You're reading from Learn Algorithmic Trading

Product typeBook

Published inNov 2019

Reading LevelIntermediate

PublisherPackt

ISBN-139781789348347

Edition1st Edition

Languages

Python

Concepts

Financial Technology

Authors (2):

Sebastien Donadio

Sourav Ghosh

View More author details

Differentiating the measures of risk

Let's explore different measures of risk. We will use the trading performance from the volatility adjusted mean reversion strategy we saw in Chapter 5, Sophisticated Algorithmic Strategies, as an example of a trading strategy in which we wish to understand the risks behind and quantify and calibrate them.

In Chapter 5, Sophisticated Algorithmic Trading Strategies, we built the Mean Reversion, Volatility Adjusted Mean Reversion, Trend Following, and Volatility Adjusted Trend Following strategies. During the analysis of their performance, we wrote the results into the corresponding CSV files. These can also be found in this book's GitHub repository, https://github.com/PacktPublishing/Learn-Algorithmic-Trading---Fundamentals-of-Algorithmic-Trading, or by running the volatility adjusted mean reversion strategy (volatility_mean_reversion...

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Learn Algorithmic Trading

Published in: Nov 2019Publisher: PacktISBN-13: 9781789348347

Authors (2)

Sebastien Donadio

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 about Sebastien Donadio

Sourav Ghosh

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 about Sourav Ghosh

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Authors (2)

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