Quantitative trading: how to build your own algorithmic trading business
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 inde...
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2009
|
| Series: | Wiley trading series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Summary: | 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. |
| Physical Description: | XVII, 181 S. |
| ISBN: | 9780470284889 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035464434 | ||
| 003 | DE-604 | ||
| 005 | 20090702 | ||
| 007 | t | ||
| 008 | 090504s2009 b||| 00||| eng d | ||
| 020 | |a 9780470284889 |9 978-0-470-28488-9 | ||
| 035 | |a (OCoLC)227000240 | ||
| 035 | |a (DE-599)HBZHT015796175 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-473 |a DE-703 |a DE-2070s | ||
| 050 | 0 | |a HG4529 | |
| 082 | 0 | |a 332.64 |2 22 | |
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 100 | 1 | |a Chan, Ernest P. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Quantitative trading |b how to build your own algorithmic trading business |c Ernest P. Chan |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2009 | |
| 300 | |a XVII, 181 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley trading series | |
| 520 | 3 | |a 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. | |
| 650 | 4 | |a Commerce | |
| 650 | 4 | |a Investment analysis | |
| 650 | 4 | |a Stockbrokers | |
| 650 | 4 | |a Stocks | |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4006432-3 |a Bibliografie |2 gnd-content | |
| 689 | 0 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | 1 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m Digitalisierung UB Bamberg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017384218&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-017384218 | ||
Record in the Search Index
| _version_ | 1804138920782331904 |
|---|---|
| adam_text | Contents
Preface
xl
Acknowledgments
xvii
CHAPTER
1
The What«, Who«, and Whys of Quantitative
Trading
1
Who Can Become a Quantitative Trader?
2
The Business Case for Quantitative Trading
4
Scalability
5
Demand on Time
5
The Nonnecessity of Marketing
7
The Way Forward
8
CHAPTER
2
Fishing for Ideas
9
How to Identify a Strategy That Suits You
12
Your Working Hours
12
Your Programming Skills
1 3
Your Trading Capital
1 3
Your Goal
1 6
A Taste for Plausible Strategies and Their Pitfalls
17
How Does It Compare with a Benchmark and How Consistent
Are Its Returns?
1 8
How Deep and Long Is the Drawdown?
21
How Will Transaction Costs Affect the Strategy?
22
Does the Data Suffer from Survivorship Bias?
24
How Did the Performance of the Strategy Change over the Years?
24
vii
Vill
CONTENTS
Does the Strategy Suffer from Data-Snooping Bias?
25
Does the Strategy Fly under the Radar of Institutional
Money Managers?
27
Summary
28
CHAPTER
3
Backtesting
31
Common
Backtesting
Platforms
32
Excel
32
MATLAB
32
TradeStation
35
High-End
Backtesting
Platforms
35
Finding and Using Historical Databases
36
Are the Data Split and Dividend Adjusted?
З6
Are the Data Survivorship Bias Free?
40
Does Your Strategy Use High and Low Data?
42
Performance Measurement
43
Common
Backtesting
Pitfalls to Avoid
50
Look-Ahead Bias
51
Data-Snooping Bias
52
Transaction Costs
60
Strategy Refinement
65
Summary
66
CHAPTER
4
Setting Up Your Business
69
Business Structure: Retail or Proprietary?
69
Choosing a Brokerage or Proprietary Trading Firm
71
Physical Infrastructure
75
Summary
77
CHAPTER
5
Execution Systems
79
What an Automated Trading System Can Do for You
79
Building a Semiautomated Trading System
81
Building a Fully Automated Trading System
84
Minimizing Transaction Costs
87
Contents ix
Testing
Your System by Paper Trading
89
Why Does Actual Performance Diverge from Expectations?
90
Summary
92
CHAPTER
6
Money and Risk Management
95
Optimal Capital Allocation and Leverage
95
Risk Management
103
Psychological Preparedness
108
Summary 111
Appendix: A Simple Derivation of the Kelly Formula when
Return Distribution Is Gaussian
112
CHAPTER
7
Special Topics in Quantitative Trading us
Mean-Reverting versus Momentum Strategies
116
Regime Switching
119
Stationarity and
Cointegration
126
Factor Models
133
What Is Your Exit Strategy?
