Algorithmic Trading Winning Strategies and Their Rationale

by Chan, Ernie

• ISBN13: 9781118460146
• ISBN10: 1118460146
• Edition: 1st
• Format: Hardcover
• Copyright: 2013-05-28
• Publisher: Wiley

Summary

Markets are now almost always electronic, and as a result of decimalization, algorithmic trading is booming. Algorithmic trading (or "algo trading" as it is referred) is the use of computer programs (such as Excel or MatLab) for entering and executing trading orders with the computer algorithm deciding on certain aspects of the order, such as the timing, price, or even the final quantity of the order. Algorithmic trading may be used in any investment strategy, including market-making, inter-market spreading, arbitrage, or pure speculation (including trend following). The investment decision and implementation may be augmented at any stage with algorithmic support or may operate completely automatically. Algorithmic Trading provides an understanding of the core concepts in quantitative trading, an understanding of the process of using mathematics and statistics to analyze the profitability of a trading model, a "hands on" experience of how backtesting is done, and an understanding of pair trading in stocks, ETFs, futures and currencies. Chan shows investors how to use Excel and MatLab to build their own algo trading tools, as well as FX1, an FX trading platform growing in popularity.He also shows investors how to conduct quantitative research and analysis, and turn quantitative trading strategies into profits using stocks, ETFs, futures, and other financial instruments.

Author Biography

ERNEST P. CHAN is the Managing Member of QTS Capital Management, LLC. He has worked for various investment banks (Morgan Stanley, Credit Suisse, Maple) and hedge funds (Mapleridge, Millennium Partners, MANE) since 1997. Chan received his PhD in physics from Cornell University and was a member of IBM's Human Language Technologies group before joining the financial industry. He was a cofounder and principal of EXP Capital Management, LLC, a Chicago-based investment firm. Chan is also the author of Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley) and a popular financial blogger at http://epchan.blogspot.com. Find out more about him at www.epchan.com.

Table of Contents

Preface

Chapter 1: Backtesting and Automated Execution

Chapter 2: The Basics of Mean Reversion

Chapter 3: Implementing Mean Reversion Strategies

Chapter 4: Mean Reversion of Stocks and ETFs

Chapter 5: Mean Reversion of Currencies and Futures

Chapter 6: Interday Momentum Strategies

Chapter 7: Intraday Momentum Strategies

Chapter 8: Risk Management

Conclusion

Bibliography

About the Author

About the Website

Index