Download or read book Optimal Mean Reversion Trading written by Tim Leung (Professor of industrial engineering) and published by World Scientific. This book was released on 2015-11-26 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments."--
Download or read book Optimal Mean Reversion Trading written by Tim Leung and published by . This book was released on 2019 with total page 1 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a systematic study on the optimal timing of trades in markets with mean-reverting price dynamics. We present a financial engineering approach that distills the core mathematical questions from different trading problems, and also incorporates the practical aspects of trading, such as model estimation, risk premia, risk constraints, and transaction costs, into our analysis. Self-contained and organized, the book not only discusses the mathematical framework and analytical results for the financial problems, but also gives formulas and numerical tools for practical implementation. A wide array of real-world applications are discussed, such as pairs trading of exchange-traded funds, dynamic portfolio of futures on commodities or volatility indices, and liquidation of options or credit risk derivatives.A core element of our mathematical approach is the theory of optimal stopping. For a number of the trading problems discussed herein, the optimal strategies are represented by the solutions to the corresponding optimal single/multiple stopping problems. This also leads to the analytical and numerical studies of the associated variational inequalities or free boundary problems. We provide an overview of our methodology and chapter outlines in the Introduction.Our objective is to design the book so that it can be useful for doctoral and masters students, advanced undergraduates, and researchers in financial engineering/mathematics, especially those who specialize in algorithmic trading, or have interest in trading exchange-traded funds, commodities, volatility, and credit risk, and related derivatives. For practitioners, we provide formulas for instant strategy implementation, propose new trading strategies with mathematical justification, as well as quantitative enhancement for some existing heuristic trading strategies.
Download or read book Day Trader s Handbook written by Max Rybinski and published by Max Rybinski. This book was released on 2017-05-02 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: The workbook is organized to provide a critical foundation for every trader at every level of experience. The material is designed to offer an in-depth understanding of technical analysis and demonstrates how to implement technical indicators and indicator combinations. If you read the material and do the exercises provided, you will be on your way to success in trading!
Download or read book Pairs Trading written by Ganapathy Vidyamurthy and published by John Wiley & Sons. This book was released on 2011-02-02 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
Download or read book Algorithmic and High Frequency Trading written by Álvaro Cartea and published by Cambridge University Press. This book was released on 2015-08-06 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.
Download or read book Get Rich With Options written by Lee Lowell and published by John Wiley & Sons. This book was released on 2007-05-23 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: In order to survive and thrive in today's financial markets, you must seriously consider the use of options in your investment endeavors. Options allow you to reap the same benefits as an outright stock or commodity trade, but with less risk and less money on the line. The truth is, you can achieve everything with options that you would with stocks or commodities?at less cost?while gaining a much higher percentage return on your invested dollars. After numerous years as a market maker in the trenches of the New York Mercantile Exchange, few analysts know how to make money trading options like author Lee Lowell. In this well-rounded resource, Lowell shows both stock and commodity option traders exactly what works and what doesn't. Filled with in-depth insight and expert advice, Get Rich with Options provides you with the knowledge and strategies needed to achieve optimal results within the options market. The book quickly covers the basics?how options are priced, strike price selection, the use of Delta, and using volatility to one's advantage?before moving on to the four options trading strategies that have helped Lowell profit in this arena time and again: buying deep-in-the-money call options, selling naked puts, selling option credit spreads, and selling covered calls. Using these strategoes decisively, he says, is the fastest route to riches in the options trading game. Get Rich with Options is packed with real-life examples of actual trades and detailed discussions of how options can be used as a hedging, speculating, or income-producing tool. You'll learn how to set up a home business with the best options trading software, tools, and Web sites. And you'll begin to see options in a whole new light and discover how to become part of a small group of investors who consistently win.
Download or read book Online Portfolio Selection written by Bin Li and published by CRC Press. This book was released on 2018-10-30 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the aim to sequentially determine optimal allocations across a set of assets, Online Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape. Online Portfolio Selection: Principles and Algorithms supplies a comprehensive survey of existing OLPS principles and presents a collection of innovative strategies that leverage machine learning techniques for financial investment. The book presents four new algorithms based on machine learning techniques that were designed by the authors, as well as a new back-test system they developed for evaluating trading strategy effectiveness. The book uses simulations with real market data to illustrate the trading strategies in action and to provide readers with the confidence to deploy the strategies themselves. The book is presented in five sections that: Introduce OLPS and formulate OLPS as a sequential decision task Present key OLPS principles, including benchmarks, follow the winner, follow the loser, pattern matching, and meta-learning Detail four innovative OLPS algorithms based on cutting-edge machine learning techniques Provide a toolbox for evaluating the OLPS algorithms and present empirical studies comparing the proposed algorithms with the state of the art Investigate possible future directions Complete with a back-test system that uses historical data to evaluate the performance of trading strategies, as well as MATLAB® code for the back-test systems, this book is an ideal resource for graduate students in finance, computer science, and statistics. It is also suitable for researchers and engineers interested in computational investment. Readers are encouraged to visit the authors’ website for updates: http://olps.stevenhoi.org.
