{"product_id":"quantitative-trading-isbn-9781119800064","title":"Quantitative Trading","description":"\u003cp\u003e\u003cb\u003eMaster the lucrative discipline of quantitative trading with this insightful handbook from a master in the field\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIn the newly revised Second Edition of \u003ci\u003eQuantitative Trading: How to Build Your Own Algorithmic Trading Business\u003c\/i\u003e, 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.\u003c\/p\u003e \u003cp\u003eYou'll discover new case studies and updated information on the application of cutting-edge machine learning investment techniques, as well as:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eUpdated back tests on a variety of trading strategies, with included Python and R code examples\u003c\/li\u003e \u003cli\u003eA new technique on optimizing parameters with changing market regimes using machine learning.\u003c\/li\u003e \u003cli\u003eA guide to selecting the best traders and advisors to manage your money\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003ePerfect for independent retail traders seeking to start their own quantitative trading business, or investors looking to invest in such traders, this new edition of \u003ci\u003eQuantitative Trading\u003c\/i\u003e will also earn a place in the libraries of individual investors interested in exploring a career at a major financial institution.\u003c\/p\u003e \u003cp\u003ePreface to the 2nd Edition xi\u003c\/p\u003e \u003cp\u003ePreface xv\u003c\/p\u003e \u003cp\u003eAcknowledgments xxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1: The Whats, Whos, and Whys of Quantitative Trading 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWho Can Become a Quantitative Trader? 2\u003c\/p\u003e \u003cp\u003eThe Business Case for Quantitative Trading 4\u003c\/p\u003e \u003cp\u003eScalability 5\u003c\/p\u003e \u003cp\u003eDemand on Time 5\u003c\/p\u003e \u003cp\u003eThe Nonnecessity of Marketing 7\u003c\/p\u003e \u003cp\u003eThe Way Forward 8\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2: Fishing for Ideas 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHow to Identify a Strategy that Suits You 14\u003c\/p\u003e \u003cp\u003eYour Working Hours 14\u003c\/p\u003e \u003cp\u003eYour Programming Skills 15\u003c\/p\u003e \u003cp\u003eYour Trading Capital 15\u003c\/p\u003e \u003cp\u003eYour Goal 19\u003c\/p\u003e \u003cp\u003eA Taste for Plausible Strategies and Their Pitfalls 20\u003c\/p\u003e \u003cp\u003eHow Does It Compare with a Benchmark, and How Consistent Are Its Returns? 20\u003c\/p\u003e \u003cp\u003eHow Deep and Long Is the Drawdown? 23\u003c\/p\u003e \u003cp\u003eHow Will Transaction Costs Affect the Strategy? 24\u003c\/p\u003e \u003cp\u003eDoes the Data Suffer from Survivorship Bias? 26\u003c\/p\u003e \u003cp\u003eHow Did the Performance of the Strategy Change over the Years? 27\u003c\/p\u003e \u003cp\u003eDoes the Strategy Suffer from Data-Snooping Bias? 28\u003c\/p\u003e \u003cp\u003eDoes the Strategy “Fly under the Radar” of Institutional Money Managers? 30\u003c\/p\u003e \u003cp\u003eSummary 30\u003c\/p\u003e \u003cp\u003eReferences 31\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3: Backtesting 33\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCommon Backtesting Platforms 34\u003c\/p\u003e \u003cp\u003eExcel 34\u003c\/p\u003e \u003cp\u003eMATLAB 34\u003c\/p\u003e \u003cp\u003ePython 36\u003c\/p\u003e \u003cp\u003eR 38\u003c\/p\u003e \u003cp\u003eQuantConnect 40\u003c\/p\u003e \u003cp\u003eBlueshift 40\u003c\/p\u003e \u003cp\u003eFinding and Using Historical Databases 40\u003c\/p\u003e \u003cp\u003eAre the Data Split and Dividend Adjusted? 41\u003c\/p\u003e \u003cp\u003eAre the Data Survivorship-Bias Free? 44\u003c\/p\u003e \u003cp\u003eDoes Your Strategy Use High and Low Data? 46\u003c\/p\u003e \u003cp\u003ePerformance Measurement 47\u003c\/p\u003e \u003cp\u003eCommon Backtesting Pitfalls to Avoid 57\u003c\/p\u003e \u003cp\u003eLook-Ahead Bias 58\u003c\/p\u003e \u003cp\u003eData-Snooping Bias 59\u003c\/p\u003e \u003cp\u003eTransaction Costs 72\u003c\/p\u003e \u003cp\u003eStrategy Refinement 77\u003c\/p\u003e \u003cp\u003eSummary 78\u003c\/p\u003e \u003cp\u003eReferences 79\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4: Setting Up Your Business 81\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBusiness Structure: Retail or Proprietary? 