Quantitative Trading: How to Build Your Own Algorithmic T... and over one million other books are available for Amazon Kindle. Learn more
Qty:1
  • List Price: $60.00
  • Save: $22.05 (37%)
Only 14 left in stock (more on the way).
Ships from and sold by Amazon.com.
Gift-wrap available.
Add to Cart
FREE Shipping on orders over $35.
Condition: Used: Very Good
Comment: Used hardcover, including dust jacket, in overall very good condition with light wear. One page corner has been folded. Pages are otherwise clean and unmarked. Eligible for Prime and FREE Super Saver Shipping. Customer service and delivery tracking provided by Amazon.com.
Add to Cart
Trade in your item
Get a $13.71
Gift Card.
Have one to sell? Sell on Amazon
Flip to back Flip to front
Listen Playing... Paused   You're listening to a sample of the Audible audio edition.
Learn more
See all 2 images

Quantitative Trading: How to Build Your Own Algorithmic Trading Business Hardcover – November 17, 2008


See all 2 formats and editions Hide other formats and editions
Amazon Price New from Used from
Kindle
"Please retry"
Hardcover
"Please retry"
$37.95
$31.46 $30.05


Frequently Bought Together

Quantitative Trading: How to Build Your Own Algorithmic Trading Business + Algorithmic Trading: Winning Strategies and Their Rationale + Algorithmic Trading and DMA: An introduction to direct access trading strategies
Price for all three: $117.53

Buy the selected items together

NO_CONTENT_IN_FEATURE

Kindle Business Book Daily Deal
Today only, James McQuivey's "Digital Disruption" is on sale for only $1.99. Shop now

Product Details

  • Hardcover: 208 pages
  • Publisher: Wiley; 1 edition (November 17, 2008)
  • Language: English
  • ISBN-10: 0470284889
  • ISBN-13: 978-0470284889
  • Product Dimensions: 9 x 6.2 x 0.9 inches
  • Shipping Weight: 13.6 ounces (View shipping rates and policies)
  • Average Customer Review: 3.3 out of 5 stars  See all reviews (33 customer reviews)
  • Amazon Best Sellers Rank: #96,913 in Books (See Top 100 in Books)

Editorial Reviews

From the Inside Flap

By some estimates, quantitative (or algorithmic) trading now accounts for over one-third of trading volume in the United States. While institutional traders continue to implement this highly effective approach, many independent traders—with limited resources and less computing power—have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, author 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.

Organized around the steps you should take to start trading quantitatively, this book skillfully addresses how to:

  • Find a viable trading strategy that you're both comfortable with and confident in

  • Backtest your strategy—with MATLAB®, Excel, and other platforms—to ensure good historical performance

  • Build and implement an automated trading system to execute your strategy

  • Scale up or wind down your strategies depending on their real-world profitability

  • Manage the money and risks involved in holding positions generated by your strategy

  • Incorporate advanced concepts that most professionals use into your everyday trading activities

  • And much more

While Dr. Chan takes the time to outline the essential aspects of turning quantitative trading strategies into profits, he doesn't get into overly theoretical or sophisticated theories. Instead, he highlights the simple tools and techniques you can use to gain a much-needed edge over today's institutional traders.

And for those who want to keep up with the latest news, ideas, and trends in quantitative trading, you're welcome to visit Dr. Chan's blog, epchan.blogspot.com, as well as his premium content Web site, epchan.com/subscriptions, which you'll have free access to with purchase of this book.

As an independent trader, you're free from the con-straints found in today's institutional environment—and as long as you adhere to the discipline of quantitative trading, you can achieve significant returns. With this reliable resource as your guide, you'll quickly discover what it takes to make it in such a dynamic and demanding field.

