{"product_id":"alpha-trading-isbn-9780470529744","title":"Alpha Trading","description":"From a leading trading systems developer, how to make profitable trades when there are no obvious trends  \u003cp\u003eHow does a trader find alpha when markets make no sense, when price shocks cause diversification to fail, and when it seems impossible to hedge? What strategies should traders, long conditioned to trend trading, deploy? In \u003ci\u003eAlpha Trading: Profitable Strategies That Remove Directional Risk\u003c\/i\u003e, author Perry Kaufman presents strategies and systems for profitably trading in directionless markets and in those experiencing constant price shocks. The book\u003cbr\u003e \u003c\/p\u003e \u003cul\u003e \u003cli\u003eDetails how to exploit new highs and lows\u003c\/li\u003e \u003cli\u003eDescribes how to hedge primary risk components, find robustness, and craft a diversification program\u003c\/li\u003e \u003cli\u003eOther titles by Kaufman: \u003ci\u003eNew Trading Systems and Methods, 4th Edition\u003c\/i\u003e and \u003ci\u003eA Short Course in Technical Trading\u003c\/i\u003e, both by Wiley\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eGiven Kaufman's 30 years of experience trading in almost every kind of market, his \u003ci\u003eAlpha Trading\u003c\/i\u003e will be a welcome addition to the trading literature of professional and serious individual traders for years to come.\u003c\/p\u003e \u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Uncertainty 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eImpact on Trading 2\u003c\/p\u003e \u003cp\u003eThe Inevitable Price Shocks 3\u003c\/p\u003e \u003cp\u003eWhy So Much about Price Shocks? 9\u003c\/p\u003e \u003cp\u003eComplexity and Contagion Risk 10\u003c\/p\u003e \u003cp\u003eThe Ugly Side 11\u003c\/p\u003e \u003cp\u003eTaking Defensive Action 11\u003c\/p\u003e \u003cp\u003eAccepting Performance for What it is 13\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 The Importance of Price Noise 15\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eNoise Explained 15\u003c\/p\u003e \u003cp\u003eDifferent Markets 19\u003c\/p\u003e \u003cp\u003eA Closer Look at Equity Index Markets 21\u003c\/p\u003e \u003cp\u003eImportance of Noise 22\u003c\/p\u003e \u003cp\u003eDetermining the Strategy 25\u003c\/p\u003e \u003cp\u003eCapitalizing on the Trend of Noise 29\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Pairs Trading: Understanding the Process 31\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Process 32\u003c\/p\u003e \u003cp\u003eThe Basics 32\u003c\/p\u003e \u003cp\u003eTarget Volatility 54\u003c\/p\u003e \u003cp\u003eHome Builders 65\u003c\/p\u003e \u003cp\u003eUsing ETFs 78\u003c\/p\u003e \u003cp\u003ePortfolio of Home Builder Pairs 84\u003c\/p\u003e \u003cp\u003eExecution and the Part-Time Trader 89\u003c\/p\u003e \u003cp\u003eStop-Losses 89\u003c\/p\u003e \u003cp\u003eTrading Intraday 90\u003c\/p\u003e \u003cp\u003eKey Points to Remember 90\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Pairs Trading Using Futures 93\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFutures 94\u003c\/p\u003e \u003cp\u003eMechanics of a Pairs Trade in Futures 97\u003c\/p\u003e \u003cp\u003eInflation Scares 100\u003c\/p\u003e \u003cp\u003eTrading Energy Pairs 102\u003c\/p\u003e \u003cp\u003eRevisiting Momentum with Energy Markets 105\u003c\/p\u003e \u003cp\u003eA Miniportfolio of Natural Gas Pairs 112\u003c\/p\u003e \u003cp\u003eThe Inflation Pairs: Crude, the EURUSD, and Gold 119\u003c\/p\u003e \u003cp\u003eEquity Index Pairs 128\u003c\/p\u003e \u003cp\u003eLeveraging with Futures 138\u003c\/p\u003e \u003cp\u003eLondon Metals Exchange Pairs 141\u003c\/p\u003e \u003cp\u003eVolatility Filters 153\u003c\/p\u003e \u003cp\u003eInterest Rate Futures 154\u003c\/p\u003e \u003cp\u003eSummary 154\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Risk-Adjusted Spreads 155\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDell and Hewlett-Packard 155\u003c\/p\u003e \u003cp\u003eTrading Both Long-Term (Hedged) Trends and Short-Term Mean Reversion 159\u003c\/p\u003e \u003cp\u003eGold, Platinum, and Silver 161\u003c\/p\u003e \u003cp\u003eThe Platinum\/Gold Ratio 163\u003c\/p\u003e \u003cp\u003eImplied Yield 170\u003c\/p\u003e \u003cp\u003eThe Yield Curve 174\u003c\/p\u003e \u003cp\u003eTrend Trading of London Metal Exchange Pairs 179\u003c\/p\u003e \u003cp\u003eSummary 184\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Cross-Market