Download or read book Optimal Trading Strategies Under Arbitrage written by Johannes Karl Dominik Ruf and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: It is further demonstrated that markets are quasi-complete, subject to the condition that the drift and diffusion coefficients are measurable with respect to the stock price filtration.
Download or read book Optimal Trading Strategies written by Robert Kissell and published by Amacom Books. This book was released on 2003 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The decisions that investment professionals and fund managers make have a direct impact on investor return. Unfortunately, the best implementation methodologies are not widely disseminated throughout the professional community, compromising the best interests of funds, their managers, and ultimately the individual investor. But now there is a strategy that lets professionals make better decisions. This valuable reference answers crucial questions such as: * How do I compare strategies? * Should I trade aggressively or passively? * How do I estimate trading costs, ""slice"" an order, and measure performance? and dozens more. Optimal Trading Strategies is the first book to give professionals the methodology and framework they need to make educated implementation decisions based on the objectives and goals of the funds they manage and the clients they serve."
Download or read book Optimal Arbitrage Trading written by Michael Boguslavsky and published by . This book was released on 2004 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the position management problem for an agent trading a mean-reverting asset. This problem arises in many statistical and fundamental arbitrage trading situations when the short-term returns on an asset are predictable but limited risk-bearing capacity does not allow to fully exploit this predictability. The model is rather simple; it does not require any inputs apart from the parameters of the price process and agent's relative risk aversion. However, the model reproduces some realistic patterns of traders' behaviour. We use the Ornstein-Uhlenbeck process to model the price process and consider a finite horizon power utility agent. The dynamic programming approach yields a non-linear PDE. It is solved explicitly, and simple formulas for the value function and the optimal trading strategy are obtained. We use Monte-Carlo simulation to check for the effects of parameter misspecification.
Download or read book Optimal Trading Strategies Within the Hamilton Jacobi Bellman Equation An Application to Statistical Arbitrage written by Atsunari Konishi and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose optimal trading strategies based on the Hamilton-Jacobi-Bellman equation when a trader is allowed to place only market orders with a particular focus on a statistical arbitrage. A process that a placed limit order is filled is often modeled as a stochastic point process. In case of a market order, however, it is filled with a hundred percent probability meaning that it is not a stochastic process and is rather a deterministic one. They are therefore represented using the Heaviside step function and their infinitesimal generators are just time derivative and give delta functions. An integral linear utility function with an inventory penalty and a discount enables us to obtain optimal number of market order with a simple calculus and those in a limit T → ∞, i.e. a stationary limit. We show that, at least within our formulation, we cannot generate a positive PnL by trading multiple set of assets whose noises are correlated but their drifts are zero which contradicts the common statement that "Given correlated multiple assets, we can exploit those correlations by trading an appropriate linear combination of them". However, we show that if multiple assets are cointegrated, we can create a mean-reverting portfolio and exploit them. In that case, an optimal number of market order which takes current status of market as well as a trader's preference into account is given in a simple but intuitive and reasonable form and it does generate positive PnL while controlling risk of the portfolio.
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 Optimal Trading Strategies Quantitative Approaches For Managing Market Impact And Trading Risk written by Kissell & Glantz and published by . This book was released on with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Statistical Arbitrage written by Andrew Pole and published by John Wiley & Sons. This book was released on 2011-07-07 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.
Download or read book Trading Strategies Within the Edges of No Arbitrage written by Álvaro Cartea and published by . This book was released on 2015 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a trading strategy which employs limit and market orders in a multi-asset economy where the assets are not only correlated, but can also be structurally dependent. To model the structural dependence, the midprice processes follow a multivariate reflected Brownian motion on the closure of a no-arbitrage region which is dictated by the assets' bid-ask spreads. We provide a formal framework for such an economy and solve for the value function and optimal control for an investor who takes positions in these assets. The optimal strategy exhibits two dominant features which depend on how far the vector of midprices is from the no-arbitrage bounds. When midprices are sufficiently far from the no-arbitrage edges, the strategy behaves as that of a market maker who posts buy and sell limit orders. And when the midprice vector is close to the edge of the no-arbitrage region, the strategy executes a combination of market orders and limit orders to profit from statistical arbitrages. Moreover, we discuss a numerical scheme to solve for the value function and optimal control, and perform a simulation study to discuss the main characteristics of the optimal strategy.