From the Back Cover

Praise for Quantitative Trading

"As technology has evolved, so has the ease in developing trading strategies. Ernest Chan does all traders, current and prospective, a real service by succinctly outlining the tremendous benefits, but also some of the pitfalls, in utilizing many of the recently implemented quantitative trading techniques."
—PETER BORISH, Chairman and CEO, Computer Trading Corporation

"Dr. Ernest Chan provides an optimal framework for strategy development, back-testing, risk management, programming knowledge, and real-time system implementation to develop and run an algorithmic trading business step by step in Quantitative Trading."
—YASER ANWAR, trader

"Quantitative systematic trading is a challenging field that has always been shrouded in mystery, seemingly too difficult to master by all but an elite few. In this honest and practical guide, Dr. Chan highlights the essential cornerstones of a successful automated trading operation and shares lessons he learned the hard way while offering clear direction to steer readers away from common traps that both individual and institutional traders often succumb to."
—ROSARIO M. INGARGIOLA, CTO, Alphacet, Inc.

"This book provides valuable insight into how private investors can establish a solid structure for success in algorithmic trading. Ernie's extensive hands-on experience in building trading systems is invaluable for aspiring traders who wish to take their knowledge to the next level."
—RAMON CUMMINS, private investor

"Out of the many books and articles on quantitative trading that I've read over the years, very few have been of much use at all. In most instances, the authors have no real knowledge of the subject matter, or do have something important to say but are unwilling to do so because of fears of having trade secrets stolen. Ernie subscribes to a different credo: Share meaningful information and have meaningful interactions with the quantitative community at large. Ernie successfully distills a large amount of detailed and difficult subject matter down to a very clear and comprehensive resource for novice and pro alike."
—STEVE HALPERN, founder, HCC Capital, LLC


More About the Author

Discover books, learn about writers, read author blogs, and more.

Customer Reviews

The book explains a lot details and concepts.
Amazon Customer
The focus of this book is equity and futures, and options are specifically not part of the author's trading toolbox.
Marc Mest
This book is a little like that box of chocolates where, "you never know what you're gonna get."
cory macdougall

Most Helpful Customer Reviews

54 of 59 people found the following review helpful By cd on July 16, 2010
Format: Hardcover Verified Purchase
I have mixed feelings about this book, but overall, it was underwhelming. First, it really should be emphasized that this is targeted at beginners. Anyone with even a small amount of portfolio management experience will probably be familiar with the techniques discussed. Second, there is a strong emphasis on leverage and Kelly sizing (although he does suggest scaling back, eg half Kelly). Neither of these two statements are negative by themselves, but the combination seems a little dangerous. The type of person who would benefit from the information he presents probably shouldn't be taking large leveraged bets. Admittedly there are plenty of exceptions to that statement, but I think it holds in general. A good first step? Perhaps. A How-to guide for building a trading business? No way.

There doesn't seem to have been much original research conducted for the purposes of the book. He basically talks about the programs, brokerages, etc. he has used in the past and gives his opinions on a few. This is valuable to some extent, but in a book targeted at starting up a new business, I would have expected him to survey the landscape a little more. Just as an example, his code is in Matlab which he admits is probably outside the price range for many startups. Why not show the code in R? Or one of the cheaper/free Matlab clones he mentions?

There were a few technical areas I thought he breezed over too nonchalantly (assuming strategy return independence in the Kelly formula for example) that could be dangerous, but as the book is targeted at beginners, I won't hit him for those.

