Optimal Trading Strategies by Robert Kissel and Morton Glantz

Optimal Trading Strategies is a book about the trading strategies — be it a Forex market or stocks. Optimal trading strategies have several things in common and for you not to wonder what are these things, how to find them and how to develop them in some other strategies, this book will show you in details why some strategies are better and what trading strategies work where others fail. Definitely not an easy read with almost 400 pages, «Optimal Trading Strategies» uncovers everything related to optimizing the strategies — starting from the transaction costs involved into the trading (spread for the Forex market) and finishing with the advanced trading techniques that involving dozens of math formulas that can really help all the traders that understand their profession at a very high level.

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Interesting posts about Forex trading and the most recent currency news can be found on the Forex blog that is used by the author to share his Forex experience.

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Below you can read the reviews of the book and also submit your own review about Optimal Trading Strategies by Robert Kissel and Morton Glantz.

1 Star2 Stars3 Stars4 Stars5 Stars (2 votes, average: 4.00 out of 5)

5 Reviews

  1. Him:

    For good fund performance, you’re going to need transaction cost modeling, coupled with fantastic risk and alpha models. If you want to model and analyze your cost of transactions, then this book is provides the blueprint for that. The writers also talked about VWAP and blind bid trading stratagems. Even with lots of typos in the text, it is still written well. Suited more for large-cap liquid stocks, most of the systems in this book are beyond novice traders. It’s imperative that we find a model approach that is justified empirically for smaller liquid names and small-cap stocks.

  2. Bloom:

    A nicely written work that reads well is a wolf in sheep’s clothing; it is alluring indeed, but will take you through the wrong trail. Variability in results is too big for any practical use if information coefficients find themselves too low, and people that manage quantitative portfolios have found this out. There is a trio of components that’s important for this text’s variation to succeed: volatility forecasts, covariance estimates, and market impact estimates…all of these are required to have lofty standard errors.

    The variability of volume and impermanent market-impact decay are all vital and not discussed at length.

    Based on this method alone, I’ve watched whole-trading desks put infrastructure in place to implement it. The managers never really knew the flaw of this particular approach, though; the results were sub-par and sometimes less than what the desks would have made before. Thus they keep trying to turn a profit, trying their best to utilize the statistical arbitrage they learned. These are the three rudimentary problems: Large numbers, by standard, are hardly ever accessible, most of the times you’ll have to finish the trade, and you don’t pick the stocks to trade.

    Not the root of alpha any longer, classical statistical arbitrage has been ousted. The inadequacies have been known about and exploited for the most part. You may say Renaissance, but their alpha works for varying reasons.

    If you want even better results, you can merge expert systems and econometrics/statistics.

  3. Keith:

    Unusable and unable to be taken serious, this book is not for anyone. It’s crammed with misinformation and a faux analytical bent. The algebra does not add up with what is written, and most of the writing is unfathomable, even though I try my best to trudge through most books no matter how bad they are – don’t waste money on this.

  4. Miller:

    This may be the only book you can find if you’re intrigued by the value impact of the whole transaction cost of producing a big order. This isn’t surprising as this is a highly stylize niche. The work gives a look at the differing processes of pseudo-quantitative methods and costs of transaction; I do say pseudo as some of the equations provided are of a suspicious nature and sometimes contain serious errors. You’ve picked the right book if you need to know exactly what VWAP is and the implementation strategies people use it for; also if you wish to learn how value impact is projected/measured.

    This isn’t the book for small time day traders to create a yield of, but for the folks at trading desks of places that implement large orders.

  5. Joe:

    If you’re a professional or a student, this may be the perfect monetary resource for you. This book shows investing and financing from the eyes of the trader, and is one of a kind in that capacity.

    Most people know that if you utilize an investment choice wrong, you can negate a lot of the manager’s wanted alpha, but how to look at the set of likely implementation strategies? The primary goal for Optimal Trading Strategies is the answer to that query. The writers do a great job investigating transaction costs (such as why they occur, where, and when) and progress with a simple to grasp analytical method to control, estimate, and manage all the costs. The authors’ advance to creating these “optimal trading plans” as well manages to be the foundation for attaining “top execution.” The net effect to managers is superior returns. I highly advocate this position for anybody attracted to understanding every aspect of economics and investment conjecture, and it creates a superb balance to graduate level transcripts.