Something Interesting to Read June 2016

Forum on trading, automated trading systems and testing trading strategies

Something Interesting to Read May 2016

Muhammad Syamil Bin Abdullah, 2016.05.27 09:45

Forex Price Action Scalping: an in-depth look into the field of professional scalping

Forex Price Action Scalping provides a unique look into the field of professional scalping. Packed with countless charts, this extensive guide on intraday tactics takes the reader straight into the heart of short-term speculation. The book is written to accommodate all aspiring traders who aim to go professional and who want to prepare themselves as thoroughly as possible for the task ahead. Few books have been published, if any, that take the matter of scalping to such a fine and detailed level as does Forex Price Action Scalping. Hundreds of setups, entries and exits (all to the pip) and price action principles are discussed in full detail, along with the notorious issues on the psychological side of the job, as well as the highly important but often overlooked aspects of clever accounting. The book, counting 358 pages, opens up a wealth of information and shares insights and techniques that are simply invaluable to any scalper who is serious about his trading.

Forum on trading, automated trading systems and testing trading strategies

Press review

Sergey Golubev, 2014.06.10 19:47

Off Topic with Irene Aldridge

Alpha Pages: You took great issue with Michael Lewis’ claim that the market is “rigged.” Why?

Irene Aldridge: On the Michael Lewis topic, I suppose I am most disappointed in the pay-for-play quality of the book. Even the fastest best-selling writers can tell you that they are only capable of writing 15 pages per day, at best. To write a 300-page book, [is] a five-month process, at a bare minimum.

Incidentally, at the time Mr. Lewis’s book was released, the trading venue around which much of the book revolves, has been in existence for, wait for it, exactly five months! In other words, Mr. Lewis began to write the novel about his great protagonists and its creation prior to the launch of this trading venue at the center of this book—I really don’t see how he could have covered this in depth. [It appears to be an] elaborate marketing campaign for this trading venue. In other words, the book is marketing masquerading as a fair markets discourse. For a writer like Lewis, stooping so low is a complete disgrace. Markets have moved a long way toward fairness since then, so most of his criticism is completely unfounded.

AP: Is high frequency trading taking the heat for problems caused market structure or regulations? 

IA: From what we are seeing, this HFT pre-hedging that boils down to front-running [may have] unfortunately become common practice following the Volcker and Dodd-Frank rules. There still exists a FINRA rule that encourages brokers to avoid front-running, but FINRA is a self-regulatory organization, and the consequences of not following its rules [may not be so harsh]. While most of ABLE Alpha clients have the permission to access the markets directly and, as a result, avoid front-running, many smaller entities are not so lucky and end up losing money. I do not believe that this is what the regulators had in mind when they designed the laws, but these are the unintended consequences.

AP: There is an ongoing argument over whether HFT is a net liquidity maker or taker as opposed to traditional market makers? 

IA: I was just presenting at the Princeton Quant Trading conference, where a fellow speaker, [from a] prominent broker discussed how they are forced to spend money to build systems that monitor the number of zeroes human brokers put at the end of their orders simply because brokers so often come to work hung over and unable to focus. Well, needless to say, hangovers do not happen to computers.  Overall, the computers are considerably cheaper, more reliable and less demanding than human brokers, so there is absolutely no doubt in my mind that the computerized trading technology, known as HFT, will replace most of the presently-human trading operation at brokers in continuing the digital revolution observed elsewhere in the society.

AP: Will the size of HFT be self-correcting? Will algorithms exploit inefficiencies until they’re gone? 

One of our products is the HFT Index, science, not hear-say, based [on a] real-time estimate of aggressive HFT participation in electronic markets of customer choice. According to our estimates, activity level of aggressive HFTs by volume averages 15% to 20% in most markets, although intraday it may spike up 100%, or drop to 0%.

According to the HFT Index, many highly liquid securities have the lowest HFT participation as a percent of overall volume, seldom exceeding 15%, while some other instruments are dominated by the aggressive HFTs. Painting the entire market with a wide 50% HFT brush gives little insight into what we and our clients are actually seeing.

Forum on trading, automated trading systems and testing trading strategies

Something Interesting to Read April 2014

Sergey Golubev, 2014.04.14 20:48

Theory Of Stochastic Processes : With Applications to Financial Mathematics and Risk Theory

This book is a collection of exercises covering all the main topics in the modern theory of stochastic processes and its applications, including finance, actuarial mathematics, queuing theory, and risk theory.

The aim of this book is to provide the reader with the theoretical and practical material necessary for deeper understanding of the main topics in the theory of stochastic processes and its related fields.

The book is divided into chapters according to the various topics. Each chapter contains problems, hints, solutions, as well as a self-contained theoretical part which gives all the necessary material for solving the problems. References to the literature are also given.

The exercises have various levels of complexity and vary from simple ones, useful for students studying basic notions and technique, to very advanced ones that reveal some important theoretical facts and constructions.

This book is one of the largest collections of problems in the theory of stochastic processes and its applications. The problems in this book can be useful for undergraduate and graduate students, as well as for specialists in the theory of stochastic processes.