A step-by-step guide to algorithmic trading, one of the hottest topics on Wall Street, that teaches traders how to build their own algorithmic-based prop trading desks at home.
内容简介
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.
作者简介
Ernest P. Chan, PhD, is a quantitative trader and consultant who advises clients on how to implement automated statistical trading strategies. He has worked as a quantitative researcher and trader in various investment banks including Morgan Stanley and Credit Suisse, as well as hedge funds such as Mapleridge Capital, Millennium Partners, and MANE Fund Management. Dr. Chan earned a PhD in physics from Cornell University.
目录
Title Page
Copyright Page
Dedication
Preface
WHO IS THIS BOOK FOR?
WHAT KIND OF BACKGROUND DO YOU NEED?
WHAT WILL YOU FIND IN THIS BOOK?
Acknowledgements
CHAPTER 1 - The Whats, Whos, and Whys of Quantitative TradingWHO CAN BECOME A QUANTITATIVE TRADER?
THE BUSINESS CASE FOR QUANTITATIVE TRADINGTHE WAY FORWARD
CHAPTER 2 - Fishing for Ideas
HOW TO IDENTIFY A STRATEGY THAT SUITS YOUA TASTE FOR PLAUSIBLE STRATEGIES AND THEIR PITFALLSSUMMARY
CHAPTER 3 - Backtesting
COMMON BACKTESTING PLATFORMS
FINDING AND USING HISTORICAL DATABASES
PERFORMANCE MEASUREMENT
COMMON BACKTESTING PITFALLS TO AVOID
TRANSACTION COSTS
STRATEGY REFINEMENT
SUMMARY
CHAPTER 4 - Setting Up Your Business
BUSINESS STRUCTURE: RETAIL OR PROPRIETARY?
CHOOSING A BROKERAGE OR PROPRIETARY TRADING FIRMPHYSICAL INFRASTRUCTURE
SUMMARY
CHAPTER 5 - Execution Systems
WHAT AN AUTOMATED TRADING SYSTEM CAN DO FOR YOUMINIMIZING 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 GAUSSIANCHAPTER 7 - Special Topics in Quantitative TradingMEAN-REVERTING VERSUS MOMENTUM STRATEGIESREGIME 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
NEXT STEPS
APPENDIX - A Quick Survey of MATLAB
Bibliography
About the Author
Index
