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- ISBN: 9780750655163 | 075065516X
- Cover: Hardcover
- Copyright: 6/5/2002
The past few years have seen an extraordinary explosion in the use of quantitative systems designed to trade in the foreign exchange and futures markets. This is witnessed by exponential growth of alternative investments, futures funds and hedge funds. Curiously, research in this area has been fragmented and sporadic. The purpose of Advanced Trading Rules is to bring together leading academics and practitioners who are working on systematic trading rules. It is well known that futures fund managers, among others, tend to rely on some sort of systematic trading rules. Available statistics suggest that systematic traders outnumber their discretionary counterparts by a ratio of two to one. As Chapter 13 shows, the gap is even bigger for sectorized markets such as foreign exchange, interest rates and stock index futures.