Optimal trading strategies kissell

Bruce C. Greig, CFA, CAIA, CMT.
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“Optimal Trading Strategies” – (Robert Kissell, Morton Glantz) Book Review.
Oct. 28, 2010 10:32 AM.
The concepts of trading costs and market impact often get overlooked in the grand scheme of investing. As this extremely informative book points out, though, this can be a costly omission. “Optimal Trading Strategies” (pub. Amacom, 2003) by Robert Kissell and Morton Glantz is not exactly light reading. In fact, many pages are filled with imposing mathematical formulas and derivations. Such explicitness is needed to fully cover this often complicated subject matter though. Trading costs are an overlooked factor in investment management, so it is worth the effort to wade through the math to get to the underlying principles at hand. The subtitle of the book, “Quantitative Approaches for Managing Market Impact and Trading Risk”, should prepare the reader for the high-level math in the text.
“Optimal Trading Strategies” addresses several fundamental problems involved during the analysis of market impact and trading costs. One of which is known as the "Traders dilemma". Simply put; trading too aggressively increases costs, while trading too passively increases exposure to risk. We are understand this concept at an intuitive level, but the authors manage to clearly and effectively quantify the dilemma enabling an investor to properly weigh the tradeoff and make the appropriate trading decisions.
Kissell and Glantz also include a practical discussion of why traders select the popular Volume Weighted Price Strategy for trade allocations. (VWAP). It is accompanied by the most complete mathematical and quantitative analysis of VWAP I have encountered. Numerous examples with the appropriate “solutions” are included for practitioners to hone their skills before applying the concept in real-time.
The intended audience for this book is the people on the trading desks of mutual funds and hedge funds who execute large-size orders for a living. This book is NOT for small day traders, or the casual investor who may trade frequently in his retirement account. The technical treatment of the subject matter combined with examples from institutional trading render this text appropriate for a certain group of investors who realize that performance can be enhanced by pay close attention to market impact and costs of trading.
In summary, Kissell and Glantz brilliantly fill a significant gap in the literature and its applications in real-life trading. “Optimal Trading Strategies” provides an accessible introduction to the science of trading, and a thorough quantitative handling for those looking for the highest level of detail.
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Everyday financial professionals are required to make important decisions regarding how best to execute an investment decision. The process entails estimating transaction costs, forecasting market impact and risk, evaluating alternative strategies, developing optimal trading strategies, choosing agency transaction or principal bid, and selecting the most suitable broker-dealer. Investors know all too well that trading too aggressively will cause too high market impact cost, but trading too passively will expose the fund to more risk, which may result in even higher costs. Investors need to find an appropriate balance between cost and risk, given the goals and objectives of the fund. Improper implementation will effectively erode much of the value added during the investment process and may ultimately cause investors to lose profits and funds to lose investors.
How can you maximize value instead? The answer lies in the proactive management of transaction costs and selection of trading strategy, the process to which this book is dedicated. Optimal Trading Strategies presents well-developed methodologies for managing and reducing costs throughout all stages of the investment cycle. You will find:
· Quantitative techniques for estimating, analyzing, and managing transaction costs · A framework for forecasting market impact and risk · Methodologies to develop optimal trading strategies · A process to achieve best execution · Metrics for measuring costs and evaluating performance.
Consider this: Two money managers invest in and hold identical portfolios but one manager consistently outperforms the other by as much as 50 to100 basis points per quarter. The more successful manager is inevitably the one who better manages trading costs. In a highly competitive environment where every basis point counts, it is critical to seize every foreseeable advantage for your investors. By using the framework and techniques presented in this book, you will better position yourself to achieve higher portfolio returns.
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Well-written but be warned.
The book is well-written and its nice structure and intuitive approach very attractive. However, it will lead you down the wrong path.
As folks in the quantitative portfolio management world have discovered that if the information coefficients are low, the variability in the results is too large for practical use. The three key ingredients necessary for the book's approach to work: market-impact estimates, volatility forecasts and covariance estimates for the trade list all have high standard-errors.
Volume variability and decay of temporary market-impact are very important and not adequately discussed.
I have seen a number of trading desks put a whole infrastructure based on this approach. The sad part is the managers never understood the weaknesses of this approach. The results are very mediocre and in some-ways even worse than what the same desks would achieve before. And they continue to plod along trying to apply everything they learned while doing statistical arbitrage to this problem. Three basic problems: Law of large numbers is rarely available, you have to complete the trade most times and you do not get to choose the stocks you trade.
Also traditional statistical arbitrage techniques are not a source of alpha anymore. Theses inefficiencies are well understood and have been exploited mostly. (I know some folks are going to point to Renaissance etc. but from what I know their alpha persists because of very different reasons)
A better way is to combine statistics/econometrics and expert-systems. The results are much better.
The only book on this topic.
