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Quantitative trading : how to build your own algorithmic trading business

Quantitative trading : how to build your own algorithmic trading business (Loan 5 times)

Material type
단행본
Personal Author
Chan, Ernest P. , 1966-.
Title Statement
Quantitative trading : how to build your own algorithmic trading business / Ernest P. Chan.
Publication, Distribution, etc
Hoboken, N.J. :   John Wiley & Sons ,   c2009.  
Physical Medium
xvii, 181 p. : ill. ; 24 cm.
Series Statement
The Wiley trading series
ISBN
9780470284889 (cloth) 0470284889 (cloth)
Bibliography, Etc. Note
Includes bibliographical references (p. 169-171) and index.
Subject Added Entry-Topical Term
Investment analysis. Stocks. Stockbrokers.
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010 ▼a 2008020125
020 ▼a 9780470284889 (cloth)
020 ▼a 0470284889 (cloth)
035 ▼a (KERIS)REF000014958332
040 ▼a DLC ▼c DLC ▼d BTCTA ▼d BAKER ▼d YDXCP ▼d OCLCG ▼d C#P ▼d BWX ▼d CDX ▼d DLC ▼d 211009
050 0 0 ▼a HG4529 ▼b .C445 2009
082 0 0 ▼a 332.64 ▼2 22
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100 1 ▼a Chan, Ernest P. , ▼d 1966-.
245 1 0 ▼a Quantitative trading : ▼b how to build your own algorithmic trading business / ▼c Ernest P. Chan.
260 ▼a Hoboken, N.J. : ▼b John Wiley & Sons , ▼c c2009.
300 ▼a xvii, 181 p. : ▼b ill. ; ▼c 24 cm.
490 1 ▼a The Wiley trading series
504 ▼a Includes bibliographical references (p. 169-171) and index.
650 0 ▼a Investment analysis.
650 0 ▼a Stocks.
650 0 ▼a Stockbrokers.
830 0 ▼a Wiley trading series.
945 ▼a KINS

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.64 C454q Accession No. 121184993 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of 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 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.

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.

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 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?

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.

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 Quick Survey of MATLAB.

Bibliography.

About the Author.

Index.


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