Ideas in Algorithmic Trading and System Modeling for Pedestrians

69 Pages Posted: 6 Nov 2011

Date Written: 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.

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

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

Suggested Citation

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

Laurent Schoeffel (Contact Author)

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

Gif-sur-Yvette, 91191
France

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