Download or read book Quantitative Trading written by Ernie Chan and published by Wiley. This book was released on 2008-11-17 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Dynamic Allocation and Pricing written by Alex Gershkov and published by MIT Press. This book was released on 2024-06-11 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new approach to dynamic allocation and pricing that blends dynamic paradigms from the operations research and management science literature with classical mechanism design methods. Dynamic allocation and pricing problems occur in numerous frameworks, including the pricing of seasonal goods in retail, the allocation of a fixed inventory in a given period of time, and the assignment of personnel to incoming tasks. Although most of these problems deal with issues treated in the mechanism design literature, the modern revenue management (RM) literature focuses instead on analyzing properties of restricted classes of allocation and pricing schemes. In this book, Alex Gershkov and Benny Moldovanu propose an approach to optimal allocations and prices based on the theory of mechanism design, adapted to dynamic settings. Drawing on their own recent work on the topic, the authors describe a modern theory of RM that blends the elegant dynamic models from the operations research (OR), management science, and computer science literatures with techniques from the classical mechanism design literature. Illustrating this blending of approaches, they start with well-known complete information, nonstrategic dynamic models that yield elegant explicit solutions. They then add strategic agents that are privately informed and then examine the consequences of these changes on the optimization problem of the designer. Their sequential modeling of both nonstrategic and strategic logic allows a clear picture of the delicate interplay between dynamic trade-offs and strategic incentives. Topics include the sequential assignment of heterogeneous objects, dynamic revenue optimization with heterogeneous objects, revenue maximization in the stochastic and dynamic knapsack model, the interaction between learning about demand and dynamic efficiency, and dynamic models with long-lived, strategic agents.
Download or read book Mechanical Trading Systems written by Richard L. Weissman and published by John Wiley & Sons. This book was released on 2005 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: It also provides a detailed examination of the personality traits common to the three basic types of trader - trend-following (long to intermediate term), mean reversion (intermediate-term), and short-term (swing and day traders) - and illustrates how a strict adherence to specific types of trading systems can foster a psychological flexibility that will allow you to succeed in all kinds of trading environments: countertrending, choppy, or trending."--Jacket.
Download or read book Machine Trading written by Ernest P. Chan and published by John Wiley & Sons. This book was released on 2017-02-06 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dive into algo trading with step-by-step tutorials and expert insight Machine Trading is a practical guide to building your algorithmic trading business. Written by a recognized trader with major institution expertise, this book provides step-by-step instruction on quantitative trading and the latest technologies available even outside the Wall Street sphere. You'll discover the latest platforms that are becoming increasingly easy to use, gain access to new markets, and learn new quantitative strategies that are applicable to stocks, options, futures, currencies, and even bitcoins. The companion website provides downloadable software codes, and you'll learn to design your own proprietary tools using MATLAB. The author's experiences provide deep insight into both the business and human side of systematic trading and money management, and his evolution from proprietary trader to fund manager contains valuable lessons for investors at any level. Algorithmic trading is booming, and the theories, tools, technologies, and the markets themselves are evolving at a rapid pace. This book gets you up to speed, and walks you through the process of developing your own proprietary trading operation using the latest tools. Utilize the newer, easier algorithmic trading platforms Access markets previously unavailable to systematic traders Adopt new strategies for a variety of instruments Gain expert perspective into the human side of trading The strength of algorithmic trading is its versatility. It can be used in any strategy, including market-making, inter-market spreading, arbitrage, or pure speculation; decision-making and implementation can be augmented at any stage, or may operate completely automatically. Traders looking to step up their strategy need look no further than Machine Trading for clear instruction and expert solutions.
Download or read book Candlestick and Pivot Point Trading Triggers written by John L. Person and published by John Wiley & Sons. This book was released on 2011-01-19 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: In his first book, A Complete Guide to Technical Trading Tactics, John Person introduced traders to the concept of integrating candlestick charting with pivot point analysis. Now, in Candlestick and Pivot Point Trading Triggers, he goes a step further and shows you how to devise your own setups and triggers—in the stock, forex, and futures markets—based on a moving average approach. Note: Website and other supplementary materials are not included as part of eBook file.
Download or read book Leveraged Exchange Traded Funds written by Tim Leung and published by Springer. This book was released on 2016-02-24 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs. It also leads to the discussion of new risk management concepts, such as admissible leverage ratios and admissible risk horizon, as well as the mathematical and empirical analyses of several trading strategies, including static portfolios, pairs trading, and stop-loss strategies involving ETFs and LETFs. The final part of the book addresses the pricing of options written on LETFs. Since different LETFs are designed to track the same reference index, these funds and their associated options share very similar sources of randomness. The authors provide a no-arbitrage pricing approach that consistently value options on LETFs with different leverage ratios with stochastic volatility and jumps in the reference index. Their results are useful for market making of these options, and for identifying price discrepancies across the LETF options markets. As the market of leveraged exchange-traded products become a sizeable connected part of the financial market, it is crucial to better understand its feedback effect and broader market impact. This is important not only for individual and institutional investors, but also for regulators.
