Can you recommend books and sources for my diploma about ATS on stock markets?
Good afternoon. I am currently working on my university diploma work about automated trading systems on stock market. There's a great amount of books and i really need help to choose where the good info is provided. I have Pardo, barry johnson book, achelis (technical analysis), vince - mathematics of money management. Are these ok? Or maybe you can recommend something about strategies, indicators, theory, trading systems building info. Thank you!
thank you for reply. I am more in economics and finance, than in programming and this work has 3 parts:
1) history of ATS, popular indicators, start/stop rules, taxes
2) comparing strategies, ATS building methods
3) in a math/theoretical way me and my supervisor (teacher who helps me, don't know how to call him in english ) are going to talk about efficiency, build in theoretical way our own one. I am not talking about any extraordinary thing)
i have studied finance mostly, sure have some knowledge about probability theory, but i really am more in accounting and finance...
(1) Just thinking off my head, some of the earliest implementations of automated trading strategies in their modern incarnation were from TradeLink, Ketchum, Optiver, Susquehanna, First New York. There are a few major "origins": Robert Rubin's group at GS, the quant strats group at MS (subsequent David Shaw's group at DE), and Meriwether's group at SB. Maybe you could look into one of these areas. As for start or stop rules and taxes, there's plenty of economic discussion, I'd leave that to you.
(2, 3) This is rather vague as methodologies vary a lot. I'll message you later today (about 8h from now?), I promise. It's getting rather late.
The following user says Thank You to artemiso for this post:
it would be great! Thanks a lot for your help. In Russia it's just 2:30 p.m., and i have to go studying, so it's even better that you will reply in 8 hours) it would be evening and i will have time for my diploma)
@maxkamensky: There are a few books available on the evolution of systematic trading (David Lucas, Charles LeBeau, Thomas Stridsman, Ernie Chan, Urban Jaeckle, Emilio Tomasini), but although those books describe fully rule based systems they do not focus on automation.
There is a little inexpensive book on how to develop a trading system by Urban Jaeckle and Emilio Tomasini. It is one of the best that I have seen. You can preview a few pages on Google Books.
I sent you some information, and I can go in further detail. The program I described sounds like it has some heavy terminology, but it's simple enough that you can probably find Excel implementations. I would take things one small step at a time, and I can elaborate on the next step once you've familiarized yourself with it. Stay in touch if you like.
Last edited by artemiso; April 11th, 2013 at 04:02 PM.
Thank you for such a useful information. I'll surely start with these things... on saturday i meet my supervisor, than if you have some time your help will be really useful. Surely I understand this is my work, so i'll won't disturb you. Thank you for helping me!