Ideas in Algorithmic Trading and System Modeling for Pedestrians

Schoeffel, Laurent

doi:10.2139/ssrn.1955251

Abstract

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Ideas in Algorithmic Trading and System Modeling for Pedestrians

Laurent Schoeffel

Centre d'Etudes de Saclay (CEA)

November 5, 2011

Abstract:
This document explains the different processes and steps involved in building robust and stable algorithms to unfold financial time series into profitable trading strategies.

Number of Pages in PDF File: 69

Keywords: algorithms, financial markets, random walk model, time series analysis, statistical inference, future contracts

JEL Classification: C10, C15, C22, C50, G11, G14

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Date posted: November 6, 2011

Suggested Citation

Schoeffel, Laurent, Ideas in Algorithmic Trading and System Modeling for Pedestrians (November 5, 2011). Available at SSRN: http://ssrn.com/abstract=1955251 or http://dx.doi.org/10.2139/ssrn.1955251

Contact Information

Laurent Schoeffel (Contact Author)

Centre d'Etudes de Saclay (CEA) ( email )

Gif-sur-Yvette, 91191
France