81\u003c\/p\u003e \u003cp\u003eChoosing a Brokerage or Proprietary Trading Firm 85\u003c\/p\u003e \u003cp\u003ePhysical Infrastructure 87\u003c\/p\u003e \u003cp\u003eSummary 89\u003c\/p\u003e \u003cp\u003eReferences 91\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5: Execution Systems 93\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat an Automated Trading System Can Do for You 93\u003c\/p\u003e \u003cp\u003eBuilding a Semiautomated Trading System 95\u003c\/p\u003e \u003cp\u003eBuilding a Fully Automated Trading System 98\u003c\/p\u003e \u003cp\u003eMinimizing Transaction Costs 101\u003c\/p\u003e \u003cp\u003eTesting Your System by Paper Trading 103\u003c\/p\u003e \u003cp\u003eWhy Does Actual Performance Diverge from Expectations? 104\u003c\/p\u003e \u003cp\u003eSummary 107\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6: Money and Risk Management 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOptimal Capital Allocation and Leverage 109\u003c\/p\u003e \u003cp\u003eRisk Management 120\u003c\/p\u003e \u003cp\u003eModel Risk 124\u003c\/p\u003e \u003cp\u003eSoftware Risk 125\u003c\/p\u003e \u003cp\u003eNatural Disaster Risk 125\u003c\/p\u003e \u003cp\u003ePsychological Preparedness 125\u003c\/p\u003e \u003cp\u003eSummary 130\u003c\/p\u003e \u003cp\u003eAppendix: A Simple Derivation of the Kelly Formula when Return Distribution Is Gaussian 131\u003c\/p\u003e \u003cp\u003eReferences 132\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7: Special Topics in Quantitative Trading 133\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMean-Reverting versus Momentum Strategies 134\u003c\/p\u003e \u003cp\u003eRegime Change and Conditional Parameter Optimization 137\u003c\/p\u003e \u003cp\u003eStationarity and Cointegration 147\u003c\/p\u003e \u003cp\u003eFactor Models 160\u003c\/p\u003e \u003cp\u003eWhat Is Your Exit Strategy? 169\u003c\/p\u003e \u003cp\u003eSeasonal Trading Strategies 174\u003c\/p\u003e \u003cp\u003eHigh-Frequency Trading Strategies 186\u003c\/p\u003e \u003cp\u003eIs it Better to Have a High-Leverage versus a High-Beta Portfolio? 188\u003c\/p\u003e \u003cp\u003eSummary 190\u003c\/p\u003e \u003cp\u003eReferences 192\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8: Conclusion 193\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eNext Steps 197\u003c\/p\u003e \u003cp\u003eReferences 198\u003c\/p\u003e \u003cp\u003eAppendix: A Quick Survey of MATLAB 199\u003c\/p\u003e \u003cp\u003eBibliography 205\u003c\/p\u003e \u003cp\u003eAbout the Author 209\u003c\/p\u003e \u003cp\u003eIndex 211\u003c\/p\u003e \u003cp\u003e\u003cb\u003eERNEST P. CHAN, PhD,\u003c\/b\u003e is an expert in the application of statistical models and software for trading currencies, futures, and stocks. He holds a doctorate in theoretical physics from Cornell University and is Managing Member of investment management firm QTS Capital Management and founder of financial machine learning firm Predictnow.ai.\u003c\/p\u003e \u003cp\u003e Algorithmic trading, also known as statistical or quantitative trading, is widely used by pension funds and other institutional investors to maximize returns and minimize risks. But it has traditionally been out of reach for independent, do-it-yourself investors. \u003c\/p\u003e\u003cp\u003eIn the newly revised \u003ci\u003eSecond Edition\u003c\/i\u003e of \u003ci\u003eQuantitative Trading: How to Build Your Own Algorithmic Trading Business\u003c\/i\u003e, statistical trading expert Dr. Ernest P. Chan delivers a step-by-step guide to getting started with quantitative trading. Ideal for independent traders who hope to challenge powerful industry professionals at their own game, or a person who aspires to work as a quantitative trader at a major financial institution, the book walks you through the ins and outs of statistical trading. \u003c\/p\u003e\u003cp\u003e