book

Quantitative Trading, 2nd Edition

July 2021

Intermediate to advanced

256 pages

5h 48m

English

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REFERENCES
WHO IS THIS BOOK FOR?WHAT KIND OF BACKGROUND DO YOU NEED?WHAT WILL YOU FIND IN THIS BOOK?REFERENCES
WHO CAN BECOME A QUANTITATIVE TRADER?THE BUSINESS CASE FOR QUANTITATIVE TRADINGTHE WAY FORWARD
HOW TO IDENTIFY A STRATEGY THAT SUITS YOUA TASTE FOR PLAUSIBLE STRATEGIES AND THEIR PITFALLSSUMMARYREFERENCES
COMMON BACKTESTING PLATFORMSFINDING AND USING HISTORICAL DATABASESPERFORMANCE MEASUREMENTCOMMON BACKTESTING PITFALLS TO AVOIDTRANSACTION COSTSSTRATEGY REFINEMENTSUMMARYREFERENCESNOTE

BUSINESS STRUCTURE: RETAIL OR PROPRIETARY?CHOOSING A BROKERAGE OR PROPRIETARY TRADING FIRMPHYSICAL INFRASTRUCTURESUMMARYREFERENCES
WHAT AN AUTOMATED TRADING SYSTEM CAN DO FOR YOUMINIMIZING TRANSACTION COSTSTESTING YOUR SYSTEM BY PAPER TRADINGWHY DOES ACTUAL PERFORMANCE DIVERGE FROM EXPECTATIONS?SUMMARY
OPTIMAL CAPITAL ALLOCATION AND LEVERAGERISK MANAGEMENTPSYCHOLOGICAL PREPAREDNESSSUMMARYAPPENDIX: A SIMPLE DERIVATION OF THE KELLY FORMULA WHEN RETURN DISTRIBUTION IS GAUSSIANREFERENCESNOTES
MEAN-REVERTING VERSUS MOMENTUM STRATEGIESREGIME CHANGE AND CONDITIONAL PARAMETER OPTIMIZATIONSTATIONARITY AND COINTEGRATIONFACTOR MODELSWHAT IS YOUR EXIT STRATEGY?SEASONAL TRADING STRATEGIESHIGH-FREQUENCY TRADING STRATEGIESIS IT BETTER TO HAVE A HIGH-LEVERAGE VERSUS A HIGH-BETA PORTFOLIO?SUMMARYREFERENCES
NEXT STEPSREFERENCES