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Automated Option Trading: Create, Optimize, and Test Automated Trading Systems

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Automated Option Trading: Create, Optimize, and Test Automated Trading Systems

EPUB (Watermarked)

  • Your Price: $79.99
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  • Copyright 2012
  • Dimensions: 7-3/8" x 9-1/8"
  • Edition: 1st
  • EPUB (Watermarked)
  • ISBN-10: 0-13-249190-7
  • ISBN-13: 978-0-13-249190-7

The first and only book of its kind, Automated Options Trading describes a comprehensive, step-by-step process for creating automated options trading systems. Using the authors’ techniques, sophisticated traders can create powerful frameworks for the consistent, disciplined realization of well-defined, formalized, and carefully-tested trading strategies based on their specific requirements. Unlike other books on automated trading, this book focuses specifically on the unique requirements of options, reflecting philosophy, logic, quantitative tools, and valuation procedures that are completely different from those used in conventional automated trading algorithms. Every facet of the authors’ approach is optimized for options, including strategy development and optimization; capital allocation; risk management; performance measurement; back-testing and walk-forward analysis; and trade execution. The authors’ system reflects a continuous process of valuation, structuring and long-term management of investment portfolios (not just individual instruments), introducing systematic approaches for handling portfolios containing option combinations related to different underlying assets. With these techniques, it is finally possible to effectively automate options trading at the portfolio level. This book will be an indispensable resource for serious options traders working individually, in hedge funds, or in other institutions.

Sample Content

Table of Contents

Introduction     xv
Chapter 1: Development of Trading Strategies     1
Chapter 2: Optimization     73
Chapter 3: Risk Management     135
Chapter 4: Capital Allocation and Portfolio Construction     167
Chapter 5: Backtesting of Option Trading Strategies     217
Bibliography     247
Appendix     251
Index     261


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