World scientific reference on the strategic analysis of financial markets : Vol.2 Trading System Analytics

Book well /1502/2017-18/$495( Vol. 1 & 2)Pd.Rs.24,688/-

Cash Flows:
Cash Flow Analysis: Statics
Cash Flow Analysis: Dynamics
Trading Systems for the Yield Curve
Trading System Tools:
Regression and Prediction for Trading System Development
Mechanical Methods for Trading Systems Testing and Improvement
The Mean-Variance World: Mean-Variance Portfolio Theory and the Capital Asset Pricing Model
Arbitrage Pricing Theory and Factor Models
Active Portfolio Management
Profitable Trading Systems:
Building a Breakout Trend-Following Trading System Using Regression Methods
The Family of Trend Anomalies: Momentum, Herding, Positive Feedback, Under/Overreactions and the Disposition Effect
Volatility Arbitrage and Pairs Trading
Epilogue
Appendices:

Volume 2 of "The Strategic Analysis of Financial Markets" — Trading System Analytics, continues the development of Volume 1 by introducing tools and techniques for developing trading systems and by illustrating them using real markets. The difference between these two Volumes and the rest of the literature is its rigor. It describes trading as a form of gambling that when properly executed, is quite logical, and is well known to professional gamblers and analytical traders.

But even those elites might be surprised at the extent to which quantitative methods have been justified and applied, including a life cycle theory of trading systems. Apart from a few sections that develop background material, Volume 2 creates from scratch a trading system for Eurodollar futures using principles of the Strategic Analysis of Markets Method (SAMM), a principled, step-by-step approach to developing profitable trading systems. It has an entire Chapter on mechanical methods for testing and improvement of trading systems, which transcends the rather unstructured and unsatisfactory "backtesting" literature. It presents a breakout trend following system developed using factor models. It also presents a specific pairs trading system, and discusses its life cycle from an early, highly profitable period to its eventual demise. Recent developments in momentum trading and suggestions on improvements are also discussed.