Quantitative Trading. Ernest P. Chan

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      1  Cover

      2  Title Page

      3  Copyright

      4  Dedication

      5  Preface to the 2^nd Edition REFERENCES

      6  Preface WHO IS THIS BOOK FOR? WHAT KIND OF BACKGROUND DO YOU NEED? WHAT WILL YOU FIND IN THIS BOOK? REFERENCES

      7  Acknowledgments

      8  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

      9  CHAPTER 2: Fishing for Ideas HOW TO IDENTIFY A STRATEGY THAT SUITS YOU A TASTE FOR PLAUSIBLE STRATEGIES AND THEIR PITFALLS SUMMARY REFERENCES

      10  CHAPTER 3: Backtesting COMMON BACKTESTING PLATFORMS FINDING AND USING HISTORICAL DATABASES PERFORMANCE MEASUREMENT COMMON BACKTESTING PITFALLS TO AVOID TRANSACTION COSTS STRATEGY REFINEMENT SUMMARY REFERENCES NOTE

      11  CHAPTER 4: Setting Up Your Business BUSINESS STRUCTURE: RETAIL OR PROPRIETARY? CHOOSING A BROKERAGE OR PROPRIETARY TRADING FIRM PHYSICAL INFRASTRUCTURE SUMMARY REFERENCES

      12  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

      13  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 REFERENCES NOTES

      14  CHAPTER 7: Special Topics in Quantitative Trading MEAN-REVERTING VERSUS MOMENTUM STRATEGIES REGIME CHANGE AND CONDITIONAL PARAMETER OPTIMIZATION 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 REFERENCES

      15  CHAPTER 8: Conclusion NEXT STEPS REFERENCES

      16  APPENDIX: A Quick Survey of MATLAB

      17  Bibliography СКАЧАТЬ