Algorithmic Trading

书名：Algorithmic TradingWinningStrategiesandTheirRationale
作者：ErnieChan
译者：
ISBN：9781118460146
出版社：Wiley
出版时间：2013-5-28
格式：epub/mobi/azw3/pdf
页数：224
豆瓣评分： 8.9

书籍简介：

Praise for Algorithmic Trading: "Algorithmic Trading is an insightful book on quantitative trading written by a seasoned practitioner. What sets this book apart from many others in the space is the emphasis on real examples as opposed to just theory. Concepts are not only described, they are brought to life with actual trading strategies, which give the reader insight into how and why each strategy was developed, how it was implemented, and even how it was coded. This book is a valuable resource for anyone looking to create their own systematic trading strategies and those involved in manager selection, where the knowledge contained in this book will lead to a more informed and nuanced conversation with managers." (Daren Smith, CFA, CAIA, FSA, Managing Director, Manager Selection & Portfolio Construction, University of Toronto Asset Management). "Using an excellent selection of mean reversion and momentum strategies, Ernie explains the rationale behind each one, shows how to test it, how to improve it, and discusses implementation issues. His book is a careful, detailed exposition of the scientific method applied to strategy development. For serious retail traders, I know of no other book that provides this range of examples and level of detail. His discussions of how regime changes affect strategies, and of risk management, are invaluable bonuses." (Roger Hunter, Mathematician and Algorithmic Trader).

作者简介：

书友短评：

@ 勝負師董寶珠 还行，不错 @ 大虾观社会 始终没有读最后两章，但前面的部分已经很好了//基本把前一大半的代码及思路过了一遍，都是些simple but essential的内容。但作者关于weight updating的做法有问题，实际上我们组合都是daily updated，他那种静态算法和实际结果有偏差的//基本看过第一章就知道这书的质量如何了 @ Tristan Pretty basic but clear @ Parzival basically useless but could be referenced @ vuiBGmj 写的不错的一本量化交易的入门书，是作者出的第二本，介绍了不少量化交易的idea，值得一读。 @ 邢爱君 适合计量经济学背景的人阅读，还是大部分介绍利用诸如协整检验等挖掘交易机会并构建策略。可惜书中所介绍的策略现在基本都失效，读者只能以其思路改善统计学模型，在中国的资本市场去构建算法交易策略 @ YourOS 着重读了pair trading相关的部分

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