Computers
Languages : en
Pages : 336
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Book Description
Explains the mathematics, theory, and methods of Big Data as applied to finance and investing Data science has fundamentally changed Wall Street—applied mathematics and software code are increasingly driving finance and investment-decision tools. Big Data Science in Finance examines the mathematics, theory, and practical use of the revolutionary techniques that are transforming the industry. Designed for mathematically-advanced students and discerning financial practitioners alike, this energizing book presents new, cutting-edge content based on world-class research taught in the leading Financial Mathematics and Engineering programs in the world. Marco Avellaneda, a leader in quantitative finance, and quantitative methodology author Irene Aldridge help readers harness the power of Big Data. Comprehensive in scope, this book offers in-depth instruction on how to separate signal from noise, how to deal with missing data values, and how to utilize Big Data techniques in decision-making. Key topics include data clustering, data storage optimization, Big Data dynamics, Monte Carlo methods and their applications in Big Data analysis, and more. This valuable book: Provides a complete account of Big Data that includes proofs, step-by-step applications, and code samples Explains the difference between Principal Component Analysis (PCA) and Singular Value Decomposition (SVD) Covers vital topics in the field in a clear, straightforward manner Compares, contrasts, and discusses Big Data and Small Data Includes Cornell University-tested educational materials such as lesson plans, end-of-chapter questions, and downloadable lecture slides Big Data Science in Finance: Mathematics and Applications is an important, up-to-date resource for students in economics, econometrics, finance, applied mathematics, industrial engineering, and business courses, and for investment managers, quantitative traders, risk and portfolio managers, and other financial practitioners.
Author: David Aronson
Publisher: Createspace Independent Publishing Platform
ISBN: 9781489507716
Category : Algorithmus
Languages : en
Pages : 0
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Book Description
This book serves two purposes. First, it teaches the importance of using sophisticated yet accessible statistical methods to evaluate a trading system before it is put to real-world use. In order to accommodate readers having limited mathematical background, these techniques are illustrated with step-by-step examples using actual market data, and all examples are explained in plain language. Second, this book shows how the free program TSSB (Trading System Synthesis & Boosting) can be used to develop and test trading systems. The machine learning and statistical algorithms available in TSSB go far beyond those available in other off-the-shelf development software. Intelligent use of these state-of-the-art techniques greatly improves the likelihood of obtaining a trading system whose impressive backtest results continue when the system is put to use in a trading account. Among other things, this book will teach the reader how to: Estimate future performance with rigorous algorithms Evaluate the influence of good luck in backtests Detect overfitting before deploying your system Estimate performance bias due to model fitting and selection of seemingly superior systems Use state-of-the-art ensembles of models to form consensus trade decisions Build optimal portfolios of trading systems and rigorously test their expected performance Search thousands of markets to find subsets that are especially predictable Create trading systems that specialize in specific market regimes such as trending/flat or high/low volatility More information on the TSSB program can be found at TSSBsoftware dot com.
Author: A. Sutherland
Publisher: Springer
ISBN: 1137030690
Category : Business & Economics
Languages : en
Pages : 315
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Book Description
The Front Office Manual is unique, providing clear and direct explanations of tools and techniques relevant to front office work. From how to build a yield curve, to how a swap works, to what exactly 'product control' is supposed to do, this book is essential reading for anyone who works (or wants to work) on the 'sell side'.
Author: Giles Jewitt
Publisher: John Wiley & Sons
ISBN: 1118967453
Category : Business & Economics
Languages : en
Pages : 629
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Book Description
An essential guide to real-world derivatives trading FX Derivatives Trader School is the definitive guide to the technical and practical knowledge required for successful foreign exchange derivatives trading. Accessible in style and comprehensive in coverage, the book guides the reader through both basic and advanced derivative pricing and risk management topics. The basics of financial markets and trading are covered, plus practical derivatives mathematics is introduced with reference to real-world trading and risk management. Derivative contracts are covered in detail from a trader's perspective using risk profiles and pricing under different derivative models. Analysis is approached generically to enable new products to be understood by breaking the risk into fundamental building blocks. To assist with learning, the book also contains Excel practicals which will deepen understanding and help build useful skills. The book covers of a wide variety of topics, including: Derivative exposures within risk management Volatility surface construction Implied volatility and correlation risk Practical tips for students on trading internships and junior traders Market analysis techniques FX derivatives trading requires mathematical aptitude, risk management skill, and the ability to work quickly and accurately under pressure. There is a tremendous gap between option pricing formulas and the knowledge required to be a successful derivatives trader. FX Derivatives Trader School is unique in bridging that gap.
