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Algorithmic Trading and DMA: An introduction to direct access trading strategies
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Top Customer Reviews
The approach used in the book is very pedagogic. The author illustrates each and every trading strategy with an example and a figure, which permits to clearly grasp the motivation, the intuition and the ideas behind each trading scenario. He takes a good time explaining the variables that determine prices, liquidity, market impact and volatility. He also provides a lot of references for the readers willing to go deeper on a specific topic, and the summaries at the end of each chapter are an excellent addition.
In my opinion it is far better to understand the mechanisms of trading in today's electronic environment than just learning ready-to-use recipes. It is indeed the ignorant use of financial instruments that is at the genesis of the current crisis. Therefore, the author has my full admiration and support because he manages to provide a full understanding and grounding of algorithmic trading.
However, I have to put only 4 stars for the following reasons.
Algorithmic trading is crucial today not only because it is far more reactive than human traders, but also because it can predict and exploit trading patterns more accurately. Unfortunately, the book only has a subsection on forecasting market conditions and short-term prediction of prices, trading volume and volatility. Each one of these topics deserves a full chapter because they are the main reason why we are switching from human trading to algorithmic trading.
Another topic that is crucial for algorithmic trading is arbitrage.Read more ›
Of course, you don't have to understand internal combustion engines to drive a car. There are off-the-shelf products for algorithmic offered by dealers and standard toolkits sold by specialist providers. But if you want to open the hood, this is the right book. It's a straightforward engineer's guide to the technology, without extraneous economic theory or trading advice. It tells you how to build what you want, not what you should want or what the implications are of what other people want. This fills an important niche between market microstructure theory and descriptions of popular techniques. You need some theory AND some realistic, state-of-the-art practical examples to figure out this field. As far as I know, this is the only place to get both without a lot of nonsense, error and false mystery.
Even experienced practitioners will be impressed at how simple and logical this stuff is, when presented comprehensively and straightforwardly; and even seasoned theorists will see how things get a bit more complicated when the rubber meets the road.Read more ›
The book is a model of clarity and trading didactics; I have read no better description of this sort of thing, anywhere. While I'm not qualified to say so, as I don't actually do such things for a living, I suspect it's extremely complete and accurate introduction to the subject. In addition to the didactics, it contains plenty of folk wisdom, practical advice, obscure information and good old horse sense.
In detail: For part I, ch 1 gives a basic overview of the subject, including necessary definitions (aka DMA versus algo trading versus ...). Ch 2 touches on market microstructure; this is excellent, both for the rank amateur, and the professional looking to be grounded in a clear exposition. Ch 3 a description of the different types of markets, asset classes, dark pools, dealer markets and etc.Read more ›
Most Recent Customer Reviews
Great review of algorithmic trading from an MBA perspective. Read this along with Larry Harris to get a traders feel. Read morePublished 25 days ago by quant
great intro to algo trading. perfect for folks looking to get into the space or working in technology for a bankPublished 5 months ago by Iggy
Author tried hard to give nice presentation with full of tables and lists.
But, it was not for complete newbie like me. Read more
I am new to quantitative/algorithm trading. It seems like a logical way to trade. However, I would like to ask have anyone has consistent successes with trading using algorithm... Read morePublished 9 months ago by MKJ
This is the best book I've ever read on this subject. It's clear, detailed and everything I had hoped it would be. Excellent job Mr. JohnsonPublished 12 months ago by Amazon Customer
A very good book on Algorithmic trading. Larry Harris' book on Trading and Exchanges is a pre-requisite. Read morePublished 14 months ago by Indranath Mitra
I was absolutely wrong to purchase this book. The subtitle led me to believe there might be some practical aspects to this 'Textbook'. Read morePublished 16 months ago by C. Drouganis
Very verbose about simple ideas, yet glosses over more complicated ideas without enough details.Published 17 months ago by Yun-Chen Sung
Great subjects. Dont let the cover and title fool you this book it's a great breakdown of the markets n how participants interact with them.Published 18 months ago by Annonymous1