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, President and Chief Investment Officer, 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
Customer ReviewsSee All
A great quant read!
Chan's latest book is an excellent follow-up from his prior! This book brings the reader to today's markets, and discusses why pairs are needed more than ever for successful mean-reversion trading, and how momentum strategies have been less effective since the financial crisis.
The author does not provide ready-to-run recipes (although there are examples), but instead shows how the hypotheses of return factors can lead to effective strategies, and how their simplicity can avoid many of the common pitfalls in quantitative trading.
MATLAB code is provided from his website which illustrates all examples in much detail.
For anyone interested in the next steps of quantitative finance, this book is an excellent read!