The author offers an interactive guide showing readers how to develop their own spreadsheet tools in Excel, Matlab, Python, R, and tutorials on how to develop their own homegrown proprietary trading operations. He also provides downloadable spreadsheets that supplement the material contained in the book. \u003c\/p\u003e \u003cp\u003e\u003ci\u003eQuantitative Trading\u003c\/i\u003e contains updated tests on trading strategies, adding Python and R codes, and a new parameter optimization method using machine learning. \u003c\/p\u003e\u003cp\u003e Perfect for current and aspiring quantitative investors and traders, this new edition of \u003ci\u003eQuantitative Trading\u003c\/i\u003e will also earn a place in the libraries of institutional and individual investors who seek an authoritative and practical source of information on one of the most popular trading strategies in the world today.\u003c\/p\u003e  \u003cp\u003e\u003cb\u003ePRAISE FOR\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e\u003ci\u003eQuantitative Trading\u003c\/i\u003e 2ND EDITION\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\"Ernie's timely update to his classic \u003ci\u003eQuantitative Trading\u003c\/i\u003e is extraordinary in that, despite the modernization of the content, all the fundamentals remain unchanged and have clearly stood the test of time since the first edition. If you want to be a competitive swimmer, you need to learn the fundamentals of swimming first. Trading is no different; Ernie makes the fundamentals as simple as possible, but no simpler (as Einstein would say) and strikes the perfect balance between intuition and technical depth. Those specifically interested in trading, and anyone generally interested in understanding how modern financial markets work, will benefit from reading the \u003ci\u003eSecond Edition of Quantitative Trading\u003c\/i\u003e.\" \u003cbr\u003e—\u003cb\u003eCRAIG BETTS,\u003c\/b\u003e mathematician and Founder, Solace\u003c\/p\u003e \u003cp\u003e\"As technology has evolved, so has the ease in developing trading strategies. Ernest Chan does all traders, current and prospective, a real service by succinctly outlining the tremendous benefits, but also some of the pitfalls, in utilizing many of the recently implemented quantitative trading techniques.\"\u003cbr\u003e—\u003cb\u003ePETER BORISH,\u003c\/b\u003e Chairman and CEO, Computer Trading Corporation; Founding Partner, Tudor Investment Corporation\u003c\/p\u003e \u003cp\u003e\"Out of the many books and articles on quantitative trading that I've read over the years, very few have been of much use at all. In most instances, the authors have no real knowledge of the subject matter or do have something important to say but are unwilling to do so because of fears of having trade secrets stolen. Ernie subscribes to a different credo: Share meaningful information and have meaningful interactions with the quantitative community at large. Ernie successfully distills a large amount of detailed and difficult subject matter down to a very clear and comprehensive resource for novice and pro alike.\"\u003cbr\u003e—\u003cb\u003eSTEVE HALPERN,\u003c\/b\u003e Founder, HCC Capital, LLC\u003c\/p\u003e \u003cp\u003e\"Often the hardest part of getting started is simply knowing what questions to ask. This holds especially true for fields like quantitative trading, which are shrouded in mystery and protected by impenetrable jargon. Readers of this book will not only learn the foundations of research and strategy development, but also gain pragmatic insight into the operational sides of the business. Ernie has written the ideal guide for those looking to go from zero-to-one in their quantitative trading journey.\"\u003cbr\u003e—\u003cb\u003eCOREY HOFFSTEIN,\u003c\/b\u003e Co-founder and CIO, Newfound Research\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989897265381,"sku":"NP9781119800064","price":52.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781119800064.jpg?v=1761785832","url":"https:\/\/k12savings.com\/products\/quantitative-trading-isbn-9781119800064","provider":"K12savings","version":"1.0","type":"link"}