"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."

"Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments."--

This book directly focuses on finding optimal trading strategies in the real world and supports that with a well-defined theoretical foundation that allows trading strategy problems to be solved. Critically, it also delivers a menu of actual solutions that can be applied by traders with various risk profiles and objectives in markets that exhibit substantial tail risk. It shows how the Markowitz approach leads to excessive risk taking, and trader underperformance, in the real world. It summarizes the key features of Utility Theory, the deficiencies of the Sharpe Ratio as a statistic, and develops an optimal decision theory with fully developed examples for both 'Normal' and leptokurtotic distributions.

As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain, from investments selection to asset optimization, trading and sales. Optimization techniques can be used in many different fields of the energy industry, in order to reduce production and financial costs, increase sales revenues and mitigate all kinds of risks potentially affecting the economic margin. For this reason the industry has now focused its attention on the general concept of optimization and to the different techniques (mainly mathematical techniques) to reach it. Optimization Methods for Gas and Power Markets presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical framework and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions – all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investment valuation/diversification to asset (gas and power) optimization/hedging problems, and pure trading decisions. This book first presents the readers with various examples of optimization problems arising in power and gas markets, then deals with general optimization problems and describes the mathematical tools useful for their solution. The remainder of the book is dedicated to presenting a number of key business cases which apply the proposed techniques to concrete market problems. Topics include static asset optimization, real option evaluation, dynamic optimization of structured products like swing, virtual storage or virtual power plant contracts and optimal trading in intra-day power markets. As the book progresses, so too does the level of mathematical complexity, providing readers with an appreciation of the growing sophistication of even common problems in current market practice. Optimization Methods for Gas and Power Markets provides a valuable quantitative guide to the technicalities of optimization methodologies in gas and power markets; it is essential reading for practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.

Want to become a truly great trader - either for yourself or for a proprietary trading firm? This book will help you get there. This unique approach is the closest thing to signing up for a "trader boot camp" yourself! You'll learn by watching new traders walk through actual trades, explain what they've tried to do, and try to survive brutally tough expert critiques. One trade at a time, The Playbook reveals how professional traders must think in order to succeed "under fire," how they assess their own performance, and how they work relentlessly to improve. Using concrete, actionable setups drawn from his extensive trading and training experience, Bellafiore walks through an extraordinary array of trades, showing readers how to maximize profits and avoid disastrous hidden pitfalls. He covers support plays, bull-and-bear flags, opening drives, important intraday levels, bounce and fade trades, pullbacks, scalps, technical opportunities, consolidation, relative strength, market trades, and more. He also presents indispensable insights on psychology and trader development, based on his work with hundreds of traders on a major commodity exchange and an elite prop firm's trading desk. Packed with color, personality, and realism, this is an exciting guide to real-world trading.

Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).

STUDY GUIDE FOR Come Into My Trading Room A Complete Guide to Trading You can read Come Into My Trading Room: A Complete Guide to Trading in a few days, but you cannot expect to master every aspect of that invaluable book until you work through it. Study Guide for Come Into My Trading Room: A Complete Guide to Trading will help you learn the profitable methods and techniques of Come Into My Trading Room before risking a dollar in the markets. Study Guide for Come Into My Trading Room: A Complete Guide to Trading parallels the actual book, challenging you at every step with questions that make you focus on all the important areas of trading. Some tests are pencil-and-paper, others have you work with charts, but all prepare you to make crucial decisions. This Study Guide will: Quiz you on the essentials of trading–choosing the markets to trade, finding holes in the Efficient Market Theory, and overcoming common obstacles to success Make you aware of psychological blind spots that lead to losing Test your knowledge of charting and computerized indicators Explore trading systems, day-trading, and advanced concepts, such as Impulse trading and SafeZone stops Ask questions about money management, record-keeping, and managing time Challenge you with eight case studies where you choose entry and exit points and get graded for your performance The best trading strategies, techniques, and tools are only as good as your understanding of them. Pick up this Study Guide for Come Into My Trading Room: A Complete Guide to Trading and convert Dr. Elder's methods into your own powerful and profitable tools.