Automated Option Trading: Create, Optimize, and Test Automated Trading Systems
Product Author Bios
Sergey Izraylevich, Ph.D. (Paris), 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 (Paris), 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.
Table of Contents
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
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