Quantitative Trading : How to Build Your Own Algorithmic Trading Business

Preface

By some estimates, quantitative or algorithmic trading now accounts for over one-third of the trading volume in the United States. There are, of course, innumerable books on the advanced mathematics and strategies utilized by institutional traders in this arena. However, can an independent, retail trader benefit from these algorithms? Can an individual with limited resources and computing power backtest and execute their strategies over thousands of stocks, and come to challenge the powerful industry participants in their own game?

I will show you how this can, in fact, be achieved.

WHO IS THIS BOOK FOR?

I wrote this book with two types of readers in mind:

1. Aspiring independent ("retail") traders who are looking to start a quantitative trading business.

2. Students of finance or other technical disciplines (at the undergraduate or MBA level) who aspire to become quantitative traders and portfolio managers at major institutions.

Can these two very different groups of readers benefit from the same set of knowledge and skills? Is there anything common between managing a $100 million portfolio and managing a $100,000 portfolio? My contention is that it is much more logical and sensible for someone to become a profitable $100,000 trader before becoming a profitable $100 million trader. This can be shown to be true on many fronts.

Many legendary quantitative hedge fund managers such as Dr. Edward Thorp of the former Princeton-Newport Partners (Poundstone, 2005) and Dr. Jim Simons of Renaissance ...