July 2021
Intermediate to advanced
256 pages
5h 48m
English
Content preview from Quantitative Trading, 2nd Edition
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Bibliography
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- Bailey, David, and Marcos López de Prado. 2012. “The Sharpe Ratio Efficient Frontier.” Journal of Risk 15 (2): Winter 2012/13. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1821643.
- Chan, Ernest. 2006a. “A ‘Highly Improbable’ Event? A Historical Analysis of the Natural Gas Spread Trade That Bought Down Amaranth.” Quantitative Trading blog, October 2, http://epchan.blogspot.com/2006/10/highly-improbable-event.html.
- Chan, Ernest. 2006b. “Reader Suggests a Possible Trading Strategy with the GLD–GDX Spread.” Quantitative Trading. November 17. http://epchan.blogspot.com/2006/11/reader-suggested-possible-trading.html.
- Chan, Ernest. 2013. Algorithmic Trading: Winning Strategies and Their Rationale. Wiley.
- Chan, Ernest. 2017. “Paradox Resolved: Why Risk Decreased Expected Log Return but Not Expected Wealth.” Quantitative Trading. May 4. http://epchan.blogspot.com/2017/05/paradox-resolved-why-risk-decreases.html.
- Chan, Ernest. 2020. “What Is the Probability of Your Profit?” PredictNow.ai. https://www.predictnow.ai/blog/what-is-the-probability-of-profit-of-your-next-trade-introducing-predictnow-ai/ ...