Friday, March 20, 2009

BOOK: Modelling Maximum Trading Profits with C++ by Valerii Salov

After I was done with Pardo's Black Bible I thought I have to test drive another implementation.
One may think it's a trading strategy know how, but it's not.
Quoting the author: "This book is about the potential profit and corresponding strategy properties, which can be computed given real prices and costs"


What I've learned from this book.


Book's Glossary.
time series -market prices come sequentially in time and are referred as time series.
tick data - the most detailed information about equity's market prices.