If you are interested in modeling things like price impact and total transaction cost of executing a large order, this book is the ONLY one you can find. This is not surprising given the narrow focus of this field. The book offers a systematic look at the different components of transaction cost and some pseudo-quantitative techniques -- I say "pseudo" because the equations are often of suspicious origins and often contain unforgiveable errors. If you want to know what VWAP means and how people implement VWAP strategies, you've come to the right place. If you want to know how price impact is defined and measured/estimated, you've come to the right place.
Audience for this book are the people on the trading desks of mutual funds and hedge funds who execute large-size orders for a living. This book is NOT for small day traders, as there's nothing about making a profit from day trading.
This book deals with an all-to-often forgotten component of investment science: "the science of trading". The authors brilliantly fill a major gap in the literature and its real-world applications. This book provides both an accessible introduction to the science of trading, and a rigorous quantitative treatment. So far, most of the investment science literature assumes trades to be instantaneous, cost-free and divorced from returns. But to the active trader, portfolio manager, plan sponsor or student of finance, these assumptions can mean the difference between a winning and a losing investment. The authors present a methodology that will allow the uninitiated to qualitatively distinguish between trading strategies and gauge their brokers' quality of trade execution. The more technical reader will be provided with techniques necessary for the construction of customized trading strategies, tailored to his particular investment objectives, be they portfolio rebalancing, statistical arbitrage, swing trading, etc. If you're directly or indirectly involved in the trading of securities, this book is not only an invaluable reference, it's a one of a kind must-read!
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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.
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.
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.
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.
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.
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.
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.
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.

ISBN 13: 9780814407240.
Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk.
Robert Kissell ; Morton Glantz.
"The decisions that investment professionals and fund managers make have a direct impact on investor return. Unfortunately, the best implementation methodologies are not widely disseminated throughout the professional community, compromising the best interests of funds, their managers, and ultimately the individual investor. But now there is a strategy that lets professionals make better decisions. This valuable reference answers crucial questions such as: * How do I compare strategies? * Should I trade aggressively or passively? * How do I estimate trading costs, "slice" an order, and measure performance? and dozens more. Optimal Trading Strategies is the first book to give professionals the methodology and framework they need to make educated implementation decisions based on the objectives and goals of the funds they manage and the clients they serve."
"synopsis" may belong to another edition of this title.
If you are a financial professional concerned with transaction costs--as a plan sponsor, fund manager, trader, broker, analyst, consultant, sophisticated individual investor, or student--if you are trading programs, portfolios, baskets, or blocks--this book is essential reading. It will introduce you to financial implementation decision-making, show you how to employ quantitative methods to manage trading costs throughout all phases of the investment cycle, and ultimately help to uncover techniques and strategies to reduce costs and increase portfolio returns.
The overriding methodology in Optimal Trading Strategies has been developed from the viewpoint of investors. It provides a foundation for evaluating trading-related decisions in the same manner CAPM and APT provides for investment-related decisions and Black-Scholes provides for option pricing. The text is enhanced through extensively developed financial theory, statistical models, and is reinforced with illustrative examples.
With scientific rigor, the authors analyze typical problems that arise during the implementation phase of the investment cycle. They present a framework to estimate costs, forecast market impact and timing risk, and develop optimal trading strategies. You will learn how to determine the strategy that meets the goals and objectives of the fund, and achieve best execution. The book provides proven techniques for answering such questions as:
· How do I estimate trading costs?
· How do I forecast market impact and timing risk?
· How do I develop optimal trading strategies?
· How do I choose between agency execution and principal bid?
· How do I select the most suitable broker/dealer arrangement: traditional broker, ECN, or crossing system?
· How do I measure transaction costs?
· How do I evaluate performance?
· How do I achieve best execution?
Specifically, the book presents cutting-edge advancements such as Robert Almgren and Neil Chriss’ Efficient Trading Frontier (ETF), which shows the optimal trade-off between trading costs and timing risks, and introduces the concept of a Capital Trade Line (CTL), a means for allocating between agency execution and principal bid transaction. Further, it offers a blueprint for computing the economic fair value (FV) for a principal bid from the investor’s viewpoint, and an optimization formulation to solve the trader’s dilemma. Naturally, it spells out techniques for incorporating transaction costs directly into investment decisions to improve portfolio returns. By disseminating state-of-the-art implementation methodologies to the professional community, Optimal Trading Strategies will aid you in making more effective financial decisions.
About the Author :
Robert Kissell (Atlanta, GA) is director of trading research at a major provider of technology-based trading solutions. Morton Glantz (Dix Hills, NY) is the founder of Mort Glantz Associates, a consulting firm specializing in credit, strategic planning, and risk management. He is the author of Scientific Financial Management (0-8144-0500-2).
"About this title" may belong to another edition of this title.
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