Something Interesting to Read July 2014
Forum on trading, automated trading systems and testing trading strategies
Something Interesting to Read June 2014
matfx, 2014.06.27 08:37
Trading Exchanges Market Microstructure Practitioners : Larry Harris
This book is about trading, the people who trade securities and contracts, the marketplaces where they trade, and the rules that govern it. Readers will learn about investors, brokers, dealers, arbitrageurs, retail traders, day traders, rogue traders, and gamblers; exchanges, boards of trade, dealer networks, ECNs (electronic communications networks), crossing markets, and pink sheets. Also covered in this text are single price auctions, open outcry auctions, and brokered markets limit orders, market orders, and stop orders. Finally, the author covers the areas of program trades, block trades, and short trades, price priority, time precedence, public order precedence, and display precedence, insider trading, scalping, and bluffing, and investing, speculating, and gambling.
Forum on trading, automated trading systems and testing trading strategies
Something Interesting to Read June 2014
matfx, 2014.06.28 08:35
Inside The Black Box : Rishi K Narang
Whether you call it quant, algo, or black box trading, it all adds up to the same thing: systematic trading performed by computers.
While some decry it as dangerously detached from human control, and a driver of excessive volatility in the markets, others see quantitative trading as a welcome departure from the unruly passions and cognitive biases that inform human investment decision making.
Say what you will about quant trading, the fact is, overall, quant funds consistently outperform the markets—which may be why so many smart investors are keen to avail themselves of that black box magic.
Unfortunately, much remains obscure about quantitative trading, thanks in great part to the extreme guardedness of quants when it comes to the details of how their systems work. But, as quant-trader and master explainer Rishi Narang deftly shows in this updated edition of his bestselling guide, quantitative trading is much easier to understand and take advantage of than you think.
Designed to make quantitative trading comprehensible to even the most math- or technophobic investor, this book takes you on a guided tour inside the black box. In plain English, Mr. Narang turns the lights up on what the quants are up to, once and for all lifting the veil of mystery surrounding quantitative trading and quantitative trading strategies.
Following a concise introduction to quantitative trading principles and general practices, Mr. Narang cuts to the chase with a detailed inventory of the contents of a typical black box system, explaining, in non-technical terms, what each one is and how it fits together with the others.
Then, with the help of numerous real-world examples and lively anecdotes, he clearly explains:
- The most common quant system structures
- How quants capture alpha
- The level of discretion in quant trading
- High-frequency trading and the infrastructure that supports it
- Execution algorithms and how they work
- How quants model risk and how to know if a particular model really works
- The important difference between theory-driven systems vs. data-mining strategies
- How to evaluate quant managers and their strategies
- How quant strategies can fit into an overall portfolio strategy—and why they're so important
- Current and future trends in quant trading and the role it will play in the years ahead
A book that lifts the lid on black box trading, making it transparent, intuitively sensible, and readily understandable, Inside the Black Box is a must-read for institutional investors, asset managers, investment advisors, pension fund managers, and all savvy investors looking to gain an edge in today's turbulent financial markets.
The true story of a 100% mechanical automated forex trading system that
returned over 1000% inside 13 months turning 10,000 GBP to over 100,000
GBP
In 2005 I discovered what I believed was the ultimate financial trading
system using the foreign exchange market ( known as the forex market )
To be the ultimate 'Holy Grail' foreign exchange trading system it would
have the ability to automatically trade and have zero discretion with
no technical analysis or reliance on technical indicators. In short, a
100% mechanical trading system in which the person using it does not
matter, the result will be the same.
It would be a currency trading system that takes away the problems of
trading psychology. It does not care if you are having a bad day, are on
holiday, or if you have had an argument with your partner in the last
hour. The trading entries, exits, trailing stops and risk management
must have no user input whatsoever. All the user has to do is switch it
on and wait.
The trading forums of the internet are full of people searching for this
ultimate trading system. Thousands of traders every day search, test
and simulate for hours using forex analysis looking for this 'golden
egg' laying goose. Most believe that such a trading strategy does not
exist nor ever has. This book is here to prove to you that such a
trading system did exist and was discovered by a few home based forex
traders just like you.
It can be found again.
Here is our question to you.
"What would you do if you found such a simple day trading system?" One
that worked month after month? One that had proved itself not just for
weeks or months, but for years?
How much would you risk?
How would you trade it?
How would your emotions handle such a 'guaranteed' trading system?
Well, Not only does this trading book tell the story of how the trading
system was built, it also gives you the full trading system and
strategy, for the very first time.
