Algorithmic Trading: Winning Strategies and Their Rationale
Author:   Ernie Chan ,  Ernest P Chan
Publisher:   John Wiley & Sons Inc
Volume:   625
ISBN:  

9781118746912


Pages:   224
Publication Date:   21 May 2013
Format:   Undefined
Availability:   Available To Order   Availability explained
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Algorithmic Trading: Winning Strategies and Their Rationale


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Author:   Ernie Chan ,  Ernest P Chan
Publisher:   John Wiley & Sons Inc
Imprint:   John Wiley & Sons Inc
Volume:   625
ISBN:  

9781118746912


ISBN 10:   1118746910
Pages:   224
Publication Date:   21 May 2013
Audience:   General/trade ,  General
Format:   Undefined
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

Table of Contents

Preface ix Chapter 1 Backtesting and Automated Execution 1 Chapter 2 The Basics of Mean Reversion 39 Chapter 3 Implementing Mean Reversion Strategies 63 Chapter 4 Mean Reversion of Stocks and ETFs 87 Chapter 5 Mean Reversion of Currencies and Futures 107 Chapter 6 Interday Momentum Strategies 133 Chapter 7 Intraday Momentum Strategies 155 Chapter 8 Risk Management 169 Conclusion 187 Bibliography 191 About the Author 197 About the Website 199 Index 201

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Author Information

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.

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