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MediaDB / «Options" Sergey Izrailevich, Tsudikman Vadim: download fb2, read online
About the book: 2017 / Until today, all books devoted to automated trading focused on traditional exchange instruments, such as stocks, futures or currencies. Options trading is based on other fundamental principles, logical and quantitative methods. The authors consistently describe all stages of building automated trading systems focused on exploiting the unique characteristics of options. The book presents the basic elements of creating and formalizing strategies that operate complexly structured portfolios, which can consist of a potentially unlimited number of option combinations. A detailed description of the main methods applicable to the optimization of option strategies is given. Particular attention is paid to the dynamic assessment of strategy risks at the portfolio level (rather than individual option combinations). The proposed approach to the distribution of capital between portfolio elements allows for maximizing profits while maintaining a high level of diversification. In conclusion, a step-by-step algorithm for testing the strategy, assessing its reliability and stability is given; special emphasis is placed on the problem of fitting testing results to historical data. The book is intended for a trained reader (traders, investors, portfolio managers, researchers) familiar with the basics of statistics, probability theory and basic concepts in the field of financial analysis.