Quantitative Trading book

[Andy Nguyen]

Anyone reads this book yet? From the few pages I could view on Amazon, the author has an interesting background and it seems very practical.

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[cw202]

Not Good

I browsed through the book at B&N. The content is superficial. He spends about a quarter of the book discussing the motivation for "quant" trading. There are some simple examples in Matlab. If I remember correctly, there is a brief introduction to the Kelly Criterion. The book looks like an advertisement for his paid trade recommendation emails.

 

[Andy Nguyen]

I was looking for some treatment on the topics of mean reversion, regime switching strategies as well as other technical aspects on building up such an automatic quant trading platform. This book does touch on the subjects but judging from the TOC, very slightly.
Besides, most books focus on equity, stock picking i.e every Joe's favourite asset class. I still haven't come across anything more complex such as credit derivatives index arbitrage, relative values strategies. I assume such topics remain exclusive to prop desks, not something people can do at home.

 

[Andy Nguyen]

Just want to point out that the author's blog at Quantitative Trading is well known among many who set up their own trading system.

 

[AnoopRN]

If I remember correctly, there is a brief introduction to the Kelly Criterion.

An information theory based approach to the markets drawing on Shannon's work in this field. This was amongst the first things which got me interested in quantitative methods in finance.

 

[vinay]

What is the first book a new quant should read to get overall picture of Quant developer and their role in finance?

 

[Andy Nguyen]

From Master reading list for Quants, MFE - QuantNetwork - Financial Engineering Forum
Maybe you can get two or three books out of this from the first two sections

What do quants do by Mark Joshi
The Complete Guide to Capital markets for Quantitative Professionals
Nerds on Wall Street: Math, Machines and Wired Markets by David J. Leinweber

 

[Andy Nguyen]

We are interviewing Ernie Chan so if anyone is interested in the quant trading space, feel free to send me a message of what questions they like to ask.

 

[Andy Nguyen]

The interview with Ernie has been completed. It was one of the best interviews we've done and I can't wait to get it published soon.

 

[sirbugaby]

Hi Andy!<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /><o:p></o:p>
The book is good for quantitative enthusiastics (like me) that want to understand the basics of quant trading. <o:p></o:p>
The most interesting chapter is called Special Topics and you can find the basics of cointegration plus some nice examples of cointegrated pairs (AUD/CAD and GLD/GDX). Also the MatLab code is well written and easy to understand.<o:p></o:p>

 

[Connor]

Andy, any idea when the interview with Ernie will be published? Thanks!

 

[Andy Nguyen]

Planning to release it toward the end of this month but hopefully much earlier.

 

[akshay gautam]

I read that book a couple of weeks back. Its a nice little book for the purpose starting out as an individual trader. You wont find a complete description of strategies, though he does talk about pairs trading and a few more, only briefly. But then again this is no encyclopedia for trading strategies. It teaches you stuff, that as an individual trader should be aware of. He uses MATLAB and Excel for illustrating purposes.

 

[Andy Nguyen]

Andy, any idea when the interview with Ernie will be published? Thanks!

Interview with Ernie Chan, quant trader and author | QuantNetwork