140
Seasonal Trading Strategies
143
High-Frequency Trading Strategies
151
Is It Better to Have a High-Leverage versus
a High-Beta Portfolio?
1 53
Summary
154
CHAPTER
S
Conclusion: Can Independent Traders
Succeed?
157
Next Steps
161
Appendix A Quick Survey of
MATLAB
163
Bibliography
169
About the Author
173
Index
175
|
| any_adam_object | 1 |
| author | Chan, Ernest P. |
| author_facet | Chan, Ernest P. |
| author_role | aut |
| author_sort | Chan, Ernest P. |
| author_variant | e p c ep epc |
| building | Verbundindex |
| bvnumber | BV035464434 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4529 |
| callnumber-raw | HG4529 |
| callnumber-search | HG4529 |
| callnumber-sort | HG 44529 |
| callnumber-subject | HG - Finance |
| classification_rvk | QP 890 SK 980 |
| ctrlnum | (OCoLC)227000240 (DE-599)HBZHT015796175 |
| dewey-full | 332.64 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64 |
| dewey-search | 332.64 |
| dewey-sort | 3332.64 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02250nam a2200457 c 4500</leader><controlfield tag="001">BV035464434</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20090702 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">090504s2009 b||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780470284889</subfield><subfield code="9">978-0-470-28488-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)227000240</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)HBZHT015796175</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-473</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-2070s</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG4529</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.64</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 890</subfield><subfield code="0">(DE-625)141965:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Chan, Ernest P.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Quantitative trading</subfield><subfield code="b">how to build your own algorithmic trading business</subfield><subfield code="c">Ernest P. Chan</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hoboken, NJ</subfield><subfield code="b">Wiley</subfield><subfield code="c">2009</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVII, 181 S.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Wiley trading series</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="a">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.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Commerce</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Investment analysis</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stockbrokers</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stocks</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4006432-3</subfield><subfield code="a">Bibliografie</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Bamberg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017384218&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-017384218</subfield></datafield></record></collection> |
| genre | (DE-588)4006432-3 Bibliografie gnd-content |
| genre_facet | Bibliografie |
| id | DE-604.BV035464434 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T21:35:51Z |
| institution | BVB |
| isbn | 9780470284889 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017384218 |
| oclc_num | 227000240 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-703 DE-2070s |
| owner_facet | DE-473 DE-BY-UBG DE-703 DE-2070s |
| physical | XVII, 181 S. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley trading series |
| spelling | Chan, Ernest P. Verfasser aut Quantitative trading how to build your own algorithmic trading business Ernest P. Chan Hoboken, NJ Wiley 2009 XVII, 181 S. txt rdacontent n rdamedia nc rdacarrier Wiley trading series 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. Commerce Investment analysis Stockbrokers Stocks Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4006432-3 Bibliografie gnd-content Finanzmathematik (DE-588)4017195-4 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017384218&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chan, Ernest P. Quantitative trading how to build your own algorithmic trading business Commerce Investment analysis Stockbrokers Stocks Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4017195-4 (DE-588)4006432-3 |
| title | Quantitative trading how to build your own algorithmic trading business |
| title_auth | Quantitative trading how to build your own algorithmic trading business |
| title_exact_search | Quantitative trading how to build your own algorithmic trading business |
| title_full | Quantitative trading how to build your own algorithmic trading business Ernest P. Chan |
| title_fullStr | Quantitative trading how to build your own algorithmic trading business Ernest P. Chan |
| title_full_unstemmed | Quantitative trading how to build your own algorithmic trading business Ernest P. Chan |
| title_short | Quantitative trading |
| title_sort | quantitative trading how to build your own algorithmic trading business |
| title_sub | how to build your own algorithmic trading business |
| topic | Commerce Investment analysis Stockbrokers Stocks Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Commerce Investment analysis Stockbrokers Stocks Mathematisches Modell Finanzmathematik Bibliografie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017384218&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT chanernestp quantitativetradinghowtobuildyourownalgorithmictradingbusiness |