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Learn Algorithmic Trading

You're reading from  Learn Algorithmic Trading

Product type Book
Published in Nov 2019
Publisher Packt
ISBN-13 9781789348347
Pages 394 pages
Edition 1st Edition
Languages
Concepts
Authors (2):
Sebastien Donadio Sebastien Donadio
Profile icon Sebastien Donadio
LinkedIn
Sebastien Donadio is the Chief Technology Officer at Tradair, responsible for leading the technology. He has a wide variety of professional experience, including being head of software engineering at HC Technologies, partner and technical director of a high-frequency FX firm, a quantitative trading strategy software developer at Sun Trading, working as project lead for the Department of Defense. He also has research experience with Bull SAS, and an IT Credit Risk Manager with Socit Gnrale while in France. He has taught various computer science courses for the past ten years in the University of Chicago, NYU and Columbia University. His main passion is technology but he is also a scuba diving instructor and an experienced rock-climber.
See other products by Sebastien Donadio
Sourav Ghosh Sourav Ghosh
Profile icon Sourav Ghosh
LinkedIn
Sourav Ghosh has worked in several proprietary, high-frequency algorithmic trading firms over the last decade. He has built and deployed extremely low latency, high-throughput automated trading systems for trading exchanges around the world, across multiple asset classes. He specializes in statistical arbitrage market-making and pairs trading strategies with the most liquid global futures contracts. He is currently the vice president at an investment bank based in São Paulo, Brazil. He holds a master's in computer science from the University of Southern California. His areas of interest include computer architecture, FinTech, probability theory and stochastic processes, statistical learning and inference methods, and natural language processing.
See other products by Sourav Ghosh
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Table of Contents (16) Chapters

Title Page
Copyright and Credits About Packt Contributors Preface Algorithmic Trading Fundamentals Deciphering the Markets with Technical Analysis Predicting the Markets with Basic Machine Learning Classical Trading Strategies Driven by Human Intuition Sophisticated Algorithmic Strategies Managing the Risk of Algorithmic Strategies Building a Trading System in Python Connecting to Trading Exchanges Creating a Backtester in Python Adapting to Market Participants and Conditions Other Books You May Enjoy

Summary

This chapter made use of some of the trading signals we've seen in the previous chapters to build realistic and robust trend-following and mean reversion trading strategies. In addition, we went another step further and made those basic strategies more sophisticated by adding a volatility measure trading signal to make it more dynamic and adaptive to different market conditions. We also looked at a completely new form of trading strategy in the form of trading strategies dealing with economic releases and how to carry out the analysis for that flavor of trading strategies for our sample Non Farm Payroll data. Finally, we looked at our most sophisticated and complex trading strategy so far, which was the statistical arbitrage strategy, and applied it to CAD/USD with the major currency pairs as leading trading signals. We investigated in great detail how to quantify...

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Authors (2)

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Profile icon Sebastien Donadio
LinkedIn
Sebastien Donadio is the Chief Technology Officer at Tradair, responsible for leading the technology. He has a wide variety of professional experience, including being head of software engineering at HC Technologies, partner and technical director of a high-frequency FX firm, a quantitative trading strategy software developer at Sun Trading, working as project lead for the Department of Defense. He also has research experience with Bull SAS, and an IT Credit Risk Manager with Socit Gnrale while in France. He has taught various computer science courses for the past ten years in the University of Chicago, NYU and Columbia University. His main passion is technology but he is also a scuba diving instructor and an experienced rock-climber.
Read more
See other products by Sebastien Donadio
Profile icon Sourav Ghosh
LinkedIn
Sourav Ghosh has worked in several proprietary, high-frequency algorithmic trading firms over the last decade. He has built and deployed extremely low latency, high-throughput automated trading systems for trading exchanges around the world, across multiple asset classes. He specializes in statistical arbitrage market-making and pairs trading strategies with the most liquid global futures contracts. He is currently the vice president at an investment bank based in São Paulo, Brazil. He holds a master's in computer science from the University of Southern California. His areas of interest include computer architecture, FinTech, probability theory and stochastic processes, statistical learning and inference methods, and natural language processing.
Read more
See other products by Sourav Ghosh
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