The actual Forex trading methodology has remained a closely guarded
secret for over 10 years! For the first time ever nothing is held back,
Fully Disclosed...
Trade by trade entry levels
Trading timeframes
Trade exit levels
Optimum risk management strategy
Trailing stop settings
Full results and account screenshots
Could you be the next trader to find a Holy Grail system? The clues are all here.
You Will Discover...
What changes you should be wary of when trading your forex strategies
What happens to your mind when all of your hard work comes together - the trading psychology
What happens when everything looks wrong
The true reason for a trading system failing (hint: it mostly isn't the system)
Their very personal story unfolds within these pages, step by step and
month by month, demonstrating how their discovery changed them forever.
With full disclosure for the very first time this book shows every
trade, every change, every high and every low of a Forex trading system
called simply 'Grail'
Who Should Buy This Book?
System traders
Foreign Exchange traders
Trading system developers
Home based retail traders
Those developing Forex autotrading strategies.
This book explores the problem of high frequency trading (HFT) as well as the need for US stock market reform. This collection of previously published and unpublished materials includes the following articles and white papers:
1. The Problem of HFT - explains how HFTs came to dominate US equity
markets by exploiting artificial advantages introduced by electronic
exchanges that catered to HFT strategies
2. HFT Scalping Strategies - describes the primary features of modern
HFT strategies currently active in US equities as well as the benefits
these strategies extract from the maker-taker market model and the
regulatory framework of the national market system
3. Why HFTs Have an Advantage - explains the critical importance of
HFT-oriented special order types and exchange order matching engine
practices in the operation of modern HFT strategies
4. HFT - A Systemic Issue - a discussion of the latest industry and
regulatory developments with regard to exchange order matching practices
that serve to advantage HFTs over the public customer
5. Electronic Liquidity Strategy - proposes a conceptual framework for
institutional traders to achieve superior execution performance in
HFT-oriented electronic market venues
6. Reforming the National Market System - proposes a 10-step plan for
strengthening the operation of the US equities marketplace in order to
serve the needs of long-term investors
7. NZZ Interview with Haim Bodek - addresses current topics and proposals for US equities market structure reforms
8. TradeTech Interview with Haim Bodek - addresses the current status of the HFT special order type debate
Biography
Haim Bodek is a Managing Principal of Decimus Capital Markets, LLC, a tactical consulting and strategic advisory firm focused on high frequency trading and US equities market structure.
Mr. Bodek
was formerly a founder and Chief Executive Officer of Trading Machines
LLC, an independent high frequency options trading firm. Prior to TM,
Mr. Bodek was a Managing Director and Joint Global Head of Electronic
Volatility Trading at UBS Investment Bank. He is an electronic trading
executive and algorithmic trading strategist with 15 years of experience
in the automated trading space.
Mr. Bodek's career, experiences,
and advocacy for US stock market regulatory reform are described
extensively in Dark Pools by Scott Patterson, freelance writer and staff
reporter for The Wall Street Journal.
Forum on trading, automated trading systems and testing trading strategies
Something Interesting to Read April 2014
newdigital, 2014.04.25 08:45
Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading)
While institutional traders continue to implement quantitative (or algorithmic) trading, many independent traders have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, Dr. Ernest Chan, a respected independent trader and consultant, will show you how. Whether you're an independent "retail" trader looking to start your own quantitative trading business or an individual who aspires to work as a quantitative trader at a major financial institution, this practical guide contains the information you need to succeed.
