书籍 Algorithmic Trading的封面

Algorithmic Trading

Ernie Chan

出版社

Wiley

出版时间

2013-05-27

ISBN

9781118460146

评分

★★★★★

标签

金融

书籍介绍

Praise for Algorithmic Trading: "Algorithmic Trading is an insightful book on quantitative trading written by a seasoned practitioner. What sets this book apart from many others in the space is the emphasis on real examples as opposed to just theory. Concepts are not only described, they are brought to life with actual trading strategies, which give the reader insight into how and why each strategy was developed, how it was implemented, and even how it was coded. This book is a valuable resource for anyone looking to create their own systematic trading strategies and those involved in manager selection, where the knowledge contained in this book will lead to a more informed and nuanced conversation with managers." (Daren Smith, CFA, CAIA, FSA, Managing Director, Manager Selection & Portfolio Construction, University of Toronto Asset Management). "Using an excellent selection of mean reversion and momentum strategies, Ernie explains the rationale behind each one, shows how to test it, how to improve it, and discusses implementation issues. His book is a careful, detailed exposition of the scientific method applied to strategy development. For serious retail traders, I know of no other book that provides this range of examples and level of detail. His discussions of how regime changes affect strategies, and of risk management, are invaluable bonuses." (Roger Hunter, Mathematician and Algorithmic Trader).

用户评论
非常全面。
ernie chan的书都不错,对于cointegration的介绍带我进入pair trading的世界,不过我觉得这个玩意不赚钱。
还不错啊。写的挺认真的。不能指望读书就能找到秘籍。
basically useless but could be referenced
主要讲了价格延续和反转的几个简单策略,风险管理和凯利公式结合得挺不错,2013年出版的内容算比较新
着重读了pair trading相关的部分
To the point, informative, illustrative and easy to read.
1. mean reversion & momentum 2. mean reversion: choose pairs => calculate beta and test cointegration => what mean to use ? : moving average & Kalman filter => choose strategy
A very nice intro to quant trading. Some strategies work nicely with small modifications.