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Professional Automated Trading: Theory and Practice
by Eugene A. Durenard (Author)

Product Details Hardcover: 384 pages Publisher: Wiley; 1 edition (October 21, 2013) Language: English

Editorial ReviewsFrom the Inside FlapTrading is a science based on a variety of fields, from mathematics to physics. It is also an art based on knowing and respecting the markets and, equally important, knowing oneself. But most of all, trading is a business that hinges on a carefully understood discipline and process of seeking reward in the face of risk.

No one is more familiar with this than author Eugene Durenard. A recognized expert in automated trading – who has long incorporated aspects of artificial life and robotics systems research into his trading – he knows what it takes to create systematic trading strategies that are adaptive and opportunistic. Now, with this new book, he shares those valuable insights with you. Whether you’re part of a professional prop trading desk or an ambitious individual trader, this practical guide will put you in a better position to successfully navigate today’s competitive markets.

Divided into four comprehensive parts, Professional Automated Trading: Theory and Practice opens with an introductory chapter that sets the stage for modern systematic trading. It critically examines the merits of systematic trading from a philosophical and psychological perspective, as well as focuses on it as a business activity.
With this information in hand, Durenard moves on to skillfully cover the theory, practice, and technologies needed to excel at this endeavor.

- Part I introduces the basic conceptual and programmatic framework for the design of trading strategies as trading agents – exploring data representation, indicators, basic model types, and techniques to test them
- Part II introduces innovative concepts designed to tackle adaptation of trading strategies to changing market conditions. Those include Swarm Systems that help navigate the higher complexity of the markets at lower timescales.
- Part III focuses on the important aspect of trading costs and slippage – discussing the analysis of the intraday bid-offer and volume seasonality in major markets and detailing several algorithmic execution strategies designed to help reduce market impact
- Part IV presents the practical implementation of a real-time, low-latency automated trading infrastructure designed to support a Swarm of Trading Agents operating on a collection of Electronic Commerce Networks (ECNs)
Engaging and accessible, Professional Automated Trading contains the information you need to make the most of automated trading in free markets.

From the Back Cover“Professional Automated Trading is a unique insight into the highly secretive world of automated trading. Eugene Durenard is uniquely qualified as its author – he not only has the direct experience of cutting-edge technology and the highly technical expertise to push it to its limits, but he also has a unique gift for communicating highly complex ideas in a manner that even a layman can easily understand. All of the techniques actively used in the field are discussed in detail in this book – even highly experienced automated traders will benefit from Eugene’s insights. I don’t think there is a more comprehensive guide available than this – is covers all aspects of automated trading, from database construction to management of a quantitative hedge fund. Many of the topics covered here are ‘inside secrets’ that practitioners rarely reveal.”

-Buford Scott, Global Head of Alternative Asset Group, Standard Chartered Bank, London
“Professional Automated Trading: Theory and Practice is a most welcome reference book on the subject of systematic trading. This book by Eugene Durenard covers the theory, practices, and technologies of the field. Systematic trading is undoubtedly a growing part of the financial markets in large institutions as well as in privately run hedge funds, and Eugene’s book gives a transparent and solid analysis of a subject that appears mysterious to many people.”

-Bernard Saint-Donat, top mathematician, former academic, and active investor running a large family office in New York City