Download or read book Trades Quotes and Prices written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2018-03-22 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
Download or read book Optimal Trading Strategies written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Facing an Arbitrage Opportunity written by Robert A. Jarrow and published by . This book was released on 2014 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In traditional thinking, an arbitrageur will trade immediately once an arbitrage opportunity appears. Is this the best strategy for the arbitrageur or it is even better to wait for the best time to trade so as to achieve the maximum profit? To answer this question, this paper studies the optimal trading strategies of an arbitrageur in a dynamic economy where the arbitrageur's trades affect prices, and the arbitrageur faces competition from other arbitrageurs exploiting the same mispricings. The proposed model considers fixed and proportional transaction costs, and closed form expressions for the threshold values in the optimal policies are provided. The theoretical and numerical results answer how the timing of the trade and the trade size depend on the magnitudes of the fixed and proportional transaction costs, the dynamics of the arbitrage opportunity, the interest rate, the market impact, and the level of competition. Furthermore, this study numerically studies how the trading horizon and the trader's risk attitude affect the arbitrageurs' decision. With competition, the start-to-trade threshold approaches the proportional cost. Our paper provides a new perspective on the existing empirical literature testing for the existence of arbitrage opportunities.
Download or read book The Science of Algorithmic Trading and Portfolio Management written by Robert Kissell and published by Academic Press. This book was released on 2013-10-01 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. Helps readers design systems to manage algorithmic risk and dark pool uncertainty. Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.
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 Trading Strategies In Bond Markets written by Niklas Lachenicht and published by GRIN Verlag. This book was released on 2017-05-03 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2015 in the subject Mathematics - Applied Mathematics, grade: 1,5, University of Hannover, language: English, abstract: This work discusses trading strategies with focus on the application in the government bond market. An arbitrage-free yield curve prediction model and a parametric estimation method are presented to form the basis of finding trading strategies. The arbitrage-free model is based on the Heath-Jarrow-Morton model. The parametric approach is the Dynamic Nelson-Siegel method. For the US Treasury yield curve the performance of both methods is tested and compared to each other. Moreover, portfolio optimization with respect to the conditional value at risk is illustrated. A smoothing technique and the Nesterov procedure are exhibited as efficient implementations of the linked portfolio selection problem. At last, it is shown in an example for US Treasuries how the estimated yield curve can be incorporated into portfolio optimization to derive trading strategies. --- In der vorliegende Arbeit wird gezeigt, wie Strategien für das Handeln von staatlichen Obligationen entwickelt werden können. Die Basis hierzu bilden ein arbitrage-freier Ansatz und ein parametrischer Ansatz, um die Zinskurve vorherzusagen. Der arbitrage-freie Ansatz basiert auf dem Heath-Jarrow-Morton Modell, der parametrische Ansatz ist die dynamische Nelson-Siegel Methode. Der praktische Nutzen beider Verfahren wird für US Staatsanleihen untersucht und einander gegenüber gestellt. Im Weiteren wird die Theorie der Portfolio Optimierung bezüglich des Conditional Value at Risks vorgestellt und zwei Verfahren zu dessen effizienten Implementierung erklärt. Schlussendlich wird an einem Beispiel für US Staatsanleihen gezeigt, wie die Methoden zur Zinsvorhersage in das Porfoliooptimierungsproblem mit einbezogen werden können, um Handelsstrategien zu entwickeln.
Download or read book Day Trading written by Justin Kuepper and published by Sourcebooks, Inc.. This book was released on 2015-04-10 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: All You'll Ever Need to Trade from Home When most people hear the term "day trader," they imagine the stock market floor packed with people yelling 'Buy' and 'Sell' - or someone who went for broke and ended up just that. These days, investing isn't just for the brilliant or the desperate—it's a smart and necessary move to ensure financial wellbeing. To the newcomer, day trading can be a confusing process: where do you begin, and how can you approach trading in a careful yet effective way? With Day Trading you'll get the basics, then: Learn the Truth About Trading Understand The Psychology of Trading Master Charting and Pattern-recognition Study Trading Options Establish Trading Strategies & Money Management Day Trading will let you make the most out of the free market from the comfort of your own computer.
Download or read book Trading and Exchanges written by Larry Harris and published by OUP USA. This book was released on 2003 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
