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Quantitative Trading: How to Build Your Own Algorithmic Trading Business
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'r...more
Hardcover, 181 pages
Published
November 17th 2008
by John Wiley & Sons
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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
Easy to read, not overly pedantic, contains some useful insights. Not too useful for those already in the industry, but good as an introduction for those who would like to enter or start a small business of their own.
Enjoyable, but was expecting a lot 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.
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