Algorithmic Trading and DMA (by Barry Johnson)

BookInfo

ISBN: 9780956399205	Number of Pages: 592
Publisher:  4Myeloma Press	Book Title: Algorithmic Trading and DMA: An introduction to direct access trading strategies
Publication Year: 2010	Target Audience: Trade
Author: Barry Johnson	Reading Age: 18+

Summary

Algorithmic Trading and DMA are important tools to help buyers and sellers achieve optimal execution.

This book explains these two technologies in detail from the beginning:

The book introduces different types of execution and then reviews the market microstructure theory. Throughout the book, examples of empirical research bridge the gap between trading theory and practice.

Orders are an essential part of any strategy. Market, limit, stop, hidden, iceberg, peg, routed and immediate-or-cancel orders are all described with illustrated examples.

Use charts to explain and compare trading algorithms to show potential trading patterns. TWAP, VWAP, Percent of Volume, Minimal Impact, Implementation Shortfall, Adaptive Shortfall, Market On Close, and Pairs trading algorithms are all included, as well as common changes.

Transaction costs can have a significant impact on investment returns. An in-depth example shows how to decompose these factors into market impact, time risk, price difference and opportunity cost, and other expenses.

Coverage covers all major asset classes, from equities to fixed income, foreign exchange, and derivatives. The appendix provides a detailed overview of the world’s major markets.

For those interested in implementing these strategies, the book introduces order scheduling and execution in more detail, as well as potential enhancements (such as short-term forecasting).

It also considers cutting-edge applications such as portfolio and multi-asset trading, as well as processing news and data mining/artificial intelligence.

Algorithmic Trading and DMA is one of the Best Quantitative Trading Books for Beginners

About the Author

Barry Johnson is a software developer, having spent more than 12 years working in majority investment banks.

Most of his experience is in electronic trading and risk analysis, spanning platforms for algorithmic and portfolio trading, as well as some for proprietary trading. The main focus has been equities, although list derivatives, foreign exchange, and fixed income have also played a part.

The book evolved out of the author’s design to understand how market microstructure could be applied to create more efficiency in algorithmic trading.

Table of Contents

Preface
Part I An overview of trading and markets

• Overview
• Market microstructure
• World markets

Part II Algorithmic trading and DMA strategies

• Orders
• Algorithm overview
• Transaction costs
• Optimal trading strategies

Part III Implementing trading strategies

• Order placement
• Execution tactics
• Enhancing trading strategies
• Infrastructure requirements

Part IV Advanced trading strategies

• Portfolios
• Multi-asset trading
• News
• Data mining and artificial intelligence

Epilogue
Appendices

Abbreviations & Acronyms
References
Index