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Trading Systems


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Table of Contents

Part I.- 1 Processes.- 2 More About Independence.- 3 Conditional Probability in Practice.- 4 Stationary Processes.- 5 Normality.- 6 Trends.- 7 Autocorrelation.- 8 Ljung-Box.- 9 Periodogram.- Part II.- 10 Indicators.- 11 Process of the AR(p) type.- 12 Generalizations.- 13 The complete open-loop scheme.- 14 Physical realizability.- 15 The equity line.- 6 Predictions.- 17 Optimal AR(p) in practice.- 18 Maps in series.- Part III.- 19 Transfer Functions.- 20 Simple lag.- 21 Gauss Filters.- 22 Stability.- 23 Lag compensator.- 24 Lead compensator.- 25 RLC filter.- 26 Leading indicator.- 27 Regularized filter.- 28 High pass filter.- 29 Frequency transformation.- 30 Gaussianization.- Part IV.- 31 Feedback trading.- 32 Feedback systems.- Part V.- 33 State Space Approach.- 34 Sensitivity.- 35 Butterworth filter.- 36 Frequency response.- 37 Signal to noise ratio; tradability.- 38 Equity StN.- 39 Meyer’s optimum trading system.

About the Author

Renato Di Lorenzo, an electronics engineer, graduated in 1968. Between 1970 and 1974 he was employed by Fiat and Aeritalia, first as a researcher and then as a project manager. From 1974 to 1978 he worked for Mira Lanza as Director of Strategic Planning and then as CEO of a subsidiary. For about a year he was a member of the National Economic Commission of the Italian Republican Party. From 1978 to 1980 he was Director of Central Management Control in Sidalm (Motta-Alemagna) and a lecturer at the Faculty of Economics, University of Bologna. Since 1980 he has devoted himself to management and business administration consultancy, specializing in the finance area of the banks and working intensively as a trainer and coach. He has published articles in the U.S. and a successful series of manuals for the 24 ORE Group. He has also published novels of a financial background with Mondadori and other publishers and has founded and directed a school of creative writing. His work has been translated abroad.

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