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A new book 'Algorithmic Trading and DMA' (Read 8509 times)
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A new book 'Algorithmic Trading and DMA'
03/02/10 at 13:58:54
 
Apologies for the self-promotion, but this book is being self-published to raise funds for research into a cancer called myeloma.

Algorithmic Trading and DMA is a new book, now available from amazon.com

Primarily the book acts as an introduction to algorithmic trading, working from the ground up. So it covers the basics of markets and microstructure, before moving on to order types and then actual execution algorithms such as VWAP, implementation shortfall, percent of volume etc. Transaction cost analysis is covered, as well as a chapter on selecting the optimal trading/execution strategy. There are also more advanced chapters on portfolio and multi-asset trading, news handling and data-mining, AI, as well as a survey of electronic trading across the world's markets.

Note the book title is based on the historical use of the term algorithmic trading. In other words the algorithms (such as VWAP) used to execute trades. So the focus of the book is on execution, not automating investment/trading decisions. Abitrage (cross-asset) is discussed due to its relevance for multi-asset trading. However there is no coverage of market making, statistical arb or high-frequency trading (although the coverage of order placement strategies and microstructure may still be useful for these).

It is a general book - so is intended for traders,quants or developers who are new to these fields. The concepts are illustrated with diagrams rather than code snippets or maths (though there is some maths in there).
My background is development (12 yrs building systems for risk and electronic/algorithmic/portfolio trading).
My website (www.algo-dma.com) has more details and a preview of the book. I hope you find it useful.
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Re: A new book 'Algorithmic Trading and DMA'
Reply #1 - 06/01/10 at 09:33:53
 
Thanks !  I'm glad you're finding it useful.   There are already a few reviews on the amazon.com site. (including a 1* complaining that this introductory text was introductory !?*!)
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