<< 1 >>
Rating: 
Summary: The Trader's Dilema
Review:
Optimal Trading Strategies provides a complete set of power mathematical tools for professional investors. At the core of this toolbox is a simple optimization formula: min ç(x)
s.t. R(x)<=R* OTS assists investors and fund managers in addressing the fundamental problem known as the "Traders dilemma". Trading too aggressively increases costs, while trading too passively increases exposure to risk. This formula calculates the minimum cost [ç] of a trade [x] while ensuring that the risk of the trade [R(x)] will be within an acceptable level of risk [R*] for an investor. This is a great concept, and OTS makes it powerful with it's collection of precision tools to calculate both cost and risk. Costs are unbundled into nine distinct components. Thorough mathematical formulas are provided for analyzing each component. A key example is the 3 models in chapter 9 designed to calculate market impact of a potential trade. The 3 different approaches help clarify the elusive effects that imbalance, volatility, trading style, and liquidity have on market impact. There is also a practical discussion of why traders select the popular Volume Weighted Price Strategy (VWAP). It is accompanies by the most complete mathematical analysis of VWAP I've ever seen. Examples with solutions are even included for practice using these newly acquired tools. The authors of OTS utilize an unprecedented combination of mathematical theory and real world experience to create a powerful framework that focuses investors on maintaining equilibrium between acceptable levels of cost and risk. No professional investors toolkit will be complete without it. Their new dilemma is where to pick up a copy of OTS.
Rating:
Summary: Simply Amazing
Review: As someone in the investment arena, I just want to take a moment and commend these brilliant authors on this work of art. This book is the first of its kind to address the immediate needs of the institutional community and the trading sensitivities that must be addressed when entering and exiting a position. Bravo!
Rating:
Summary: A worthy read for investment professionals.
Review: Ever since Datek took advantage of the Small Order Execution System and made day-trading popular, every day people have been looking for a sensible way to make money trading stocks.
They are now learning the tools that large investment companies have been using for years. Every basis point counts. Anybody interested in Program Trading needs to read this book.
I cannot recommend this more highly, and this comes from a comlpetely unbiased review of an excellent book.
Rating:
Summary: Outstanding
Review: I have to say, I have excelled at my job at the trading desk because of this book. You'll have to brush up on your calculus to understand some of the mathematics, but if your in the business of managing large accounts, you'd be foolish not to utilize these strategies.
Rating: 
Summary: The only book on this topic
Review: If you are interested in modeling things like price impact and total transaction cost of executing a large order, this book is the ONLY one you can find. This is not surprising given the narrow focus of this field. The book offers a systematic look at the different components of transaction cost and some pseudo-quantitative techniques -- I say "pseudo" because the equations are often of suspicious origins and often contain unforgiveable errors. If you want to know what VWAP means and how people implement VWAP strategies, you've come to the right place. If you want to know how price impact is defined and measured/estimated, you've come to the right place.
Audience for this book are the people on the trading desks of mutual funds and hedge funds who execute large-size orders for a living. This book is NOT for small day traders, as there's nothing about making a profit from day trading.
Rating:
Summary: It's ok
Review: It's an ok book. Nothing remarkably revealing. It provides structure to this field.
Rating:
Summary: Great from start to end
Review: This book was well written for the rookies and professionals. Authors explained the trading process from pre-trade to post-trade analysis, with added topics like impact cost and VWAP. Great explanations. A must have desknotes.
Rating:
Summary: Extraordinary Financial Resource!
Review: This is an excellent financial resource for the seasoned professional or enthusiastic student. The book is the first of its kind to address finance and investing from the point of view of the trader. It widely known that improper implementation of an investment decision can negate much of a manager's anticipated alpha, but how exactly should managers examine the set of potential implementation schemes? The solution to this question is the primary focus of Optimal Trading Strategies. The authors provide a very thorough investigation of transaction costs (e.g. when, where, and why they arise) and continue with an easy-to-understand analytical process to estimate, manage, and control those costs. The authors' approach to developing these "optimal trading strategies" also turns out to be the basis for achieving "best execution." The net result to managers is higher returns. I highly recommend this reference for anyone interested in understanding all aspects of finance and investment theory, and it makes a wonderful complement to graduate level texts.
Rating:
Summary: VWAP Trading Made Easy
Review: This is the finest resource for Transaction Cost Analysis I have ever seen. The authors give a comprehensive overview of the current trends in the Transaction Cost Analysis arena and discuss advantages and disadvantages of each approach. They then provide realistic and simple measures to evaluate broker-dealer, and trader performance. I have used these techniques to decided upon which brokers to use to execute a trade. The most exciting part of this book to me is that it provides techniques to evaluate both Agency and Principal Bids. Inferior Brokers Beware- Your time is up!
<< 1 >>
| 
