Читать книгу Quantitative Trading - Ernest P. Chan - Страница 2
ОглавлениеTable of Contents
1 Cover
5 Preface to the 2nd Edition REFERENCES
6 Preface WHO IS THIS BOOK FOR? WHAT KIND OF BACKGROUND DO YOU NEED? WHAT WILL YOU FIND IN THIS BOOK? REFERENCES
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
19 Index
List of Tables
1 Chapter 2TABLE 2.1 Sources of Trading IdeasTABLE 2.2 How Capital Availability Affects Your Many Choices
2 Chapter 3TABLE 3.1 Historical Databases for Backtesting
3 Chapter 4TABLE 4.1 Retail versus Proprietary Trading
List of Illustrations
1 Chapter 2FIGURE 2.1 Drawdown, maximum drawdown, and maximum drawdown duration.
2 Chapter 3FIGURE 3.1 Maximum drawdown and maximum drawdown duration for Example 3.4.
3 Chapter 5FIGURE 5.1 Semiautomated trading system.FIGURE 5.2 Fully automated trading system.
4 Chapter 7FIGURE 7.1 Cumulative returns of strategies based on Conditional vs. Uncondi...FIGURE 7.2 A stationary time series formed by the spread between GLD and GDX...FIGURE 7.3 A nonstationary time series formed by the spread between KO and P...FIGURE 7.4 Cointegration is not correlation. Stocks A and B are cointegrated...
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