Quantitative Trading: How to Build Your Own Algorithmic Trading Business

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John Wiley & Sons, Jan 12, 2009 - Business & Economics - 208 pages
2 Reviews
While institutional traders continue to implement quantitative (or algorithmic) trading, many independent traders have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, Dr. Ernest Chan, a respected independent trader and consultant, will show you how. Whether you're an independent "retail" trader looking to start your own quantitative trading business or an individual who aspires to work as a quantitative trader at a major financial institution, this practical guide contains the information you need to succeed.
 

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User Review - Flag as inappropriate

Good news! The retail investor can learn the algo tools and create meaningful systems.
Bad news! Hft has now overtaken the market so that you I'll not be able to trade.
Nevertheless, modeling is important so that you develop discipline in your market decision making.
Great book with sources to help structure you ideas.
Lou Polut
 

User Review - Flag as inappropriate

Introductory text about stat arb strategies with easy to follow examples written in Matlab. I was able to run all the examples in Octave with tiny modifications.

Contents

Title Page
Fishing for Ideas
CHAPTER 3 Backtesting
CHAPTER
CHAPTER 5ExecutionSystems
CHAPTER 6Moneyand Risk Management OPTIMAL CAPITAL ALLOCATION AND LEVERAGE RISK MANAGEMENT
CHAPTER 7Special Topicsin QuantitativeTrading MEANREVERTING VERSUS MOMENTUM STRATEGIES
HIGHFREQUENCY TRADING STRATEGIES
CHAPTER 8Conclusion NEXT STEPS
Copyright

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About the author (2009)

Ernest P. Chan, PhD, is a quantitative trader and consultant who advises clients on how to implement automated statistical trading strategies. He has worked as a quantitative researcher and trader in various investment banks including Morgan Stanley and Credit Suisse, as well as hedge funds such as Mapleridge Capital, Millennium Partners, and MANE Fund Management. Dr. Chan earned a PhD in physics from Cornell University.

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