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Quantitative trading : how to build yourown algorithmic trading business / Ernest P. Chan.
- Format:
- Book
- Author/Creator:
- Chan, Ernest P., author.
- Series:
- Wiley Trading
- Language:
- English
- Subjects (All):
- Investment analysis.
- Stockbrokers.
- Stocks.
- Physical Description:
- 1 online resource (256 pages)
- Edition:
- Second edition.
- Place of Publication:
- Hoboken, New Jersey : John Wiley & Sons, Inc., [2021]
- Summary:
- Master the lucrative discipline of quantitative trading with this insightful handbook from a master in the field In the newly revised Second Edition of Quantitative Trading: How to Build Your Own Algorithmic Trading Business, quant trading expert Dr. Ernest P. Chan shows you how to apply both time-tested and novel quantitative trading strategies to develop or improve your own trading firm. You'll discover new case studies and updated information on the application of cutting-edge machine learning investment techniques, as well as: * Updated back tests on a variety of trading strategies, with included Python and R code examples * A new technique on optimizing parameters with changing market regimes using machine learning. * A guide to selecting the best traders and advisors to manage your money Perfect for independent retail traders seeking to start their own quantitative trading business, or investors looking to invest in such traders, this new edition of Quantitative Trading will also earn a place in the libraries of individual investors interested in exploring a career at a major financial institution.
- Contents:
- Cover
- Title Page
- Copyright Page
- Contents
- Preface to the 2nd Edition
- 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
- References
- Chapter 3 Backtesting
- Common Backtesting Platforms
- Excel
- MATLAB
- Python
- R
- QuantConnect
- Blueshift
- 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
- Transaction Costs
- Strategy Refinement
- Chapter 4 Setting Up Your Business
- Business Structure: Retail or Proprietary?
- Choosing a Brokerage or Proprietary Trading Firm
- Physical Infrastructure
- Chapter 5 ExecutionSystems
- 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?
- Chapter 6 Money and Risk Management
- Optimal Capital Allocation and Leverage
- Risk Management
- Model Risk
- Software Risk
- Natural Disaster Risk
- Psychological Preparedness
- 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 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?
- Chapter 8 Conclusion: Can Independent Traders Succeed?
- Next Steps
- A Quick Surveyof MATLAB
- Bibliography
- About the Author
- Index
- EULA.
- Notes:
- Description based on print version record.
- ISBN:
- 9781119800088
- 1119800080
- 9781119800071
- 1119800072
- 9781119800064
- 1119800064
- OCLC:
- 1259592331
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