A Cheat Sheet for Algorithmic Trading of Investment Portfolios

18 Pages Posted: 23 Aug 2013

See all articles by Patrick Beaudan

Patrick Beaudan

Northern Trust Corporation; Emotomy

Date Written: August 2013

Abstract

These working notes on algorithmic trading are designed as an introduction to the basic equations that govern the day-to-day trading of an investment portfolio to meet a predefined strategic asset allocation. The algebraic framework applies generally to long only and long/short strategies. It incorporates the use of leverage as well as the impact of trading costs on a portfolio. The presentation of the material is based on first principles. As such it assumes an elementary knowledge of linear algebra, but no particular expertise in finance or securities trading.

Keywords: algorithmic trading, portfolio trading, margin, leverage, trading costs, long short strategies, asset allocation

JEL Classification: C32, C51,C63, G11

Suggested Citation

Beaudan, Patrick, A Cheat Sheet for Algorithmic Trading of Investment Portfolios (August 2013). Available at SSRN: https://ssrn.com/abstract=2314590 or http://dx.doi.org/10.2139/ssrn.2314590

Patrick Beaudan (Contact Author)

Northern Trust Corporation ( email )

50 South LaSalle Street
Chicago, IL 60603
United States
415 839 5239 (Phone)

Emotomy ( email )

2 Embarcadero Center
San Francisco, CA 94111
United States

HOME PAGE: http://www.emotomy.com

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