An Introduction to Algorithmic Trading (ePub)

Acknowledgments. Mission Statement. PART I INTRODUCTION TO TRADING ALGORITHMS. Preface to Part I. 1 History. 2 All About Trading Algorithms You Ever Wanted to Know . . .. 3 Algos Defined and Explained. 4 Who Uses and Provides Algos. 5 Why Have They Become Mainstream so Quickly? 6 Currently Popular Algos. 7 A Perspective View From a Tier 1 Company. 8 How to Use Algos for Individual Traders. 9 How to Optimize Individual Trader Algos. 10 The Future - Where Do We Go from Here? PART II THE LESHIK-CRALLE TRADING METHODS. Preface to Part II. 11 Our Nomenclature. 12 Math Toolkit. 13 Statistics Toolbox. 14 Data - Symbol, Date, Timestamp, Volume, Price. 15 Excel Mini Seminar. 16 Excel Charts: How to Read Them and How to Build Them. 17 Our Metrics - Algometrics. 18 Stock Personality Clusters. 19 Selecting a Cohort of Trading Stocks. 20 Stock Profiling. 21 Stylistic Properties of Equity Markets. 22 Volatility. 23 Returns - Theory. 24 Benchmarks and Performance Measures. 25 Our Trading Algorithms Described - The ALPHA ALGO Strategies. 1. ALPHA-1 (DIFF). 1a. The ALPHA-1 Algo Expressed in Excel Function Language. 2. ALPHA-2 (EMA PLUS) V1 And V2. 3. ALPHA-3 (The Leshik-Cralle Oscillator). 4. ALPHA-4 (High Frequency Real-Time Matrix). 5. ALPHA-5 (Firedawn). 6. ALPHA-6 (General Pawn). 7. The LC Adaptive Capital Protection Stop. 26 Parameters and How to Set Them. 27 Technical Analysis (TA). 28 Heuristics, AI, Artificial Neural Networks and Other Avenues to be Explored. 29 How We Design a Trading Alpha Algo. 30 From the Efficient Market Hypothesis to Prospect Theory. 31 The Road to Chaos (or Nonlinear Science). 32 Complexity Economics. 33 Brokerages. 34 Order Management Platforms and Order Execution Systems. 35 Data Feed Vendors, Real-Time, Historical. 36 Connectivity. 37 Hardware Specification Examples. 38 Brief Philosophical Digression. 39 Information Sources. APPENDICES. Appendix A 'The List' of Algo Users and Providers. Appendix B Our Industry Classification SECTOR Definitions.

Edward Leshik has spent the last 12 years trading his own
account and researching the microeconomics of the NASDAQ and New
York Stock Exchange markets. Previously he was CEO of an
electronics company, supplying point of sale electronics to major
retailers such as Sears and Sunoco in Canada and Allied Breweries
in the UK, where he gained considerable electronics experience and
was the first to automate an assembly line using electronics in the
UK. His main academic background is in mathematics and physics and
he has a great interest in the theories of Universality and
Complexity as applied to the markets. He is currently developing a
fully automated algorithmic trading system with his co-author Jane
Cralle.

Jane Cralle began her career in stockbrokerage at
PaineWebber, and later spent 22 years at Linker Capital Management
Inc. managing the accounts of high net worth individuals. She has a
wide knowledge of the markets and is an expert trader and investor
- her extensive experience is invaluable gauging the 'long
run' of market evolution. She is currently researching and
developing an automated algorithmic trading system with Edward, and
her specialty of cluster analysis of the S&P index components
is a work in progress background for a proposed book titled Stocks
and their Personalities. Jane lives in Louisville with her husband,
Rick Kremer, and three children, Sarah, Morgan and Jack.

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