Quantitative trading
by Ernest P. Chan · first published 2009
86% recommend14% neutral
Why HN recommends it
Practical introduction to quantitative trading with plenty of example code, useful as a starting point for beginners and for those wanting an overview of basic methods and how to build a trading business.
Summarised by Claude from recommending comments
While institutional traders continue to implement quantitative (or algorithmic) trading, many independent traders have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, 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 succ
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…started, vocabulary, etc.: High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems http://www.amazon.com/gp/product/0470563761 Inside the Black Box: The Simple Truth About Quantitative Trading http://www.amazon.com/gp/product/0470432063 Quantitative Trading: How to Build Your Own Algorithmic Trading Business http://www.amazon.com/gp/product/0470284889
on “Ask HN: Any high frequency trading hackers” ↗…insights - https://www.quantconnect.com/tutorials/strategy-library - Absorbed almost everything Ernie Chan has written. This was the first book that got me interested in all this - https://www.amazon.com/Quantitative-Trading-Build-Algorithmi... I read a _ton_ and played around with lots and lots of data to try and get my systems working. Still no where near where I'd like to be, but been profitable since the beginning (minus…
on “How to get stock fundamentals data with Python” ↗…industry (unless your PhD was from a top program, and you're on the younger side). In that vein, Ernest P. Chan's books will give you the toolkit to begin, and then you can figure out the rest as-needed. Quantitative Trading (2nd), Chan I believe is the first in the series. Algorithmic Trading I believe is the second. And Machine Trading is the last.
on “Most Important Papers for Quantitative Traders” ↗These might interest you: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic... http://collective2.com/
on “Bootstrapping an Ultra Low Latency Trading Firm, Part 1” ↗Ernie Chan's book, "Quantitative Trading: How to Build Your Own Algorithmic Trading Business ", is a good starting point. It's a nice blend of theory and pragmatic practice. Chan provides example implementations in Matlab to help readers get…
on “Good books for hackers interested in quant finance?” ↗…recommend for beginners: Evidence Based Technical Analysis: http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie... Pairs Trading: http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Ana... Quantitative Trading: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic... An Introduction to High Frequency Finance: http://www.amazon.com/Introduction-High-Frequency-Finance-Ra... Trading and Exchanges: Market…
on “Good books for hackers interested in quant finance?” ↗…trading the financial markets using technical indicators. Here's a book I read recently that provides a nice intro into the subject, with plenty of code examples sprinkled throughout: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic... and that authors blog: http://epchan.blogspot.ie/
on “Ask HN: How to deal with losing interest in your passion?” ↗My favorite is Ernie Chen's "Quantitative Trading: How to Build Your Own Algorithmic Trading Business" https://www.amazon.com/Quantitative-Trading-Build-Algorithmi... Warning: it is a lot of fun, thrilling, but hard to make money. My winning algos took…
on “Trading Is Hazardous to Your Wealth [pdf] (2000)” ↗…etc.) and we're leaving the most exciting 100 lines of code to our members. On the other question about books. I'd recommend a couple: * Ernie Chan's book is a great place to start http://www.amazon.com/Quantitative-Trading-Build-Algorithmic... * More advanced: http://www.amazon.com/gp/product/0470128011/ I work at Quantopian.
on “Quantopian Brings Algorithmic Trading To The Masses” ↗Don't get discouraged by the negative comments. It's completely possible to make a profit (with low risk) without resorting to HFT. I'd recommend you read Quantitative Trading by EP Chan for a great overview of the basic methods and some example implementations. Disclaimer: I've done exactly this successfully for >2yrs now.
on “Ask HN: Automate Stock Trading?” ↗…with all that you've got and to hell with common sense. > It's completely possible to make a profit (with low risk) without resorting to HFT. Yes it is. For a while at least. > I'd recommend you read Quantitative Trading by EP Chan for a great overview of the basic methods and some example implementations. Reading is always good, second that. > Disclaimer: I've done exactly this successfully for >2yrs now. I know gamblers…
on “Ask HN: Automate Stock Trading?” ↗…because people would rather make money than share but because if the strategy becomes well known, or just known enough that other people start using it it loses all its value. There’s a book called “Quantitative Trading: How to Build Your Own Algorithmic Trading Business” which I found kind of interesting in giving a good basics about the language, tools and methodologies used by quants, specifically individuals instead…
on “Ask HN: How to Get into Quant?” ↗Haven't read it yet, but it's sitting in my to-read statck: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic... Sounds like just an intro. Some of the other books Amazon recommends on that page might be worth checking out too.
on “How I Built a Startup High Frequency Trading Firm” ↗Here are the books on my desk: C++: "The C++ Programming Language", Stroustrup "Programming: Principles and Practice Using C++", Stroustrup Quant: "Quantitative Trading", Dr. Ernest Chan "Algorithmic Trading", Dr. Ernest Chan "Machine Trading: Deploying Computer Algorithms to Conquer the Markets", Dr. Ernest Chan "Advances in Financial Machine Learning", Marcos Lopez…
on “Ask HN: What books do you keep on your desk?” ↗@SirLJ - Have you read Ernst Chan's book Quantitative Trading: How to Build Your Own Algorithmic Trading Business? If so what do you think?
on “Ask HN: What is your life goal?” ↗