Quantitative Trading How to Build Your Own Algorithmic Trading Business 2nd Edition by Ernest Chan ISBN 9781119800064 1119800064

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Product details:
ISBN 10: 1119800064
ISBN 13: 9781119800064
Author: Ernest Chan

Quantitative Trading How to Build Your Own Algorithmic Trading Business 2nd Edition Table of contents:

CHAPTER 1: The Whats, Whos, and Whys of Quantitative Trading

WHO CAN BECOME A QUANTITATIVE TRADER?

THE BUSINESS CASE FOR QUANTITATIVE TRADING

THE WAY FORWARD

CHAPTER 2: Fishing for Ideas

HOW TO IDENTIFY A STRATEGY THAT SUITS YOU

A TASTE FOR PLAUSIBLE STRATEGIES AND THEIR PITFALLS

SUMMARY

REFERENCES

CHAPTER 3: Backtesting

COMMON BACKTESTING PLATFORMS

FINDING AND USING HISTORICAL DATABASES

PERFORMANCE MEASUREMENT

COMMON BACKTESTING PITFALLS TO AVOID

TRANSACTION COSTS

STRATEGY REFINEMENT

SUMMARY

REFERENCES

NOTE

CHAPTER 4: Setting Up Your Business

BUSINESS STRUCTURE: RETAIL OR PROPRIETARY?

CHOOSING A BROKERAGE OR PROPRIETARY TRADING FIRM

PHYSICAL INFRASTRUCTURE

SUMMARY

REFERENCES

CHAPTER 5: Execution Systems

WHAT AN AUTOMATED TRADING SYSTEM CAN DO FOR YOU

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

REFERENCES

NOTES

CHAPTER 7: Special Topics in Quantitative Trading

MEAN-REVERTING VERSUS MOMENTUM STRATEGIES

REGIME CHANGE AND CONDITIONAL PARAMETER OPTIMIZATION

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

REFERENCES

CHAPTER 8: Conclusion

NEXT STEPS

REFERENCES

APPENDIX: A Quick Survey of MATLAB

Bibliography

About the Author

Index

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Tags: Ernest Chan, Quantitative Trading, Own Algorithmic, Trading Business