Advanced Trading Rules (Second Edition)
Book Details
- Author: Emmanuel Acar and Stephen Satchell (Editors)
- Categories: Quantitative Finance, Trading Systems, Risk Management
Quick Summary
Acar and Satchell assemble contributions from academics and practitioners covering cutting-edge quantitative trading research, including forecasting volatility, performance measurement, tactical asset allocation, and derivative instrument analysis, bridging the gap between financial theory and trading practice.
Detailed Summary
"Advanced Trading Rules" (Second Edition), edited by Emmanuel Acar (Bank of America) and Stephen Satchell (Trinity College, Cambridge), published by Butterworth-Heinemann in 2002, is an academic yet practitioner-oriented anthology that brings together research on quantitative trading methodologies. The book is part of the Butterworth-Heinemann Finance series, which targets professionals including brokers, traders, actuaries, consultants, asset managers, fund managers, regulators, and central bankers.
The editorial team brings both academic rigor and practical relevance. Satchell, Reader in Financial Econometrics at Trinity College Cambridge and Visiting Professor at multiple institutions, serves as series editor for the broader Quantitative Finance series, which also includes titles on return distributions, derivative instruments, downside risk management, financial market economics, tactical asset allocation, performance measurement, real options, and volatility forecasting.
The book's contributions span the intersection of financial theory and active trading practice. Topics include the statistical foundations of trading rule evaluation, including the challenge of data snooping and the proper testing of trading system performance. Advanced methods for forecasting volatility -- critical for options pricing, risk management, and volatility-based trading strategies -- receive thorough treatment.
Performance measurement chapters address the attribution and evaluation of trading returns, including risk-adjusted measures appropriate for different strategy types. The tactical asset allocation section covers quantitative methods for shifting portfolio allocations across asset classes based on expected return forecasts, connecting macroeconomic analysis with implementable trading rules.
The second edition incorporates developments in derivatives trading, risk management methodologies, and quantitative techniques that emerged between the 1998 first edition and the 2002 update. The book serves the Master's in Finance and MBA market while remaining directly applicable to professional trading and risk management environments.
