Alpha Trading / Wiley Trading Series (ePub)

Preface. Chapter 1 Uncertainty. Impact on Trading. The Inevitable Price Shocks. Why So Much About Price Shocks? Complexity and Contagion Risk. The Ugly Side. Taking Defensive Action. Accepting Performance for What It Is. Chapter 2 The Importance of Price Noise. Noise Explained. Different Markets. A Closer Look at Equity Index Markets. Importance of Noise. Determining the Strategy. Capitalizing on the Trend of Noise. Chapter 3 Pairs Trading -- Understanding the Process. The Process. The Basics. Target Volatility. Home Builders. Using ETFs. Portfolio of Home Builders Pairs. Execution and the Part-Time Trader. Stop-Losses. Trading Intraday. Key Points to Remember. Chapter 4 Pairs Trading Using Futures. Futures. Mechanics of a Pairs Trade in Futures. Inflation Scares. Trading Energy Pairs. Revisiting Momentum with Energy Markets. A Mini-Portfolio of Natural Gas Pairs. The Inflation Pairs: Crude, the EURUSD, and gold. Equity Index Pairs. Leveraging with Futures. London Metals Exchange Pairs. Volatility Filters. Interest Rate Futures. Summary. Chapter 5 Risk-Adjusted Spreads. Dell and Hewlett-Packard. Trading Both Long-Term (Hedged) Trends and Short-Term Mean Reversion. Gold, Platinum, and Silver. The Platinum/Gold Ratio. Implied Yield. The Yield Curve. Trend Trading of London Metal Exchange Pairs. Summary. Chapter 6 Cross-Market Trading and the Stress Indicator. The Crossover Trade¯*. The Stress Indicator. Gold, Copper, and Platinum. Mining Companies. Agribusiness Pairs. The Major Energy Producers. Portfolio of Cross-Market Energy Pairs. Other Opportunities. Some Final Notes. Chapter 7 Revisiting Pairs Using the Stress Indicator. Futures Markets and the Stress Indicator. Equity Index Futures. Interest Rate Futures. The Portfolio Spreadsheet. Summary of Pairs Trading. Chapter 8 Traditional Market-Neutral Trading. Home Builders. Trend or Mean Reversion? Basic Market-Neutral Concept. Volatility-Adjusting the Position Size. Arbing the Dow: A Large Scale Program. Thoughts

PERRY KAUFMAN has more than thirty years of experience in financial engineering and hedge funds, and is well-known for his role in algorithmic trading. Since 1971, he has specialized in the development of fully systematic trading programs in derivatives and equities as well as risk management and leverage overlays. He is the author of New Trading Systems and Methods, Fourth Edition, A Short Course in Technical Trading, both from Wiley, and other books and articles that have gained worldwide acclaim.

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