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Algorithmic Trading: Winning Strategies and Their Rationale (Wiley Trading) Hardcover – 16 Jul 2013


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  • Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading)
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Product details

  • Hardcover: 224 pages
  • Publisher: John Wiley & Sons (16 July 2013)
  • Language: English
  • ISBN-10: 9781118460146
  • ISBN-13: 978-1118460146
  • ASIN: 1118460146
  • Product Dimensions: 15.2 x 2 x 23.1 cm
  • Average Customer Review: Be the first to review this item
  • Amazon Bestsellers Rank: 115,568 in Books (See Top 100 in Books)
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Product description

From the Inside Flap

In his well-received first book Quantitative Trading, Dr. ErnestChan addressed the essential techniques an algorithmic trader needsto succeed at this demanding endeavor. While some useful examplestrategies were presented throughout, they were not the main focusof the book.

With this in mind, Dr. Chan has created a practical guide toalgorithmic trading strategies that can be readily implemented byboth retail and institutional traders alike. More than an academictreatise on financial theory, Algorithmic Trading is an accessibleresource that blends some of the most useful financial researchdone in the last few decades with valuable insights Dr. Chan hasgained from actually exploiting some of those theories in livetrading.

Engaging and informative, Algorithmic Trading skillfully coversa wide array of strategies. Broadly divided into the mean-revertingand momentum camps, it lays out standard techniques for tradingeach category of strategies and, equally important, the fundamentalreasons why a strategy should work. The emphasis throughout is onsimple and linear strategies, as an antidote to the over-fittingand data-snooping biases that often plague complex strategies.Along the way, it provides comprehensive coverage of:

  • Choosing the right automated execution platform as well as abacktesting platform that will allow you to reduce or eliminatecommon pitfalls associated with algorithmic trading strategies
  • Multiple statistical techniques for detecting "time series"mean reversion or stationarity, and for detecting cointegration ofa portfolio of instruments
  • Simple techniques for trading mean-revertingportfolios--linear, Bollinger band, and Kalman filter--andwhether using raw prices, log prices, or ratios make the most senseas inputs to these tests and strategies
  • Mean-reverting strategies for stocks, ETFs, currencies, andfutures calendar and intermarket spreads
  • The four main drivers of momentum in stocks and futures, andstrategies that can extract time series and cross sectionalmomentum
  • Newer momentum strategies based on news events and sentiment, leveraged ETFs, order flow, and high-frequency trading
  • Issues involving risk and money management based on the Kellyformula, but tempered with the author's practical experience inrisk management involving black swans, Constant ProportionPortfolio Insurance, and stop losses

Mathematics and software are the twin languages of algorithmictrading. This book stays true to that view by using a level ofmathematics that allows for a more precise discussion of theconcepts involved in financial markets. And it includesillustrative examples that are built around MATLAB(c) codes, which are available for download.

While Algorithmic Trading contains an abundance of strategiesthat will be attractive to both independent and institutionaltraders, it is not a step-by-step guide to implementing them. Itoffers a realistic assessment of common algorithmic tradingtechniques and can help serious traders further refine their skillsin this field.

About the Author

ERNEST P. CHAN is the Managing Member of QTS Capital Management, LLC. He has worked for various investment banks (Morgan Stanley, Credit Suisse, Maple) and hedge funds (Mapleridge, Millennium Partners, MANE) since 1997. Chan received his PhD in physics from Cornell University and was a member of IBM's Human Language Technologies group before joining the financial industry. He was a cofounder and principal of EXP Capital Management, LLC, a Chicago-based investment firm. Chan is also the author of Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley) and a popular financial blogger at http://epchan.blogspot.com. Find out more about him at www.epchan.com.


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Amazon.com: 4.0 out of 5 stars 36 reviews
ETO Trader
4.0 out of 5 starsA good primer for the quant newbie
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4.0 out of 5 starsAn alternate title: How to Create Winning Strategies and Their Rationale
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5.0 out of 5 starsAmazing book
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5.0 out of 5 starsGood book!!!
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