skip to content
Quantitative trading : how to build your own algorithmic trading business Preview this item
ClosePreview this item
Checking...

Quantitative trading : how to build your own algorithmic trading business

Author: Ernest P Chan
Publisher: Hoboken, N.J. : John Wiley & Sons, ©2009.
Series: Wiley trading series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
"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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Chan, Ernest P., 1966-
Quantitative trading.
Hoboken, N.J. : John Wiley & Sons, ©2009
(DLC) 2008020125
(OCoLC)227000240
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Ernest P Chan
ISBN: 9781119203377 1119203376 9780470411148 0470411147 9780470411155 0470411155
OCLC Number: 310225101
Description: 1 online resource (xvii, 181 pages) : illustrations.
Contents: 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 Un-necessity of Marketing. The Way Forward. Chapter 2. Fishing for Ideas. Where can we find good strategies?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. Out-of-sample testing. Sensitivity Analysis. 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 Semi-automated 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 Kelly Formula when Returns 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.A Quick Survey of MATLAB. Bibliography. About the Author. Index.
Series Title: Wiley trading series.
Responsibility: Ernest P. Chan.

Abstract:

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  Read more...

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/310225101> # Quantitative trading : how to build your own algorithmic trading business
    a schema:CreativeWork, schema:Book, schema:MediaObject ;
    library:oclcnum "310225101" ;
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/nju> ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/803321465#Place/hoboken_n_j> ; # Hoboken, N.J.
    rdfs:comment "Warning: This malformed URI has been treated as a string - 'http://images.contentreserve.com/ImageType-100/0128-1/{88CF3F32-D39D-497D-8E56-19B4340D23C7}Img100.jpg'" ;
    schema:about <http://dewey.info/class/332.64/e22/> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/803321465#Topic/anlageberatung> ; # Anlageberatung
    schema:about <http://experiment.worldcat.org/entity/work/data/803321465#Topic/finanzmathematik> ; # Finanzmathematik
    schema:about <http://experiment.worldcat.org/entity/work/data/803321465#Topic/commerce> ; # Commerce
    schema:about <http://experiment.worldcat.org/entity/work/data/803321465#Topic/borsenmakler> ; # Börsenmakler
    schema:about <http://experiment.worldcat.org/entity/work/data/803321465#Topic/stockbrokers> ; # Stockbrokers
    schema:about <http://experiment.worldcat.org/entity/work/data/803321465#Topic/stocks> ; # Stocks
    schema:about <http://experiment.worldcat.org/entity/work/data/803321465#Topic/mathematisches_modell> ; # Mathematisches Modell
    schema:about <http://experiment.worldcat.org/entity/work/data/803321465#Topic/borse> ; # Börse
    schema:about <http://experiment.worldcat.org/entity/work/data/803321465#Topic/investment_analysis> ; # Investment analysis
    schema:about <http://experiment.worldcat.org/entity/work/data/803321465#Topic/business_&_economics_investments_&_securities_general> ; # BUSINESS & ECONOMICS--Investments & Securities--General
    schema:bookFormat schema:EBook ;
    schema:copyrightYear "2009" ;
    schema:creator <http://experiment.worldcat.org/entity/work/data/803321465#Person/chan_ernest_p_1966> ; # Ernest P. Chan
    schema:datePublished "2009" ;
    schema:description "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 Un-necessity of Marketing. The Way Forward. Chapter 2. Fishing for Ideas. Where can we find good strategies?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. Out-of-sample testing. Sensitivity Analysis. 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 Semi-automated 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 Kelly Formula when Returns 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.A Quick Survey of MATLAB. Bibliography. About the Author. Index."@en ;
    schema:description ""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"--Resource description page."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/803321465> ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/803321465#Series/wiley_trading_series> ; # Wiley trading series.
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/803321465#Series/the_wiley_trading_series> ; # The Wiley trading series
    schema:isSimilarTo <http://www.worldcat.org/oclc/227000240> ;
    schema:name "Quantitative trading : how to build your own algorithmic trading business"@en ;
    schema:productID "310225101" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/310225101#PublicationEvent/hoboken_n_j_john_wiley_&_sons_2009> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/803321465#Agent/john_wiley_&_sons> ; # John Wiley & Sons
    schema:url <https://www.overdrive.com/search?q=88CF3F32-D39D-497D-8E56-19B4340D23C7> ;
    schema:url <http://www.dawsonera.com/depp/reader/protected/external/AbstractView/S9780470411148> ;
    schema:url <http://dx.doi.org/10.1002/9781119203377> ;
    schema:url <http://proquest.safaribooksonline.com/640> ;
    schema:url <http://www.myilibrary.com?id=193871> ;
    schema:url <http://excerpts.cdn.overdrive.com/FormatType-410/0128-1/88C/F3F/32/QuantitativeTradingTradingSeriesBook49780470466261.epub> ;
    schema:url <http://site.ebrary.com/id/10346299> ;
    schema:url "http://images.contentreserve.com/ImageType-100/0128-1/{88CF3F32-D39D-497D-8E56-19B4340D23C7}Img100.jpg" ;
    schema:url <http://public.eblib.com/choice/publicfullrecord.aspx?p=380426> ;
    schema:url <http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=258580> ;
    schema:url <https://samples.overdrive.com/?crid=88CF3F32-D39D-497D-8E56-19B4340D23C7&.epub-sample.overdrive.com> ;
    schema:url <http://www.myilibrary.com?id=193871&ref=toc> ;
    schema:url <http://proquest.safaribooksonline.com/?fpi=9780470284889> ;
    schema:url <http://onlinelibrary.wiley.com/book/10.1002/9781119203377> ;
    schema:workExample <http://worldcat.org/isbn/9781119203377> ;
    schema:workExample <http://worldcat.org/isbn/9780470411155> ;
    schema:workExample <http://worldcat.org/isbn/9780470411148> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/310225101> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/803321465#Agent/john_wiley_&_sons> # John Wiley & Sons
    a bgn:Agent ;
    schema:name "John Wiley & Sons" ;
    .