A Three Dimensional Approach To Forex Trading : Anna Coulling
If you aspire to becoming a full time forex trader, then this is the book for you. Even if your dream is perhaps more modest, and you simply want to have a second income trading the forex markets, then again, this book is for you. It has been written with one clear objective in mind. To explain how and why currencies move in the way that they do, using the combined power of relational, technical and fundamental analysis. Combine this with a three dimensional approach to trading itself, using multiple time frames and multiple chart analysis, and the world of foreign exchange will become crystal clear. Many aspiring traders, simply do not realize that the forex market sits at the heart of the financial world, which, when you think about it logically, is really common sense. After all, this is the biggest money market in the world, and if the financial markets are about one thing, they are about money. Making it, protecting it, or increasing the return. It’s no surprise therefore, that the forex market connects all the others. It is the central axis of the financial world, around which all the others spin. In the book, you will discover how changes in market sentiment in the primary markets of commodities, stocks, bonds and equities, are then reflected in the currency markets. This is something which often surprises novice traders. After all, why look at a stock index, or the price of gold, or a bond market? The answer is very simple. It is in these markets where you will find all the clues and signals, which then reveal money flow. After all, the financial markets are all about risk. In other words, higher returns for higher risk, or lower returns for lower risk. It really is that simple. And yet, how many forex traders ever consider associated markets. The answer is very few. You will be one of those enlightened traders who truly understands money flow and risk, and your confidence as a trader will grow exponentially as a result. And in case you were wondering, this is NOT another book explaining forex trading strategies. In fact there are none at all, surprising given the book's length. If this is what you are looking for, please DO NOT buy this book. It has been written for two specific audiences. The first is the novice forex trader, for whom this is a new market. The second is the forex trader who has attempted to trade in foreign exchange, but failed, and has been left confused by the apparent random and chaotic behavior of this volatile market. Reading this book will provide you with a deep understanding of how and why the markets move in the way they do. Whilst the forex market is a complex mix, it is not complicated, once you understand the people, their motives and the currencies themselves. Each chapter builds on the last in a logical sequence, and every topic is explained in a simple and clear way. Even those markets such as bonds, which few traders ever understand, are explained very simply. Every topic is illustrated with clearly annotated charts, to help and guide you as you learn. Equally important is the concept of change. Indeed you may have other books on your bookshelf written many years ago and explaining how the forex market works. Well, as you will discover, the rule book has been torn up. No longer is this a simple market of trending currency pairs. This all changed in the financial tsunami which engulfed the world in 2007/2008, and with it the forex world changed too! If this is news to you, then yet another reason to buy the book. Long gone are the days when currency pairs meandered their way higher and lower in long term trends, driven by interest rate differentials. To take advantage, you need to understand the forces which now drive the markets. A Three Dimensional Approach To Forex Trading will empower you with knowledge. Knowledge and confidence go hand in hand. Confidence breeds success, and success breeds money, which will then flow from reading the book - Anna
Elliott Wave Principle : Key To Market Behavior
Developed by Ralph Nelson Elliott in the 1930s and '40s, the Elliott Wave Principle is a powerful analytical tool for forecasting stock market behavior. The basic concept behind the Wave Principle is that stock market prices rise and fall in discernible patterns and that those patterns can be linked together into waves.
In the years since it was first published, this classic guide to the Elliott Wave Principle has acquired a cult status among technical analysts, worldwide. And with each new edition, the authors have refined and enhanced the principle, while retaining all the predictions from past editions.
The 20th Anniversay Edition includes a special foreword and enhanced text. It’s the final revision of a classic.
"Elliott Wave Principle is simply the best description and validation of a concept which by all rights should be revolutionizing the scientific study of history and sociology." –JWG, New York
"Elliott Wave Principle is such an important, fascinating, even mind-bending work, we are convinced that is should be read by any and every serious student of the market, be they fundamentalist or technician, dealing in stocks, bonds or commodities." –Market Decision$
"Even allowing for minor stumbles, that 1978 prediction must go down as the most remarkable stock market prediction of all time." –James W. Cowan, Monitor Money Review
"Elliott Wave Principle is the greatest work of any kind, anywhere. It has helped me abandon speculative stock tips and stockbroker newsletter recommendations for my own predictions based on the simple wave theory." –J.V.
"I have just received my copy of Elliott Wave Principle and find it to be unquestionably the best book and explanation regarding the works of Elliott that I’ve ever seen." –J.B.B.
"I have recently read and reread Elliott Wave Principle. I was impressed with the research and especially thrilled with the excitement of coming into contact with a truly original concept." –M.F.
Forum on trading, automated trading systems and testing trading strategies
Something Interesting to Read December 2013
newdigital, 2013.12.20 09:13
Day Trading and Swing Trading the Currency Market: Technical and Fundamental Strategies to Profit from Market Moves
Discover a variety of technical and fundamental profit-making strategies for trading the currency market with the Second Edition of Day Trading and Swing Trading the Currency Market. In this book, Kathy Lien–Director of Currency Research for one of the most popular Forex providers in the world–describes everything from time-tested technical and fundamental strategies you can use to compete with bank traders to a host of more fundamentally-oriented strategies involving intermarket relationships, interest rate differentials, option volatility, news events, and central bank intervention.
