Quantitative Trading: How To Build Your Own Algorithmic Trading Business Ernie Chan（厄尼·陈）著
+ U1 V% K0 C1 A2 m. I定量贸易：如何建立自己的算法交易业务 F0 H, } f- u! b3 R. u! `
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8 R! V- u( R2 `: C2 |' G A step-by-step guide to algorithmic trading, one of the hottest topics on Wall Street, that teaches traders how to build their own algorithmic-based prop trading desks at home.
0 F. J R$ R8 y7 z/ L 内容简介$ i: n4 {: ^0 F) E& [" R
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.5 ~8 @; ?4 p! d
作者简介
( N- w$ r: y' U" l, ` Ernest P. Chan, PhD, is a quantitative trader and consultant who advises clients on how to implement automated statistical trading strategies. He has worked as a quantitative researcher and trader in various investment banks including Morgan Stanley and Credit Suisse, as well as hedge funds such as Mapleridge Capital, Millennium Partners, and MANE Fund Management. Dr. Chan earned a PhD in physics from Cornell University.
& W y4 b/ E5 Q( b 目录! e+ q! t. e7 y: ~; n; X3 P- H
Title Page; O% q# N+ P6 j6 ?- V
Copyright Page3 }; @0 a1 N" o- a# G( _
Dedication3 e1 e2 M, d+ X* G* v) R# n
Preface
" M3 Y" T7 m0 u5 ^ U3 ` WHO IS THIS BOOK FOR?) @& F" j* O# g; J: X1 \
WHAT KIND OF BACKGROUND DO YOU NEED?
6 L! ]" z% o# D# I8 q& z; B WHAT WILL YOU FIND IN THIS BOOK?
, F8 X8 v3 r, a6 X, C" M/ _, z Acknowledgements
) U: f5 A) n' g! Z# P2 | CHAPTER 1 - The Whats, Whos, and Whys of Quantitative TradingWHO CAN BECOME A QUANTITATIVE TRADER?# k% x/ O8 c4 m3 @
THE BUSINESS CASE FOR QUANTITATIVE TRADINGTHE WAY FORWARD. X; r1 c+ k- W/ R; P% H, ]5 J
CHAPTER 2 - Fishing for Ideas
8 ]$ F1 H, o7 ^' h6 {$ Q HOW TO IDENTIFY A STRATEGY THAT SUITS YOUA TASTE FOR PLAUSIBLE STRATEGIES AND THEIR PITFALLSSUMMARY3 }& C1 Q2 d P2 l% z6 m
CHAPTER 3 - Backtesting
8 w5 N! z) p P# W' J COMMON BACKTESTING PLATFORMS
+ b- X) W# `- [8 ?- X FINDING AND USING HISTORICAL DATABASES
5 x5 a) H9 f- P: f1 P4 o PERFORMANCE MEASUREMENT
" Q, S6 }3 ~9 V8 b O) p COMMON BACKTESTING PITFALLS TO AVOID5 I( M1 ~: V# ~$ m3 A9 }6 L# B
TRANSACTION COSTS
7 Y. [. y$ m! Z! J/ m% ]; ~! V- q* v STRATEGY REFINEMENT
: d* \6 ~! ]* s$ ], u; Q( h+ r& I8 I SUMMARY! j7 K. N7 a- \/ [! t; B
CHAPTER 4 - Setting Up Your Business
% J& i0 n: R5 v" c9 n5 F# Z BUSINESS STRUCTURE: RETAIL OR PROPRIETARY?
( Q- G" V4 r- j5 p& I! d5 _, y( [ CHOOSING A BROKERAGE OR PROPRIETARY TRADING FIRMPHYSICAL INFRASTRUCTURE
8 d5 S! V& I- y5 z SUMMARY+ a' [0 }. I$ c: h/ Q% y' }
CHAPTER 5 - Execution Systems
% k( g* w" a2 s WHAT AN AUTOMATED TRADING SYSTEM CAN DO FOR YOUMINIMIZING TRANSACTION COSTS' i1 w. @* k& E3 Z! L+ Q
TESTING YOUR SYSTEM BY PAPER TRADING
6 p* e$ i6 a/ [0 o) s" Z5 j WHY DOES ACTUAL PERFORMANCE DIVERGE FROM EXPECTATIONS?+ K+ c. T& I* d0 o; D. e% w
SUMMARY
) l1 w! M& x# L& S3 t CHAPTER 6 - Money and Risk Management
( I& d: w7 C. l" Y OPTIMAL CAPITAL ALLOCATION AND LEVERAGE
- L# {% n- ]$ F* S RISK MANAGEMENT) p& y8 M7 \$ _$ R S9 h
PSYCHOLOGICAL PREPAREDNESS( z' B; W7 ?6 Z, ]3 W* f6 q+ g
SUMMARY
' V8 P3 g) {$ i0 H8 z APPENDIX: A SIMPLE DERIVATION OF THE KELLY FORMULA WHEN RETURN DISTRIBUTION IS GAUSSIANCHAPTER 7 - Special Topics in Quantitative TradingMEAN-REVERTING VERSUS MOMENTUM STRATEGIESREGIME SWITCHING2 L7 L0 Y8 W5 g
STATIONARITY AND COINTEGRATION
) h4 k3 l0 p; m. M; m FACTOR MODELS
- P/ C7 G* @4 i" w- ? WHAT IS YOUR EXIT STRATEGY?
6 ]" L. n( p1 b/ n) U SEASONAL TRADING STRATEGIES$ v7 M) f! C" e7 |( s9 N
HIGH-FREQUENCY TRADING STRATEGIES
, [7 K9 Z7 Y/ v+ O, G2 ^ IS IT BETTER TO HAVE A HIGH-LEVERAGE VERSUS A HIGH-BETA PORTFOLIO?% e! c. f( R- F2 G2 E
SUMMARY
" T0 l3 d" s V CHAPTER 8 - Conclusion
! p# v7 O1 q& A- j4 U) w: Y u NEXT STEPS* e* s5 a% e$ p3 T* e
APPENDIX - A Quick Survey of MATLAB
4 E- a7 {7 s) u/ l2 r# r% q8 G Bibliography6 C7 _* z& T, @: v; F- F7 j8 K; E) m
About the Author
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