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Quantitative Trading: How to Build Your Own Algorithmic Trading Business

Chan, Ernie

Verlag: Wiley, 2008
ISBN 10: 0470284889 / ISBN 13: 9780470284889
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Titel: Quantitative Trading: How to Build Your Own ...

Verlag: Wiley

Erscheinungsdatum: 2008

Einband: Hardcover

Zustand: Used

Beschreibung:

This Book is in Good Condition. Clean Copy With Light Amount of Wear. 100% Guaranteed. Summary: Preface.Acknowledgments.Chapter 1: The Whats, Whos, and Whys of Quantitative Trading.Who Can Become A Quantitative Trader?The Business Case for Quantitative Trading.Scalability.Demand on Time.The Nonnecessity of Marketing.The Way Forward.Chapter 2: Fishing for Ideas.How to Identify a Strategy That Suits You.Your Working Hours.Your Programming Skills.Your Trading Capital.Your Goal.A Taste for Plausible Strategies and Their Pitfalls.How Does It Compare with a Benchmark and How Consistent Are Its Returns?How Deep and Long is the Drawdown?How Will Transaction Costs Affect the Strategy?Does the Data Suffer from Survivorship Bias?How Did the Performance of the Strategy Change Over the Years?Does the Strategy Suffer from Data-Snooping Bias?Does the Strategy "Fly under the Radar" of Institutional Money Managers?Summary.Chapter 3: Backtesting.Common Backtesting Platforms.Excel.MATLAB.TradeStation.High-End Backtesting Platforms.Finding and Using Historical Databases.Are the Data Split- and Dividend-Adjusted?Are the Data Survivorship Bias Free?Does Your Strategy Use High and Low Data?Performance Measurement.Common Backtesting Pitfalls to Avoid.Look-Ahead Bias.Data-Snooping Bias.Sample Size.Transaction Costs.Strategy Refinement.Summary.Chapter 4: Setting up Your Business.Business Structure: Retail or Proprietary?Choosing a Brokerage or Proprietary Trading Firm.Physical Infrastructure.Summary.Chapter 5: Execution Systems.What an Automated Trading System Can Do for You.Building a Semiautomated Trading System.Building a Fully Automated Trading System.Minimizing Transaction Costs.Testing Your System by Paper Trading.Why Does Actual Performance Diverge from Expectations?Summary.Chapter 6: Money and Risk Management.Optimal Capital Allocation and Leverage.Risk Management.Psychological Preparedness.Summary.Appendix: A Simple Derivation of the Kelly Formula when Return Distribution is Gaussian.Chapter 7: Special Topics in Quantitative Trading.Mean-Reverting versus Momentum Strategies.Regime Switching.Stationarity and Cointegration.Factor Models.What Is Your Exit Strategy?Seasonal Trading Strategies.High-Frequency Trading Strategies.Is it Better to Have a High-Leverage versus a High-Beta Portfolio?Summary.Chapter 8: Conclusion: Can Independent Traders Succeed?Next Steps.Appendix: A Quick Survey of MATLAB.Bibliography.About the Author.Index. Buchnummer des Verkäufers ABE_book_usedgood_0470284889

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Inhaltsangabe: 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.

Umschlagtext:

By some estimates, quantitative (or algorithmic) trading now accounts for over one-third of trading volume in the United States. While institutional traders continue to implement this highly effective approach, many independent traders—with limited resources and less computing power—have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, author 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.

Organized around the steps you should take to start trading quantitatively, this book skillfully addresses how to:

  • Find a viable trading strategy that you're both comfortable with and confident in

  • Backtest your strategy—with MATLAB®, Excel, and other platforms—to ensure good historical performance

  • Build and implement an automated trading system to execute your strategy

  • Scale up or wind down your strategies depending on their real-world profitability

  • Manage the money and risks involved in holding positions generated by your strategy

  • Incorporate advanced concepts that most professionals use into your everyday trading activities

  • And much more

While Dr. Chan takes the time to outline the essential aspects of turning quantitative trading strategies into profits, he doesn't get into overly theoretical or sophisticated theories. Instead, he highlights the simple tools and techniques you can use to gain a much-needed edge over today's institutional traders.

And for those who want to keep up with the latest news, ideas, and trends in quantitative trading, you're welcome to visit Dr. Chan's blog, epchan.blogspot.com, as well as his premium content Web site, epchan.com/subscriptions, which you'll have free access to with purchase of this book.

As an independent trader, you're free from the con-straints found in today's institutional environment—and as long as you adhere to the discipline of quantitative trading, you can achieve significant returns. With this reliable resource as your guide, you'll quickly discover what it takes to make it in such a dynamic and demanding field.

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