Quantitative trading : how to build your own algorithmic trading business /: how to build your own algorithmic trading business. ([2009])

• Record Type: Book
• Further Information: Note: Ernest P. Chan.
• Authors: Chan, Ernest P, 1966-
• Contents: ""Title Page""; ""Copyright Page""; ""Dedication""; ""Preface""; ""WHO IS THIS BOOK FOR?""; ""WHAT KIND OF BACKGROUND DO YOU NEED?""; ""WHAT WILL YOU FIND IN THIS BOOK?""; ""Acknowledgements""; ""CHAPTER 1 -- The Whats, Whos, and Whys of Quantitative Trading""; ""WHO CAN BECOME A QUANTITATIVE TRADER?""; ""THE BUSINESS CASE FOR QUANTITATIVE TRADING""; ""THE WAY FORWARD""; ""CHAPTER 2 -- Fishing for Ideas""; ""HOW TO IDENTIFY A STRATEGY THAT SUITS YOU""; ""A TASTE FOR PLAUSIBLE STRATEGIES AND THEIR PITFALLS""; ""SUMMARY""; ""CHAPTER 3 -- Backtesting""; ""COMMON BACKTESTING PLATFORMS"" ""FINDING AND USING HISTORICAL DATABASES""""PERFORMANCE MEASUREMENT""; ""COMMON BACKTESTING PITFALLS TO AVOID""; ""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""; ""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""; ""NEXT STEPS""; ""APPENDIX -- A Quick Survey of MATLAB""; ""Bibliography""; ""About the Author""; ""Index""
• Publisher Details: Hoboken, N.J : Wiley
• Publication Date: 2009
• Extent: 1 online resource
• Subjects: 332.64; Business; BUSINESS & ECONOMICS -- Finance; Business; Electronic books
• Languages: English
• ISBNs: 9780470466261
• Related ISBNs: 047046626X
• Notes: Note: Includes bibliographical references and index.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.