17th out of 21 books — 2 voters
Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading)
by Ernie Chan
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 "reta...more
Hardcover, 208 pages
Published November 17th 2008 by "Wiley"
(first published November 13th 2008)
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(showing 1-30 of 153)
This was a fairly readable book based on a guy who trades (mostly) automatically and makes money at it. I found his ideas interesting, although his assertions up front that you don't need to know much in terms of math or statistics are undermined by the later examples, e.g. involving some matrix operations and calculations based on Gaussian distributions. This book seems like more of an add-on to getting a more foundational knowledge of quantitative trading from other sources. He does a good job...more
I found the book quite helpful in terms of how to set up the infrastructure (which programs, which brokers, how to get data, ...) for a quant trading operation. Prior to reading this, it was my impression that individuals were shut out quant trading due to data being too expensive, connections being too slow, etc. However, the financial industry turns out to meet all needs on a continuous spectrum from single entry retail to excel driven order to colocated servers running software written by out...more
I attended a two day seminar by Ernie Chan at which this book was handed out. I hoped it would be more technical, getting into the mathematics of stat arb, but it is in fact a more general introduction to running your own business that happens to be trading... He does briefly mention the Kelly criterion, which I found useful.