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.

Emmanuel Acar is a Principal and Manager of Risk Management Advisory-London, at Bank of America. He previously worked at Citibank as a Vice-President in the FX Engineering Group. He was a proprietary trader for almost ten years at Dresdner Kleinwort Benson, BZW and Banque Nationale de Paris' London Branch. He has experience in quantitative strategies, as an actuary and having completed a PhD on the stochastic properties of trading rules Stephen Satchell is a Fellow of Trinity College, the Reader of Financial Econometrics at the University of Cambridge and a Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. Dr Satchell is the editor of the Journal of Asset Management. He has published papers in many journals and has a particular interest in risk