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Intelligent Trading Systems

Applying Artificial Intelligence to Financial Markets

By Ondrej Martinsky
Cover of Intelligent Trading Systems (Paperback) by Ondrej Martinsky

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About the Author

Ondrej Martinsky

Ondrej Martinsky specialises in mathematics and computer science, intelligent and decision support systems. He has been working on several research projects within these areas during his stay at Brno University of Technology. He currently works as an independent contractor for a major investment bank in London and publishes his blog www.quantandfinancial.com. Ondrej is also the author of several ... Read more on Ondrej Martinsky

Contents Listing

Introduction

1: Reality, the intersection of multiple theories
Efficient market hypothesis
The theory of chaos
Behavioral market theory

2: The dynamics of crowd behavior
Methodologies for the study of markets
The system theory point of view
The wave principle
Fibonacci mathematics in financial markets

3: Security exchanges at a glance
Financial markets
Security exchanges
Exchange clearing systems
4: Basic tenets of automated trading
Indicators and oscillators
Money management
Statistics
The sensitivity to changes of system parameters

5: Simulation and backtesting of trading strategies
The value of simulation in the trading
Human factor in the trading chain
Modeling of order execution
Modeling of time and price skews
Discrete Event System Specification
Simulation of the trading environment
Embedding trading strategies into the simulation
Simulation case study

6: Optimization of trading strategies
Parametric trading strategies
Genetic algorithms
Inspiration from nature
Computational model of genetic evolution
Optimization case study

7: Fuzzy approach to trading strategies
Concept of uncertainty and the basics of fuzzy logic theory
Fuzzy logic and fuzzy inference
Fuzzy-based trading strategies
Analysis of sensitivity and robustness
Case study

Summary
Bibliography and further reading
Notations, functions and mathematical symbols
Introduction

1: Reality, the intersection of multiple theories
Efficient market hypothesis
The theory of chaos
Behavioral market theory

2: The dynamics of crowd behavior
Methodologies for the study of markets
The system theory point of view
The wave principle
Fibonacci mathematics in financial markets

3: Security exchanges at a glance
Financial markets
Security exchanges
Exchang ...

Jacket Text

This book deals with the issue of problematic market price prediction in the context of crowd behaviour affected by the psychology of the masses. It highlights the contrast between a phenomenon of mass psychology and the efficient market hypothesis, which is essentially based on a common economic theory. The basic assumption is that if there is a model of interaction between masses and agents participating in markets, then there also exist means for prediction of the whole market's behaviour, though nevertheless the behaviour of every single agent is not predictable.

From a practical point of view, this book describes technical analysis methods used to predict price movements, and discusses a soft computing approach used in a composition of automated trading systems. This book brings alternative, soft computing computational models to trading strategies and innovatively combines two different areas of science - artificial intelligence and technical analysis. One of the main benefits of this book is a demonstration that the soft computing approach in a combination with the "soft" social sciences accounts more reliable results than the conventional mathematical models.

This book is for anyone interested in trading, financial markets and security exchanges, as well as for those who have theoretical or practical knowledge from the fields of artificial intelligence and soft computing, and want to know how these topics can be applied in financial markets.

Media Coverage

Your Trading Edge Magazine

In 'Intelligent Trading Systems' (subtitled 'Applying Artificial Intelligence to Financial Markets'), Martinsky investigates crowd behaviour, and explains how a range of technical analysis tools can ...

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Ytemagazine.com

"A good read for mathematically inclined traders who are seeking to understand both crowd behaviour and how to incorporate some theories of technical analysis into a software-based trading system."- ...

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