Professional Automated Trading: Theory and Practice

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John Wiley & Sons, Oct 4, 2013 - Business & Economics - 384 pages
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An insider's view of how to develop and operate an automatedproprietary trading network

Reflecting author Eugene Durenard's extensive experience in thisfield, Professional Automated Trading offers valuableinsights you won't find anywhere else. It reveals how a series ofconcepts and techniques coming from current research in artificiallife and modern control theory can be applied to the design ofeffective trading systems that outperform the majority of publishedtrading systems. It also skillfully provides you with essentialinformation on the practical coding and implementation of ascalable systematic trading architecture.

Based on years of practical experience in building successfulresearch and infrastructure processes for purpose of trading atseveral frequencies, this book is designed to be a comprehensiveguide for understanding the theory of design and the practice ofimplementation of an automated systematic trading process at aninstitutional scale.

  • Discusses several classical strategies and covers the design ofefficient simulation engines for back and forward testing
  • Provides insights on effectively implementing a series ofdistributed processes that should form the core of a robust andfault-tolerant automated systematic trading architecture
  • Addresses trade execution optimization by studyingmarket-pressure models and minimization of costs via applicationsof execution algorithms
  • Introduces a series of novel concepts from artificial life andmodern control theory that enhance robustness of the systematicdecision making—focusing on various aspects of adaptation anddynamic optimal model choice

Engaging and informative, Proprietary Automated Tradingcovers the most important aspects of this endeavor and will put youin a better position to excel at it.

 

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Contents

A New Socioeconomic Paradigm
Analogies between Systematic Trading
CONTROL
3CONSUMING EVENTS 4 4UPDATING
InterAgentCommunications 5 1 Handling Communication Events
Data Representation Techniques
Basic Trading Strategies
Architecture for MarketMaking
Chapter
Chapter
Data Persistence 20 1 BUSINESSCRITICAL DATA 20 2 OBJECT PERSISTENCE AND CACHED MEMORY
Computational Efficiency 22 1 CPU SPIKES
Connectivity to Electronic Commerce
The Aggregation and Disaggregation Layer
Chapter
The Human Control Layer

Simulating AgentBased Strategies
Evolving Strategies
Feedback and Control
Implementing Swarm Systems
Optimizing Execution
The Risk Management Layer
Some Practical Implementation Aspects
AuxiliaryLISPFunctions
Index
Copyright

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About the author (2013)

EUGENE A. DURENARD is CEO of DTC Ltd in Bermuda, a firm that specializes in applying systematic techniques to leveraged and real money trading across a wide variety of asset classes. DTC has been acting over the years as investment advisor and manager for a range of institutions including banks, hedge funds, and proprietary trading groups. DTC is currently advising Capital G, the largest private bank in Bermuda, where Eugene acts as Head of Research and Product Development. Eugene is a partner and CIO of ERA Capital Partners, a Chicago-based quantitative systematic Proprietary Trading Group.

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