Download or read book Jakarta EE Recipes written by Josh Juneau and published by Apress. This book was released on 2020-03-27 with total page 871 pages. Available in PDF, EPUB and Kindle. Book excerpt: Take a problem-solution approach to programming enterprise Java applications and microservices for cloud-based solutions, enterprise database applications, and even small business web applications. This book provides effective and proven code snippets that you can immediately use to accomplish just about any task that you may encounter. You can feel confident using the reliable solutions that are demonstrated in this book in your personal or corporate environment. Java EE was made open source under the Eclipse Foundation, and Jakarta EE is the new name for what used to be termed the Java Enterprise Edition Platform. This book helps you rejuvenate your Java expertise and put the platform’s latest capabilities to use in quickly developing robust applications. If you are new to Jakarta EE, this book will help you learn features of the platform, and benefit from one of the most widely used and powerful technologies available for application development today. Examples in Jakarta EE Recipes highlight Jakarta EE’s capabilities, helping you to build streamlined and reliable applications using the latest in Java technologies. The book takes a problem-solution approach in which each section introduces a common programming problem, showing you how to best solve that problem using the latest features in Jakarta EE. Solutions are presented in the form of working code examples that you can download and use immediately in your own projects. Clear descriptions are given so you can understand and learn to build further on the solutions that are provided. This is the ideal book for the code-focused programmer interested in keeping up with the future of enterprise development on the Java Platform. What You Will LearnDevelop enterprise Java applications using the now open source Jakarta EE platform Create great-looking user interfaces using Jakarta Server Faces and the Eclipse Krazo framework Build database applications using Jakarta Enterprise Beans and Jakarta RESTFul web services Automate testing through cohesive test suites built on Arquillian for Jakarta EE applications Deploy microservices applications in cloud environments using Docker Secure applications utilizing the Jakarta EE Security API and JSON Web Tokens Who This Book Is For Java developers interested in quickly finding effective and proven solutions without reading through a lengthy manual and scrubbing for techniques
Download or read book The Definitive Guide to Position Sizing written by Van K. Tharp and published by . This book was released on 2008-03 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trade Facilitation written by Patricia Sourdin and published by Edward Elgar Publishing. This book was released on 2012-01-01 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'In the last decade trade costs have been a subject of intense study in the international trade literature. Richard Pomfret and Patricia Sourdin provide a timely and accessible summary of what we know so far. Their comprehensive review of what we have learned is paired here with important new research in the area of trade facilitation. This is important reading for policymakers interested in international trade and trade-related economic development.' Russell Hillberry, University of Melbourne, Australia 'Few topics are as important in international economics as trade costs. Surprisingly, there are few studies that explicitly address that issue in detail. This makes the book of great value to both professional economists and policy makers worldwide helping them to understand the different concepts of trade costs, their determinants and how to reduce them using trade facilitation measures. The book is very well written and a must read for any person that has an interest in trade costs!' Matthias Busse, Ruhr-University of Bochum, Germany This up-to-date and informative book provides a comprehensive treatment of the costs of trading across borders and of trade facilitation policies. While traditional tariff and non-tariff barriers to trade have been reduced, international trade continues to involve higher costs in money and time than domestic trade. These include not only transport costs, that are determined by distance and commodity characteristics, but also at-the-border and behind-the-border costs which can be reduced by appropriate policies. Research on trade costs has flourished since the turn of the century, and this book by Patricia Sourdin and Richard Pomfret, takes stock of our increased knowledge of the nature and magnitude of trade costs, analysing why they are high and how they can be reduced to increase the gains from trade. Trade Facilitation will appeal to economists and policymakers at the national level and in multinational institutions, researchers and postgraduate students interested in international trade and trade policy, as well as students in international business.
Download or read book Real Options in Energy and Commodity Markets written by Nicola Secomandi and published by World Scientific. This book was released on 2016-11-28 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of real options is concerned with the management and financial valuation of operational flexibility in business endeavors. From the very outset, energy and commodity markets — which play fundamental roles in the worldwide economy — have provided a relevant context for real option analysis, both in theory and practice. This volume is a collection of six chapters covering recent research on real options in energy and commodity markets, reflecting the significance of these markets for real option analysis. The volume is divided into two parts — the first on theory and the second on methods and applications. The two chapters in the first part of the book respectively address commodity storage and the concept of convenience yield, and how the management of real options can be impacted by the trader's own market decisions in the context of commodity shipping. The four chapters in the second part of the book propose and apply real option models in various domains — modeling the evolution of futures prices of emission certificates; managing copper extraction illustrated with an application to a project at Codelco, Chile, the largest copper producer in the world; the core ideas behind real option analysis in the context of the merchant management of hydrocarbon cracking operations; and optimizing the portfolio of contracts that oil refineries use to market their gasoline production.