Trading and the Stress Indicator 187\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Crossover Trade 188\u003c\/p\u003e \u003cp\u003eThe Stress Indicator 189\u003c\/p\u003e \u003cp\u003eGold, Copper, and Platinum 195\u003c\/p\u003e \u003cp\u003eMining Companies 198\u003c\/p\u003e \u003cp\u003eAgribusiness Pairs 206\u003c\/p\u003e \u003cp\u003eThe Major Energy Producers 208\u003c\/p\u003e \u003cp\u003ePortfolio of Cross-Market Energy Pairs 220\u003c\/p\u003e \u003cp\u003eOther Opportunities 226\u003c\/p\u003e \u003cp\u003eSome Final Notes 228\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Revisiting Pairs Using the Stress Indicator 229\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFutures Markets and the Stress Indicator 229\u003c\/p\u003e \u003cp\u003eEquity Index Futures 230\u003c\/p\u003e \u003cp\u003eInterest Rate Futures 238\u003c\/p\u003e \u003cp\u003eThe Portfolio Spreadsheet 245\u003c\/p\u003e \u003cp\u003eSummary of Pairs Trading 248\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Traditional Market-Neutral Trading 249\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHome Builders 250\u003c\/p\u003e \u003cp\u003eTrend or Mean Reversion? 250\u003c\/p\u003e \u003cp\u003eBasic Market-Neutral Concept 251\u003c\/p\u003e \u003cp\u003eVolatility-Adjusting the Position Size 264\u003c\/p\u003e \u003cp\u003eArbing the Dow: A Large-Scale Program 267\u003c\/p\u003e \u003cp\u003eThoughts about Market-Neutral Trend Following 274\u003c\/p\u003e \u003cp\u003eMarket Neutral Using Futures 274\u003c\/p\u003e \u003cp\u003eMarket-Neutral Comments 277\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Other Stat-Arb Methods 281\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTrade-Offs 282\u003c\/p\u003e \u003cp\u003eSystem Briefs 282\u003c\/p\u003e \u003cp\u003eNew Highs and New Lows 290\u003c\/p\u003e \u003cp\u003eMerger Arb 290\u003c\/p\u003e \u003cp\u003eCreating Your Own Index Arbitrage 292\u003c\/p\u003e \u003cp\u003eArbing the Dow 301\u003c\/p\u003e \u003cp\u003eArbing the S\u0026amp;P 500—Index Arbitrage 302\u003c\/p\u003e \u003cp\u003eAbout the Companion Web Site 305\u003c\/p\u003e \u003cp\u003eAbout the Author 306\u003c\/p\u003e \u003cp\u003eIndex 307\u003c\/p\u003e  “Whenever Perry Kaufman writes a new book . . .system traders take note. What separates Kaufman’s work from that of many other writers on trading strategies is that he goes into the nuts and bolts of designing and testing system candidates. . . The website that accompanies the book has spreadsheets that make the calculations necessary for setting up trades ever so much easier. . .  What Kaufman offers is different — essentially a do-it-yourself manual for the trader who wants to develop strategies that remove directional risk and unearth opportunities for creating alpha.” \u003ci\u003e\u003cb\u003e(Seeking Alpha)\u003c\/b\u003e\u003c\/i\u003e   \u003cp\u003e\u003cb\u003ePERRY KAUFMAN\u003c\/b\u003e 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 \u003ci\u003eNew Trading Systems and Methods, Fourth Edition\u003c\/i\u003e, \u003ci\u003eA Short Course in Technical Trading\u003c\/i\u003e, both from Wiley, and other books and articles that have gained worldwide acclaim.  \u003c\/p\u003e\u003cp\u003eIn the fall of 2008, the investment world received a rude reminder that forecasts and risk have more uncertainty than we would like to believe. From August 28 to the following March 9, the S\u0026amp;P 500 dropped 47%. Even more remarkable was that every investment was dragged down with it—hedge funds that were expected to offer diversification, commodity funds, real estate, art, and of course, every possible stock in nearly every country. When a market like this comes along, what is a trader to do? How to manage risk? Where are the hedges?\u003c\/p\u003e \u003cp\u003eThe solution to all this risk and uncertainty, says world-renowned trading systems expert Perry Kaufman, is to take market positions that are not exposed to directional risk. Trading a spread or market neutral position takes price shocks out of the picture completely. In \u003ci\u003eAlpha Trading\u003c\/i\u003e, Kaufman shows how to make trading profits even when there are no market trends and price shocks rock the markets every day. His strategies, long shown to be profitable, are called statistical arbitrage, or stat-arb, and they can be traded by holding positions for a few days, as he suggests, or for milliseconds as implemented by the big investment houses. They include all forms of stat-arb trading, from spreads to yield-curve trading to program trading, and from the simplest pairs trade to large-scale market neutral strategies. Kaufman covers each one in detail, ultimately showing you how to change the shape of your risk and drastically increase your probability of profiting under any market conditions.