Trading Chaos: Applying Expert Techniques to Maximize Your Profits
Chaos theory now stands at the cutting edge of financial decision-making methods. The product of years of scientific investigation into unpredictable phenomena, it has the potential to offer traders entirely new perspectives on the movements of markets—and less risky routes to greater, more consistent profitability. Unlike other books on the subject, Trading Chaos takes chaos analysis out of the realm of the abstract and makes complex concepts easy to understand and use. It offers you the most practical, comprehensive guide available to applying chaos theory to the real world of trading and investing.
In this breakthrough work, author Bill Williams gives you the benefit of his unique qualifications: 35 years of successful trading and a PhD in psychology. The instructional techniques used in Trading Chaos have been tested and refined in the workshops, seminars, and private tutoring sessions Dr. Williams has conducted in 12 different countries.
Designed for all traders—from beginner to experienced professional—Trading Chaos introduces you to the financial applications of chaos in five graduated stages, starting with a clear, nontechnical introduction (Level One: The Novice Trader) all the way to chart analysis, fractals, Elliott wave, and advanced nonlinear dynamics (Level Five: The Expert Trader).
Trading Chaos probes depths of human and economic behavior that other books do not even mention, including:
- A detailed examination of the underlying structure of the market
- How individual belief systems affect the way we trade
- How to determine "what the market wants"
- Most importantly—"how to want what the market wants"
Numerous charts, trading models, analysis spreadsheets, and review questions reinforce the key concepts and help insure full comprehension of the material.
Regardless of your current degree of expertise, Trading Chaos will take you to new levels of trading confidence and increased profit.
This practical guide to the powerful tools of chaos theory will help you make better, more profitable trades
"Bill Williams brings a unique background and experience to the commodity trading world. His approach to becoming a successful trader includes many fresh and fascinating concepts for traders of all experience levels."—Bruce Babcock Editor, Commodity Traders Consumer Report
"Bill Williams has demystified the Elliott Wave. His technical approach is an innovative and effective way to trade markets for novice and expert traders alike."—Bob Koppel Skylane Trading Group
"Trading Chaos by Bill Williams is an excellent guide to profiting from a market which is nonlinear in structure. The book is divided into logical levels of trading techniques useful to the novice and expert trader. I was genuinely surprised that the expert can still learn refreshingly new techniques at each level presented."—Timothy C. Slater Managing Director of Dow Jones Telerate Seminars
Trading Chaos takes chaos theory out of the abstract realm and into the real world of practical investment decision-making. Using the techniques in this remarkable book, you will uncover the hidden patterns of what appear to be the random, unpredictable movements of the commodity, futures, and options markets. Regardless of your current level of experience, expert commodity trader and trainer Bill Williams will give you the skills and insights to move to levels of trading ability you would not have imagined possible.
Clear, practical, and nontechnical—Unlike other books on chaos theory, Trading Chaos is designed to be easy to understand and use
Unique organizational format—Introduces the reader to the financial applications of chaos in five graduated stages, from Novice to Expert Trader
Expert advice on avoiding common psychological traps and pitfalls—Including such self-limiting afflictions as the "paralysis of analysis," "opinionitis," and the dangers of trading on individual belief systems
A wealth of supplementary materials—Charts, trading models, trade plans, analysis spreadsheets, and trading diaries illustrate and reinforce key concepts.
- reviews: 22
- Bill M. Williams
- www.amazon.com
Advanced Trading Rules, Second Edition (Quantitative Finance)
Advanced Trading Rules is the essential guide to state of the art
techniques currently used by the very best financial traders, analysts
and fund managers. The editors have brought together the world's leading
professional and academic experts to explain how to understand, develop
and apply cutting edge trading rules and systems. It is indispensable
reading if you are involved in the derivatives, fixed income, foreign
exchange and equities markets.
'Advanced Trading
Rules' demonstrates how to apply econometrics, computer modelling,
technical and quantitative analysis to generate superior returns,
showing how you can stay ahead of the curve by finding out why certain
methods succeed or fail.
Profit from this book by understanding how to use:
* stochastic properties of trading strategies
* technical indicators
* neural networks
* genetic algorithms
* quantitative techniques
* charts
Financial
markets professionals will discover a wealth of applicable ideas and
methods to help them to improve their performance and profits. Students
and academics working in this area will also benefit from the rigorous
and theoretically sound analysis of this dynamic and exciting area of
finance.
* The essential
guide to state of the art techniques currently used by the very best
financial traders, analysts and fund managers
* Provides a complete
overview of cutting edge financial markets trading rules, including new
material on technical analysis and evaluation
* Demonstrates how to apply econometrics, computer modeling, technical and quantitative analysis to generate superior returns
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
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