As a final point, the book is completely overpriced. Large font + small book + not much more than 150 pages (many of which are either code or modified entries from his blog) = where's the beef? Again, that's OK, but not in the context of a (ridiculous) $60 sticker price. Even the ~$40 at Amazon is about 2x what I believe is justified.
2 Comments Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
73 of 83 people found the following review helpful By ETO Trader on November 25, 2008
Format: Hardcover Verified Purchase
This book lays out a road map for an independent trader to follow if they want to establish themselves as a home based quantitative trader. Whilst the title contains the words quantitative and algorithmic, it isn't heavy with high level mathematics or concepts. Instead key issues are covered in a straightforward easy to read manner.
What makes the book work is Dr Chan's personal insights from his career and experiences are intertwined throughout the topics. This leaves the reader with a great deal of confidence in his suggested approach. Most of the issues in the book are covered at a basic to intermediate level - certainly enough for you to be able to go and do further research and to know what the key issues are and what to look out for.
Criticisms - maybe the focus on Matlab, though he does recommend some cheaper clone packages that may run his example code with minor modifications.
This is a practical book. There's no pop trading psychology (though there is a psychology chapter), nor does it give you a system or rely on strategies that aren't generally available to the retail trader.
Being quantitative, strategies where discussed tend to be mean reversion or momentum based. Technical analysis isn't used as a driver for strategies. Ideas for potential quantitative strategies are discussed, but readers looking for up and running systems will need to look elsewhere.
Instead, Quantitative Trading shows the procedure for taking a strategy, combining it with correct test techniques, good execution tools and position management, and from that forming the basis for a genuinely successful home based quantitative operation.
Anyone who trades would benefit from this book as many of its discussed issues, techniques, tips and traps are universal to any trader.
9 Comments Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
43 of 55 people found the following review helpful By AGJr on December 26, 2008
Format: Hardcover Verified Purchase
... but too shallow. Most of the content is just common sense, and most of the technical part, including Matlab and Excel code, of little use. Nevertheless, it gives you a blueprint of important things to take into account when going into Algorithmic Trading.
2 Comments Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
23 of 29 people found the following review helpful By Linus Nilsson on October 17, 2009
Format: Hardcover Verified Purchase
Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading), is a book written by a practitioner for practitioners. A mix of practical advices, some sample code, and a fair amount of experience, this book is a good summary, although a bit unstructured, what one needs to think about when it comes to starting your own quant trading firm or simply running your own capital in a systematic way.

While there is no ready-made, plug-and-play strategies inside the book, it does contain a number of potential strategy ideas that is worth testing. Chan is mostly focused on long/short equity strategies, mostly because that's is where he has his background. A good read, would read it again.
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
5 of 5 people found the following review helpful By Chris on May 31, 2012
Format: Kindle Edition
This book is targeted at beginners to trading but undercalls the huge amount of work involved in finding a trading strategy and having the risk control and discipline to make it profitable which is what a new trader should be thinking about. For any new traders out there, there are many better books than this
1 Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
15 of 19 people found the following review helpful By John M. Lowe on March 25, 2011
Format: Hardcover Verified Purchase
I was drawn to E.P. Chan's "Quantitative Trading" (2009) by a process of elimination. After losing half of my buy-and-hold retirement portfolio in the 2007-2009 bear market, I tried and rejected a variety of both fundamental and technical trading strategies. Fear and greed invariably blocked my path to success in any of these trading endeavors. Then I discovered momentum trading strategies that could be automated. Trend following strategies, such as, those proposed by Tom Lydon in "The ETF Trend Following Playbook: Profiting from Trends in Bull or Bear Markets with Exchange Traded Funds" (2009), were especially appealing to me. For example, buy when an equity's price moves above its 200 day moving average. Sell when the price falls below its 200 day moving average. What could be simpler than that? Even more appealing, however, were the relative strength, risk adjusted trading strategies that I discovered at the ETF Replay website. There I found a momentum based, quantitative, statistical model that was mechanical in operation and that separated my trading activities from my emotions, keeping fear and greed in check.

Was Chan's book written for traders like me? Not exactly. The author had in mind a reader who wants to know (1) how to start a quantitative trading business or (2) how to work as a quantitative trader at a major institution. I, on the other hand, was simply looking for ways to enhance my skills as an independent trader for managing my personal accounts.

In reading this book, I felt like a minor league player asking for help from a major league coach. Chan is a true quant with both institutional and independent trading experience. Chan offers way more expertise than I can use.
Read more ›
1 Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again

Customer Images

Most Recent Customer Reviews

Search