Book Image

Learn Algorithmic Trading

By : Sebastien Donadio, Sourav Ghosh
Book Image

Learn Algorithmic Trading

By: Sebastien Donadio, Sourav Ghosh

Overview of this book

It’s now harder than ever to get a significant edge over competitors in terms of speed and efficiency when it comes to algorithmic trading. Relying on sophisticated trading signals, predictive models and strategies can make all the difference. This book will guide you through these aspects, giving you insights into how modern electronic trading markets and participants operate. You’ll start with an introduction to algorithmic trading, along with setting up the environment required to perform the tasks in the book. You’ll explore the key components of an algorithmic trading business and aspects you’ll need to take into account before starting an automated trading project. Next, you’ll focus on designing, building and operating the components required for developing a practical and profitable algorithmic trading business. Later, you’ll learn how quantitative trading signals and strategies are developed, and also implement and analyze sophisticated trading strategies such as volatility strategies, economic release strategies, and statistical arbitrage. Finally, you’ll create a trading bot from scratch using the algorithms built in the previous sections. By the end of this book, you’ll be well-versed with electronic trading markets and have learned to implement, evaluate and safely operate algorithmic trading strategies in live markets.
Table of Contents (16 chapters)
Title Page

Understanding and implementing basic statistical arbitrage trading strategies

Statistical arbitrage trading strategies (StatArb) first became popular in the 1980s, delivering many firms double-digit returns. It is a class of strategies that tries to capture relationships between short-term price movements in many correlated products. Then it uses relationships that have been found to be statistically significant in the past research to make predictions in the instrument being traded based on price movements in a large group of correlated products.

Basics of StatArb

Statistical arbitrage or StatArb is in some way similar to pairs trading that takes offsetting positions in co-linearly related products that we explored in Chapter...