Professional Automated Trading / Wiley Trading Series (PDF)

An insider's view of how to develop and operate an automated
proprietary trading network

Reflecting author Eugene Durenard's extensive experience in this
field, Professional Automated Trading offers valuable
insights you won't find anywhere else. It reveals how a series of
concepts and techniques coming from current research in artificial
life and modern control theory can be applied to the design of
effective trading systems that outperform the majority of published
trading systems. It also skillfully provides you with essential
information on the practical coding and implementation of a
scalable systematic trading architecture.

Based on years of practical experience in building successful
research and infrastructure processes for purpose of trading at
several frequencies, this book is designed to be a comprehensive
guide for understanding the theory of design and the practice of
implementation of an automated systematic trading process at an
institutional scale.

* Discusses several classical strategies and covers the design of
efficient simulation engines for back and forward testing

* Provides insights on effectively implementing a series of
distributed processes that should form the core of a robust and
fault-tolerant automated systematic trading architecture

* Addresses trade execution optimization by studying
market-pressure models and minimization of costs via applications
of execution algorithms

* Introduces a series of novel concepts from artificial life and
modern control theory that enhance robustness of the systematic
decision making--focusing on various aspects of adaptation and
dynamic optimal model choice

Engaging and informative, Proprietary Automated Trading
covers the most important aspects of this endeavor and will put you
in a better position to excel at it.