Overall, this is a great handbook to start out; however, in order to fully profit from this book, one should be familiar with some kind of programming language, in this case with MATLAB. Feb 11, Clare rated it liked it Shelves: finance , non-fiction , textbook , work-bookshelf. 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. Jul 10, Rabib rated it it was amazing Shelves: investing-trading. Quick and to the point. Excellent information to boot! Feb 13, Toan Huynh rated it really liked it.
This review has been hidden because it contains spoilers. To view it, click here. Nov 07, Jacob rated it really liked it. I found the book quite helpful in terms of how to set up the infrastructure which programs, which brokers, how to get data, 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 I found the book quite helpful in terms of how to set up the infrastructure which programs, which brokers, how to get data, 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 outsourced programmers.
Nov 15, Aashish Rathi rated it really liked it Shelves: avail-undef. A very good book for an intro to quantitative trading. Lots of exercises in matlab. Code and data is available on the author's website. Jul 10, Gaurav Chhaparwal rated it really liked it. Great book for an introduction to quantitative trading. Starting from the very basics, the author constantly keeps it real while increasing the complexity. The focus is not as much on the strategy for trading as all other aspects related to setup, back testing and pit falls to watch out for.
It might be slightly dated though from the perspective of where python and R libraries have developed far beyond the matlab based preliminary algorithms. Dec 12, Boning rated it liked it Shelves: trading.
Good introductory read into the world of quantitative trading, some existing methods and everything surrounding setting up an own trading business. Currently the book is a bit over 10 years old, which is quite a lot in this business.
The examples are nice to see, but one should double check how relevant and useful they are in the current days. All by all it was a bit too shallow for me personally. May 11, Sumit Ghosh rated it really liked it Shelves: non-fiction. Very comprehensive yet approachable. The book contains information on the practical and business part of trading as an individual, as well as the theoretical technical analysis required to do so. The author does not go into details explaining each finance terms though, so in a way it's not a friendly to a complete beginner, but the terms are nothing a quick google search won't explain.
Mar 28, Ayush rated it really liked it. A bit out of sync with modern day methods and code shared is in MATLAB however the author points out alot of pitfalls that someone new to the field can avoid. I really like chapter towards the end on "Special topics in Quantitative Finance" which I think has all the meat of the book. Overall, great read! For beginners Well organized book on retail quantitative trading business. This book covers all aspects of starting your own quant shop though only touching the basics.
Focus is more on operational side than actual strategy research. Dec 15, Tejas rated it liked it. This book gives basic information about quantitative trading. Some of the points are well explained like sharp ratio, Kelly ratio for leverage and some strategies in chapter 7.
But haven't learned new from this, as I am already an algo trader. But for the beginner this is very informative book. Feb 09, Peter rated it liked it. Intro book to quant trading. Only a few references to potential math applications; a good place to start if you know nothing about the business. May 18, Miguel Paysan rated it liked it Shelves: finance.
Nov 06, kyle madsen rated it it was amazing. Wish it included a section on handling taxes. Dec 10, Christian Jensen rated it it was amazing. Great introduction for anyone interested in quantitative trading. Jul 16, Tomas Andrade rated it it was amazing Shelves: trading , math. Great book for very beginners in both quantitative trading and trading in general.
It doesn't delve deeply into specific techniques and mathematical theory of quantitative theory, but it lays a good foundation regarding how to judge trading strategies and common pitfalls of algorithmic knowledge in general like data snooping.
For readers new to trading, the book also covers important general trading topics like risk management and psychology. Apr 27, Jacob rated it liked it Shelves: investing , nonfiction. 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.
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 This was a fairly readable book based on a guy who trades mostly automatically and makes money at it. He does a good job of covering the most common errors and biases in developing a quantitative trading system, including why those errors hurt and how to figure out when a strategy incorporates them. View 2 comments.
Jan 08, Jeff rated it liked it. While the author gives lip-service to risk management and even discusses the idea of "black swan" events, his advice isn't sufficiently different enough from the CW of finance in general to convince me that his risk management advice is worth much.
There are some good sections on avoiding various biases in data collection and there is ample discussion on avoiding overfitting. Unfortunately, the cavalier approach to risk management is a series flaw. Apr 04, Hui Fang rated it really liked it. Some good insights from an experienced quantitative trader.
Highlighted several pitfalls especially in backtesting, and how to be skeptical before deciding whether to spend efforts on a certain strategy or not. He stressed several times that simple strategies are usually the best which I agree , because fancy stuff are seldom robust.
There are codes but it would be better if they can be downloaded in a single click instead of downloading several files one by one. Nov 05, Ben Pu rated it really liked it. Easy to read, not overly pedantic, contains some useful insights.
Chapter 2: Fishing for Ideas. Your Working Hours. Your Programming Skills. Your Trading Capital. Your Goal. Save to Library Save. Create Alert Alert. Share This Paper. Background Citations. Methods Citations. Results Citations. Citation Type. Has PDF. Publication Type. More Filters. Learning the population dynamics of technical trading strategies. View 2 excerpts, cites methods. Stock selection heuristics for performing frequent intraday trading with genetic programming. Highly Influenced.
View 11 excerpts, cites methods. Algorithmic pairs trading: empirical investigation of exchange traded funds.
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