Download or read book Optimal Trading Strategies with Private Information written by David Walsh and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 A Theory of Optimal Institutional Trading written by Craig W. Holden and published by . This book was released on 2015 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: I develop a theory of optimal trading by an institutional trader who receives a parent order (i.e., an overall trading request) from a fund manager to buy a specific quantity of a particular stock over a specified time horizon. The trader selects child orders to be submitted each period over the allotted time horizon to a limit order book market. Child orders can be either market orders or limit orders. Limit order prices can be selected from any price on a penny price grid. An unexecuted limit order can be cancelled at any time. The trader's objective is to minimize the disutility of the fund manager. In the base version of the theory, all child orders are of unit size. I derive an analytic solution for the optimal trading strategy and show that it involves “dynamic aggressiveness.” This means that if the current period limit order executes (doesn't execute), then the next limit order optimally has a weakly less (weakly more) aggressive price. Next, I extend the theory to: (1) permit child orders of any size, (2) allow the fund manager to have private information about future stock prices, (3) allow the fund manager to be risk averse, and (4) allow four alternative metrics for computing execution cost. I calibrate the model to real-world data and optimize it numerically. I find that if the fund manager has a large disutility parameter for underfills, then the optimal strategy involves a sequence of limit orders early on and switches to a sequence market orders later on to guarantee purchasing the parent order. Conversely, if the fund manager has a zero disutility parameter for underfills, then the optimal strategy involves a sequence of limit orders with low price aggressiveness, such that each individual trade will earn the spread. If a fund manager is relatively informed and/or highly risk averse, then the optimal strategy is relatively front-loaded in time and switches to market orders relatively early so as to trade before price moves in the predicted direction and/or to reduce risk. Conversely, if the fund manager is uninformed and has low risk aversion, then the optimal strategy is spread out over time and switches to market orders later. I find that the optimal trading strategy frequently involves dynamic aggressiveness and frequently beats two benchmark trading strategies from the existing literature. Finally, I discuss empirical predictions of the theory and how they can be tested.
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 Essays On Trading Strategy written by Graham L Giller and published by World Scientific. This book was released on 2023-08-17 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book directly focuses on finding optimal trading strategies in the real world and supports that with a well-defined theoretical foundation that allows trading strategy problems to be solved. Critically, it also delivers a menu of actual solutions that can be applied by traders with various risk profiles and objectives in markets that exhibit substantial tail risk. It shows how the Markowitz approach leads to excessive risk taking, and trader underperformance, in the real world. It summarizes the key features of Utility Theory, the deficiencies of the Sharpe Ratio as a statistic, and develops an optimal decision theory with fully developed examples for both 'Normal' and leptokurtotic distributions.
Download or read book Strategic Trading with Market Closures written by Alex Boulatov and published by . This book was released on 2006 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the equilibrium trading strategies of informed traders in the presence of market closures defined as periodic predictable stops of trading. We construct a dynamic auction model based on rational strategic behavior with asymmetric information across the agents. Empirical evidence indicates that market closures have important impact on the information structure of financial markets, in particular the private information flow. In our model, the insiders repeatedly increase their informational advantage over other agents by receiving private signals about fundamentals when the market is closed. In a continuous-time setting, we solve a dynamic programming problem and derive closed-form solutions for optimal intertemporal strategies of both insiders and the market maker. The key feature of insiders' optimal strategy is that they act strategically by anticipating future market closures. Because of this, even though market closures are periodic, the intertemporal pattern of optimal trading strategies is {not} periodic. This aperiodicity of trading is quite important since while it is a definitive feature of the data, it has been missing from the existing theoretical literature on market closures. In agreement with broad empirical evidence, we obtain a U-shaped pattern of trading volume during the periods when the market is open, superimposed on a U-shaped pattern during the lifetime of the economy, before all information about the asset is revealed.
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 The Evaluation and Optimization of Trading Strategies written by Robert Pardo and published by John Wiley & Sons. This book was released on 2011-01-11 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: A newly expanded and updated edition of the trading classic, Design, Testing, and Optimization of Trading Systems Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of Trading Strategies, a thoroughly revised and updated edition of his classic text Design, Testing, and Optimization of Trading Systems, he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading strategies to measuring issues like profit and risk. Written in a straightforward and accessible style, this detailed guide presents traders with a way to develop and verify their trading strategy no matter what form they are currently using–stochastics, moving averages, chart patterns, RSI, or breakout methods. Whether a trader is seeking to enhance their profit or just getting started in testing, The Evaluation and Optimization of Trading Strategies offers practical instruction and expert advice on the development, evaluation, and application of winning mechanical trading systems.
