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Ernest P. Chan
Quantitative Trading
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Quantitative Trading
How to Build Your Own Algorithmic Trading Business
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Acknowledgments
CHAPTER 1 The Whats, Whos, and Whys of Quantitative Trading
WHO CAN BECOME A QUANTITATIVE TRADER?
THE BUSINESS CASE FOR QUANTITATIVE TRADING
Scalability
Demand on Time
The Nonnecessity of Marketing
THE WAY FORWARD
CHAPTER 2 Fishing for Ideas:
Where Can We Find Good Strategies?
HOW TO IDENTIFY A STRATEGY THAT SUITS YOU
Your Working Hours
Your Programming Skills
Your Trading Capital
Your Goal
A TASTE FOR PLAUSIBLE STRATEGIES AND THEIR PITFALLS
How Does It Compare with a Benchmark, and How Consistent Are Its Returns?
How Deep and Long Is the Drawdown?
How Will Transaction Costs Affect the Strategy?
Does the Data Suffer from Survivorship Bias?
How Did the Performance of the Strategy Change over the Years?
Does the Strategy Suffer from Data-Snooping Bias?
ARTIFICIAL INTELLIGENCE AND STOCK PICKING
1
Does the Strategy “Fly under the Radar” of Institutional Money Managers?
SUMMARY
REFERENCES
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