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"The decisions that investment professionals and fund managers make have a direct impact on investor return. Unfortunately, the best implementation methodologies are not widely disseminated throughout the professional community, compromising the best interests of funds, their managers, and ultimately the individual investor. But now there is a strategy that lets professionals make better decisions. This valuable reference answers crucial questions such as:
* How do I compare strategies?
* Should I trade aggressively or passively?
* How do I estimate trading costs, ""slice"" an order, and measure performance?
and dozens more. Optimal Trading Strategies is the first book to give professionals the methodology and framework they need to make educated implementation decisions based on the objectives and goals of the funds they manage and the clients they serve."
There are several people who have provided significant comments and contributions and without their help the writing of this book would not have been possible. Read the first page
Concordance
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews
1 of 5 people found the following review helpful:
2.0 out of 5 stars
Over-complicates a simple subject,
By mikeG (London, UK) - See all my reviews
This review is from: Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk (Hardcover)
Equities cash trading isn't that hard. This book attempts to make it seem more complicated than it really is. Uses lots of greek symbols to try and make it seem more like derivatives.
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Most Helpful Customer Reviews on Amazon.com (beta) Amazon.com:
3.7 out of 5 stars (19 customer reviews) 33 of 35 people found the following review helpful:
3.0 out of 5 stars
The only book on this topic,
By Gadgester "No Time, No Money" - Published on Amazon.com
This review is from: Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk (Hardcover)
If you are interested in modeling things like price impact and total transaction cost of executing a large order, this book is the ONLY one you can find. This is not surprising given the narrow focus of this field. The book offers a systematic look at the different components of transaction cost and some pseudo-quantitative techniques -- I say "pseudo" because the equations are often of suspicious origins and often contain unforgiveable errors. If you want to know what VWAP means and how people implement VWAP strategies, you've come to the right place. If you want to know how price impact is defined and measured/estimated, you've come to the right place.
Audience for this book are the people on the trading desks of mutual funds and hedge funds who execute large-size orders for a living. This book is NOT for small day traders, as there's nothing about making a profit from day trading. 35 of 39 people found the following review helpful:
2.0 out of 5 stars
Well-written but be warned,
By Nitin Gambhir - Published on Amazon.com
This review is from: Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk (Hardcover)
The book is well-written and its nice structure and intuitive approach very attractive. However, it will lead you down the wrong path.
As folks in the quantitative portfolio management world have discovered that if the information coefficients are low, the variability in the results is too large for practical use. The three key ingredients necessary for the book's approach to work: market-impact estimates, volatility forecasts and covariance estimates for the trade list all have high standard-errors. Volume variability and decay of temporary market-impact are very important and not adequately discussed. I have seen a number of trading desks put a whole infrastructure based on this approach. The sad part is the managers never understood the weaknesses of this approach. The results are very mediocre and in some-ways even worse than what the same desks would achieve before. And they continue to plod along trying to apply everything they learned while doing statistical arbitrage to this problem. Three basic problems: Law of large numbers is rarely available, you have to complete the trade most times and you do not get to choose the stocks you trade. Also traditional statistical arbitrage techniques are not a source of alpha anymore. Theses inefficiencies are well understood and have been exploited mostly. (I know some folks are going to point to Renaissance etc. but from what I know their alpha persists because of very different reasons) A better way is to combine statistics/econometrics and expert-systems. The results are much better. 8 of 9 people found the following review helpful:
5.0 out of 5 stars
One of a kind must-read! Fills major gap in the literature!,
By Pete "Pete" - Published on Amazon.com
This review is from: Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk (Hardcover)
This book deals with an all-to-often forgotten component of investment science: "the science of trading". The authors brilliantly fill a major gap in the literature and its real-world applications. This book provides both an accessible introduction to the science of trading, and a rigorous quantitative treatment. So far, most of the investment science literature assumes trades to be instantaneous, cost-free and divorced from returns. But to the active trader, portfolio manager, plan sponsor or student of finance, these assumptions can mean the difference between a winning and a losing investment. The authors present a methodology that will allow the uninitiated to qualitatively distinguish between trading strategies and gauge their brokers' quality of trade execution. The more technical reader will be provided with techniques necessary for the construction of customized trading strategies, tailored to his particular investment objectives, be they portfolio rebalancing, statistical arbitrage, swing trading, etc... If you're directly or indirectly involved in the trading of securities, this book is not only an invaluable reference, it's a one of a kind must-read! |
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