Download or read book Trading Strategies in the Presence of Private Information and Transaction Costs written by and published by . This book was released on 1991 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Trading Strategies Vs a Statistical Adversary written by Andrew Chou and published by . This book was released on 1994 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Risk Analysis written by Gregory Connor and published by Princeton University Press. This book was released on 2010-03-15 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Download or read book Portfolio Optimization with Different Information Flow written by Caroline Hillairet and published by Elsevier. This book was released on 2017-02-10 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Optimization with Different Information Flow recalls the stochastic tools and results concerning the stochastic optimization theory and the enlargement filtration theory.The authors apply the theory of the enlargement of filtrations and solve the optimization problem. Two main types of enlargement of filtration are discussed: initial and progressive, using tools from various fields, such as from stochastic calculus and convex analysis, optimal stochastic control and backward stochastic differential equations. This theoretical and numerical analysis is applied in different market settings to provide a good basis for the understanding of portfolio optimization with different information flow. Presents recent progress of stochastic portfolio optimization with exotic filtrations Shows you how to apply the tools of the enlargement of filtrations to resolve the optimization problem Uses tools from various fields from enlargement of filtration theory, stochastic calculus, convex analysis, optimal stochastic control, and backward stochastic differential equations
Download or read book Give Your Trading the Edge written by Chelsea Reid and published by John Wiley & Sons. This book was released on 2007-04-30 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Give Your Trading the Edge is a compilation of key insights from well-known contributors to YourTradingEdge Magazine. Trading experts Louise Bedford, Jim Berg, Dawn Bolton-Smith, Kel Butcher, Kerry johnston, Gary Norden and Tom Scollon share their experiences and understanding of what it takes to succeed as a trader, without using the confusing jargon found in many trading publications. Give Your Trading the Edge is ideal for anyone who is serious about trading - whether a novice of a seasoned trader. It will assist traders who are facing challenges to their trading success and give them the knowledge and tools required to profit from the market. Give Your Trading the Edge covers: short- and long-term trading - the best approach for you technical analysis - how to get the most from it fundamental and technical analysis - how to combine the two to achieve optimal results money management for trading success - the steps to enjoying your trading and investing trading plans - how to build one that suits your lifestyle thinking like a trader - an insight into the thought process and lessons essential for trading success contracts for difference (CFDs) - key trading strategies. Discover how to give your trading the edge!
Download or read book Trading Strategies for Direct Access Trading written by Robert Sales and published by McGraw-Hill Companies. This book was released on 2001 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: The electronic direct access method of trading doesn't mean that traders can simply click a mouse button and watch the profits roll in. Trading strategies are still needed to make the right trade at the right time. Electronic direct access trading can use many of the same strategies and techniques that have been successfully used by traders for decades. However, because this is a slightly different medium for trading, trading strategies must be altered to fit this new trading format.
Download or read book Optimal Trading Strategy and Sypply demand Dynamics written by Anna Obizhaeva and published by . This book was released on 2005 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing under Asymmetric Information written by Markus K. Brunnermeier and published by OUP Oxford. This book was released on 2001-01-25 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset prices are driven by public news and information that is often dispersed among many market participants. These agents try to infer each other's information by analyzing price processes. In the past two decades, theoretical research in financial economics has significantly advanced our understanding of the informational aspects of price processes. This book provides a detailed and up-to-date survey of this important body of literature. The book begins by demonstrating how to model asymmetric information and higher-order knowledge. It then contrasts competitive and strategic equilibrium concepts under asymmetric information. It also illustrates the dependence of information efficiency and allocative efficiency on the security structure and the linkage between both efficiency concepts. No-Trade theorems and market breakdowns due to asymmetric information are then explained, and the existence of bubbles under symmetric and asymmetric information is investigated. The remainder of the survey is devoted to contrasting different market microstructure models that demonstrate how asymmetric information affects asset prices and traders' information , which provide a theoretical explanation for technical analysis and illustrate why some investors "chase the trend." The reader is then introduced to herding models and informational cascades, which can arise in a setting where agents' decision-making is sequential. The insights derived from herding models are used to provide rational explanations for stock market crashes. Models in which all traders are induced to search for the same piece of information are then presented to provide a deeper insight into Keynes' comparison of the stock market with a beauty contest. The book concludes with a brief summary of bank runs and their connection to financial crises.
Download or read book High Frequency Trading and Limit Order Book Dynamics written by Ingmar Nolte and published by Routledge. This book was released on 2016-04-14 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.