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Algorithmic Trading and DMA: An introduction to direct access trading strategies

41 customer reviews
ISBN-13: 978-0956399205
ISBN-10: 0956399207
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Algorithmic Trading and DMA: An introduction to direct access trading strategies + Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading + Algorithmic Trading: Winning Strategies and Their Rationale
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Editorial Reviews

Review

Algorithmic trading and optimal execution have become cornerstones of modern finance. "Algorithmic Trading and DMA" does an excellent job of providing one of the first comprehensive overviews of these areas. Anyone interested in these developments should own a copy of this book. --Petter Kolm, Director of the Mathematics in Finance Masters Program and Clinical Associate Professor of Mathematics, Courant Institute of Mathematical Sciences, New York University

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Product Details

  • Paperback: 592 pages
  • Publisher: 4Myeloma Press (February 17, 2010)
  • Language: English
  • ISBN-10: 0956399207
  • ISBN-13: 978-0956399205
  • Product Dimensions: 7.4 x 1.3 x 9.7 inches
  • Shipping Weight: 2.8 pounds (View shipping rates and policies)
  • Average Customer Review: 4.2 out of 5 stars  See all reviews (41 customer reviews)
  • Amazon Best Sellers Rank: #70,994 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

137 of 144 people found the following review helpful By Mauricio Labadie on April 28, 2010
Format: Paperback Verified Purchase
Barry Johnson's book is a great introduction to electronic and algorithmic trading. The book is so well written that you will find yourself reading it like a novel. The contents are well chosen and the chapters are fairly balanced in terms of length and importance.

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.
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64 of 68 people found the following review helpful By Aaron C. Brown TOP 1000 REVIEWERVINE VOICE on March 3, 2010
Format: Paperback
Over the last fifteen years, algorithmic trading through direct market access has come to dominate market microstructure in equities and FX, and is important in other markets as well. In simpler words, if you trade, you need to understand algorithmic trading, either to use it or to stay out of its way. It's one major component of any quant trading strategy, and an important tool in any portfolio management application.

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.
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52 of 58 people found the following review helpful By Scott C. Locklin VINE VOICE on June 3, 2010
Format: Paperback Verified Purchase
Terminology time: when the average amateur thinks of "Algorithmic trading," he thinks of vast machine intelligences duking it out in microseconds using exotic signal processing techniques. Well, in the business, "algorithmic trading" generally refers to the process of finding liquidity for an instrument using a computer, generally done by a buy side trader. This may seem needlessly pedantic, but it's important, as this is an actual job description, and this is what the book is all about. It also relates to 2009's favorite whipping boy, "High Frequency Trading," and could be considered the premier book on this subject -it's the best one I've yet read anyway. In addition to describing the other end of a HF trade done intelligently, it describes how various arbitrageurs and other prop traders make their money (in ch 13 in particular). The appendices are also excellent, and there is a useful key to abbreviations and acronyms: something sorely missed in many other books.

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.
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Algorithmic Trading and DMA: An introduction to direct access trading strategies
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