\u003c\/p\u003e \u003cp\u003eWith his decades of experience in almost every type of market, Kaufman's guidance, strategies, and lessons will be a welcome addition to the trading literature for professional and serious individual traders for years to come.\u003c\/p\u003e \u003cp\u003eA companion website includes spreadsheets to perform the calculations found in the book, including those for pairs trading, risk-adjusted spreads, cross-market trading, traditional market neutral trading, and other stat-arb methods.\u003c\/p\u003e \u003cp\u003e\u003ci\u003eAlpha Trading\u003c\/i\u003e will help serious investors and traders make money when markets make no sense. With tested strategies and systems for profitably trading in directionless markets, Kaufman shows traders how to exploit new highs and lows, hedge primary risk components, find robustness, craft a diversification program, and much more, complete with spreadsheets to do the calculations. Each step of the process is explained and illustrated with examples of how the numbers should look.\u003c\/p\u003e \u003cp\u003eIn the fall of 2008, the investment world received a rude reminder that forecasts and risk have more uncertainty than we would like to believe. From August 28 to the following March 9, the S\u0026amp;P 500 dropped 47%. Even more remarkable was that every investment was dragged down with it—hedge funds that were expected to offer diversification, commodity funds, real estate, art, and of course, every possible stock in nearly every country. When a market like this comes along, what is a trader to do? How to manage risk? Where are the hedges?\u003c\/p\u003e \u003cp\u003eThe solution to all this risk and uncertainty, says world-renowned trading systems expert Perry Kaufman, is to take market positions that are not exposed to directional risk. Trading a spread or market neutral position takes price shocks out of the picture completely. In \u003ci\u003eAlpha Trading\u003c\/i\u003e, Kaufman shows how to make trading profits even when there are no market trends and price shocks rock the markets every day. His strategies, long shown to be profitable, are called statistical arbitrage, or stat-arb, and they can be traded by holding positions for a few days, as he suggests, or for milliseconds as implemented by the big investment houses. They include all forms of stat-arb trading, from spreads to yield-curve trading to program trading, and from the simplest pairs trade to large-scale market neutral strategies. Kaufman covers each one in detail, ultimately showing you how to change the shape of your risk and drastically increase your probability of profiting under any market conditions.\u003c\/p\u003e \u003cp\u003eWith his decades of experience in almost every type of market, Kaufman's guidance, strategies, and lessons will be a welcome addition to the trading literature for professional and serious individual traders for years to come.\u003c\/p\u003e \u003cp\u003eA companion website includes spreadsheets to perform the calculations found in the book, including those for pairs trading, risk-adjusted spreads, cross-market trading, traditional market neutral trading, and other stat-arb methods.\u003c\/p\u003e \u003cp\u003e\u003ci\u003eAlpha Trading\u003c\/i\u003e will help serious investors and traders make money when markets make no sense. With tested strategies and systems for profitably trading in directionless markets, Kaufman shows traders how to exploit new highs and lows, hedge primary risk components, find robustness, craft a diversification program, and much more, complete with spreadsheets to do the calculations. Each step of the process is explained and illustrated with examples of how the numbers should look.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988715454693,"sku":"NP9780470529744","price":84.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470529744.jpg?v=1761781304","url":"https:\/\/k12savings.com\/es\/products\/alpha-trading-isbn-9780470529744","provider":"K12savings","version":"1.0","type":"link"}