<http://experiment.worldcat.org/entity/work/data/803321465#Person/chan_ernest_p_1966> # Ernest P. Chan
    a schema:Person ;
    schema:birthDate "1966" ;
    schema:familyName "Chan" ;
    schema:givenName "Ernest P." ;
    schema:name "Ernest P. Chan" ;
    .

<http://experiment.worldcat.org/entity/work/data/803321465#Place/hoboken_n_j> # Hoboken, N.J.
    a schema:Place ;
    schema:name "Hoboken, N.J." ;
    .

<http://experiment.worldcat.org/entity/work/data/803321465#Series/the_wiley_trading_series> # The Wiley trading series
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/310225101> ; # Quantitative trading : how to build your own algorithmic trading business
    schema:name "The Wiley trading series" ;
    .

<http://experiment.worldcat.org/entity/work/data/803321465#Series/wiley_trading_series> # Wiley trading series.
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/310225101> ; # Quantitative trading : how to build your own algorithmic trading business
    schema:name "Wiley trading series." ;
    .

<http://experiment.worldcat.org/entity/work/data/803321465#Topic/business_&_economics_investments_&_securities_general> # BUSINESS & ECONOMICS--Investments & Securities--General
    a schema:Intangible ;
    schema:name "BUSINESS & ECONOMICS--Investments & Securities--General"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/803321465#Topic/investment_analysis> # Investment analysis
    a schema:Intangible ;
    schema:name "Investment analysis"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/803321465#Topic/mathematisches_modell> # Mathematisches Modell
    a schema:Intangible ;
    schema:name "Mathematisches Modell"@en ;
    .

<http://onlinelibrary.wiley.com/book/10.1002/9781119203377>
    rdfs:comment "URL des Erstveröffentlichers" ;
    .

<http://worldcat.org/isbn/9780470411148>
    a schema:ProductModel ;
    schema:isbn "0470411147" ;
    schema:isbn "9780470411148" ;
    .

<http://worldcat.org/isbn/9780470411155>
    a schema:ProductModel ;
    schema:isbn "0470411155" ;
    schema:isbn "9780470411155" ;
    .

<http://worldcat.org/isbn/9781119203377>
    a schema:ProductModel ;
    schema:isbn "1119203376" ;
    schema:isbn "9781119203377" ;
    .

<http://www.worldcat.org/oclc/227000240>
    a schema:CreativeWork ;
    rdfs:label "Quantitative trading." ;
    schema:description "Print version:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/310225101> ; # Quantitative trading : how to build your own algorithmic trading business
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.