Algorithmic Trading

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Algorithmic Trading FAQ

Algorithmic trading has grown dramatically in popularity over the past decade. In the US, about 70 percent of overall trading volume is generated through algorithmic trading. The overall trading volume of algorithmic trading estimated in emerging economies like India is roughly 40 percent.

High frequency trading is an automated trading platform used by large investment banks, hedge funds and institutional investors which utilizes powerful computers to transact a large number of orders at extremely high speeds.

A black box model is a computer program into which users enter information and the system utilizes pre-programmed logic to return output to the user.

An automated trading system (ATS) is a computer program that creates orders and automatically submits them to a market center or exchange. … Automated trading systems are often used with electronic trading in automated market centers, including electronic communication networks, “dark pools”, and automated exchanges.

In mathematics and computer science, an algorithm is a step-by-step procedure for calculations. Algorithms are used for calculation, data processing, and automated reasoning.

Quantitative trading consists of trading strategies based on quantitative analysis, which rely on mathematical computations and number crunching to identify trading opportunities. … However, quantitative trading is becoming more commonly used by individual investors.

Highfrequency trading (HFT) is a program trading platform that uses powerful computers to transact a large number of orders at very fast speeds. It uses complex algorithms to analyze multiple markets and execute orders based on market conditions.

Marketing theory of consumer buying behavior in which what goes on within the human mind (the black box) is ignored, in favor of discovering which inputs (stimuli) produce the desired output (buying response).

Highfrequency trading is legal because it isn’t obviously illegal. Now, this sounds trivial, but it’s an important point: anything is allowed unless it’s expressly forbidden. There are currently no rules expressly against HFT. … Crucially, HFT firms employ the same strategies as other trading firms but faster.

Algorithmic trading strategies

Aenaon Syncro algo

The program uses a systematic approach trading diversified portfolio of futures and forex markets. The model is a short-term volatility break-out driven system with multiple filters that applies strict risk management principles, all of which have been thoroughly back-tested. This system tracks historical daily price ranges (volatility) of individual contracts and distributes risk among these various contracts based on a ranking system. The model measures the expansion and contraction of daily volatility for multiple commodities. As such, within the model when volatility contracts risk is added and as it expands risk is reduced. The Advisor’s model sets firm risk parameters, with the objective to limit losses on a per trade basis while allowing the system to profit from short-term price movements.

 

Aenaon Pairs Trading algo

A very popular speculative investment strategy used in Wall Street is called pairs trading. This trading strategy looks for pairs of assets that historically have moved together and tries to exploit cases of relative mispricing. More specifically, it assumes that a long-term pricing relationship exists between the two stocks and that the time series of their price spread is stationary. If their spread deviates from its long-term mean by more than a pre-specified threshold, a trader shorts the asset which is overpriced and goes long the relatively underpriced one. This procedure is referred to as “opening a position”. When the spread converges to its long-term mean the trader unwinds or “closes” his position, making a profit. In case the spread diverges by more than a specific threshold or the spread has not converged before a pre-specified time threshold then the position is closed.

 

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