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Automated Option Trading: Create, Optimize, and Test Automated Trading Systems
- By Sergey Izraylevich, Vadim Tsudikman
- Published Mar 23, 2012 by FT Press.
- Copyright 2012
- Dimensions: 7-3/8" x 9-1/8"
- Pages: 304
- Edition: 1st
- Book
- ISBN-10: 0-13-247866-8
- ISBN-13: 978-0-13-247866-3
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Product Author Bios
Sergey Izraylevich, Ph.D., chairman of High Technology Invest Inc., has traded options for over ten years, and now creates automated options trading systems. As lecturer at Hebrew University of Jerusalem, he received the Golda Meir Prize for academic excellence.
Vadim Tsudikman, president of High Technology Invest Inc., specializes in derivatives valuation, hedging, and capital allocation, and develops complex trading systems using multi-criteria analysis and genetic optimization.
The first and only book of its kind, Automated Options Trading describes a comprehensive, step-by-step process for creating automated options trading systems. Using the authors’ techniques, sophisticated traders can create powerful frameworks for the consistent, disciplined realization of well-defined, formalized, and carefully-tested trading strategies based on their specific requirements. Unlike other books on automated trading, this book focuses specifically on the unique requirements of options, reflecting philosophy, logic, quantitative tools, and valuation procedures that are completely different from those used in conventional automated trading algorithms. Every facet of the authors’ approach is optimized for options, including strategy development and optimization; capital allocation; risk management; performance measurement; back-testing and walk-forward analysis; and trade execution. The authors’ system reflects a continuous process of valuation, structuring and long-term management of investment portfolios (not just individual instruments), introducing systematic approaches for handling portfolios containing option combinations related to different underlying assets. With these techniques, it is finally possible to effectively automate options trading at the portfolio level. This book will be an indispensable resource for serious options traders working individually, in hedge funds, or in other institutions.
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16 of 16 people found the following review helpful
Not what you might expect, but valuable for some people, By
This review is from: Automated Option Trading: Create, Optimize, and Test Automated Trading Systems (Hardcover)
Customer review from the Amazon Vine™ Program (What's this?)
I would expect a book on automated option trading to begin with the computer set-up and data needed to run such an operation. Data cleansing would get a lot of treatment, as would designing robust systems for automated order generation, performance monitoring and risk management. A good deal of space would be devoted to the appropriate order system to use, and how to place orders and monitor execution slippage and quality. There might be material on how to set up and run a commingled fund, how to report performance and institutional aspects of the operation.The above would apply to any automated trading operation. Since this book specifically talks about options, I would expect material on volatility surface evolution, institutional and regulatory details of options, considerations involving corporate actions and expiries, and popular quantitative option strategies. The book is entirely different. If you want what I expected, I recommend instead a book on... Read more
5 of 6 people found the following review helpful
Very dense theoretical treatment of non-linearity of option payoffs, By
This review is from: Automated Option Trading: Create, Optimize, and Test Automated Trading Systems (Hardcover)
Customer review from the Amazon Vine™ Program (What's this?)
The role of options as hedges, leveraged directional plays, or to create synthetic underlying positions has been the focus of most of other books. In this book, the authors expand on the notion of the market neutrality and exploiting the non-linearity of payoffs to create partially directional strategies. The rest of the book provides a detailed mathematical approach of developing trading strategies. Using a wide range of response surface plots, combinatorial analysis, and traditional problem formulation from multi-criteria optimization, the authors describe a systematic manner to develop trading algorithms - and provide a clear design space for automated systems. Even if a reader is overwhelmed with the mathematical treatment, one can quickly understand why majority of option trades (retailers) end up as losses - the difficulty in choosing the right option combination for a particular trade is clearly reflected in the discussions. One can appreciate why these techniques are best...
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3 of 4 people found the following review helpful
Complete waste of time,
This review is from: Automated Option Trading: Create, Optimize, and Test Automated Trading Systems (Hardcover)
I have been working on automated options trading for almost five years now, and I have found this book completely useless. I have several issues with it, starting with the most basic one, the presentation of the graphs and the very few formulas is simply poor and does not inspire one to keep reading.Unfortunately I cannot say much better for the content either, which is very heavy on anecdotal evidence and text, but the explanations lack hard proof of any kind that the strategies the authors are proposing actually work in practice after commissions and transaction costs are taken into account. For some this can be hidden behind the many graphs the authors include, but for the ones that have any practical experience in options simply there is not much depth behind the words. Finally, the book lacks clarity and it is hard to read. The one little positive that I found is the last chapter on data and backtesting, which is somewhat refreshing. It is not very... Read more |
Table of Contents
Introduction xv
Chapter 1: Development of Trading Strategies 1
Chapter 2: Optimization 73
Chapter 3: Risk Management 135
Chapter 4: Capital Allocation and Portfolio Construction 167
Chapter 5: Backtesting of Option Trading Strategies 217
Bibliography 247
Appendix 251
Index 261
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