Quantitative Trading. Ernest P. Chan
Читать онлайн книгу.
183
195 184
196 185
197 186
198 187
199 188
200 189
201 190
202 191
203 192
204 193
205 194
206 195
207 196
208 197
209 198
210 199
211 200
212 201
213 202
214 203
215 204
216 205
217 206
218 207
219 208
220 209
221 211
222 212
223 213
224 214
225 215
226 216
227 217
228 218
229 219
230 220
231 221
232 222
233 223
234 224
235 225
236 226
237 227
238 228
239 229
240 230
241 231
242 232
Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia, and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers’ professional and personal knowledge and understanding.
The Wiley Trading series features books by traders who have survived the market's ever changing temperament and have prospered—some by reinventing systems, others by getting back to basics. Whether a novice trader, professional, or somewhere in-between, these books will provide the advice and strategies needed to prosper today and well into the future.
For a list of available titles, visit our Web site at www.WileyFinance.com.
Quantitative Trading
How to Build Your Own Algorithmic Trading Business
Second Edition
ERNEST P. CHAN
Copyright © 2021 by Ernest P. Chan. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008, or online at http://www.wiley.com/go/permissions.
Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages.
For general information on our other products and services or for technical support, please contact our Customer Care Department within the United States at (800) 762-2974, outside the United States at (317) 572-3993 or fax (317) 572-4002.
Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic books. For more information about Wiley products, visit our web site at www.wiley.com.
Library of Congress Cataloging-in-Publication Data is Available:
ISBN 9781119800064 (hardback)
ISBN 9781119800088 (ePDF)
ISBN 9781119800071 (ePub)
Cover Design: Wiley
Cover Image: © Jobalou/Getty Images
To my parents, Hung Yip and Ching, and to Ben and Sarah Ming.
Preface to the 2nd Edition
When I first started thinking about writing the 2nd edition, I had a measure of dread. What could I have added that would be new and interesting? After writing the first draft, I was relieved, and incredibly excited, at the prospect of sharing with you my latest knowledge, techniques, and insights, ranging from the addition of some new functions that make our PCA example run more than 10x faster, to a novel application of machine learning.
In the 1st edition of this book, published more than a decade ago, I maintained that independent quantitative traders can beat institutional managers at their own game. Many of you have taken that advice to heart, and many retail quantitative trading communities and platforms have been built to serve just such an ambition. But does the premise still hold?
Over the years, many readers reached out and told me how successful they have been in improving and trading the strategies I discussed in my books, and others told me how they have simply been inspired by my books to become successful traders. Our fund is invested in some of these readers,