Automated Option Trading: Create, Optimize, and Test Automated Trading SystemsThe first and only book of its kind, Automated Options Trading describes a comprehensive, step-by-step process for creating automated options trading systems. Using the authors’ techniques, sophisticated traders can create powerful frameworks for the consistent, disciplined realization of well-defined, formalized, and carefully-tested trading strategies based on their specific requirements. Unlike other books on automated trading, this book focuses specifically on the unique requirements of options, reflecting philosophy, logic, quantitative tools, and valuation procedures that are completely different from those used in conventional automated trading algorithms. Every facet of the authors’ approach is optimized for options, including strategy development and optimization; capital allocation; risk management; performance measurement; back-testing and walk-forward analysis; and trade execution. The authors’ system reflects a continuous process of valuation, structuring and long-term management of investment portfolios (not just individual instruments), introducing systematic approaches for handling portfolios containing option combinations related to different underlying assets. With these techniques, it is finally possible to effectively automate options trading at the portfolio level. This book will be an indispensable resource for serious options traders working individually, in hedge funds, or in other institutions. |
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algorithm analysis applied approach asset price average basis calculated calm capital allocation characteristics chart in Figure close coefficient combinations complex consider consists constructed corresponding created creation criterion threshold delta-neutrality delta-neutrality boundaries depending described determined developer directional distribution effectiveness equal estimation evaluation example executed expected expiration date expressed extent Figure first forecast given higher historical included increases index delta indicators influence length limited loss lower maximum means method months node objective function obtained opening optimal area optimal solution optimization space options expiration original parameter partially payoff percentage performance period portfolio positions presented probability problem profit ratio relating relationship relative represents requires risk selected separate shown shows situated specific standard strikes range surface Table testing trading strategy underlying asset values variability variants volatility weight
Bibliographic information
| Title | Automated Option Trading: Create, Optimize, and Test Automated Trading Systems |
| Authors | Sergey Izraylevich Ph.D., Vadim Tsudikman |
| Publisher | FT Press, 2012 |
| ISBN | 0132491907, 9780132491907 |
| Length | 304 pages |
| Subjects | › › Business & Economics / Finance / General Business & Economics / Investments & Securities / General Business & Economics / Investments & Securities / Options |
| Export Citation | BiBTeX EndNote RefMan |