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Index
Quantitative Trading: How to Build Your Own Algorithmic Trading Business
Contents
Preface
WHO IS THIS BOOK FOR?
WHAT KIND OF BACKGROUND DO YOU NEED?
WHAT WILL YOU FIND IN THIS BOOK?
Acknowledgments
Chapter 1: The Whats, Whos, and Whys of Quantitative Trading
WHO CAN BECOME A QUANTITATIVE TRADER?
THE BUSINESS CASE FOR QUANTITATIVE TRADING
THE WAY FORWARD
Chapter 2: Fishing for Ideas
HOW TO IDENTIFY A STRATEGY THAT SUITS YOU
A TASTE FOR PLAUSIBLE STRATEGIES AND THEIR PITFALLS
SUMMARY
Chapter 3: Backtesting
COMMON BACKTESTING PLATFORMS
FINDING AND USING HISTORICAL DATABASES
PERFORMANCE MEASUREMENT
COMMON BACKTESTING PITFALLS TO AVOID
TRANSACTION COSTS
STRATEGY REFINEMENT
SUMMARY
Chapter 4: Setting Up Your Business
BUSINESS STRUCTURE: RETAIL OR PROPRIETARY?
CHOOSING A BROKERAGE OR PROPRIETARY TRADING FIRM
PHYSICAL INFRASTRUCTURE
SUMMARY
Chapter 5: Execution Systems
WHAT AN AUTOMATED TRADING SYSTEM CAN DO FOR YOU
MINIMIZING TRANSACTION COSTS
TESTING YOUR SYSTEM BY PAPER TRADING
WHY DOES ACTUAL PERFORMANCE DIVERGE FROM EXPECTATIONS?
SUMMARY
Chapter 6: Money and Risk Management
OPTIMAL CAPITAL ALLOCATION AND LEVERAGE
RISK MANAGEMENT
PSYCHOLOGICAL PREPAREDNESS
SUMMARY
APPENDIX: A SIMPLE DERIVATION OF THE KELLY FORMULA WHEN RETURN DISTRIBUTION IS GAUSSIAN
Chapter 7: Special Topics in Quantitative Trading
MEAN-REVERTING VERSUS MOMENTUM STRATEGIES
REGIME SWITCHING
STATIONARITY AND COINTEGRATION
FACTOR MODELS
WHAT IS YOUR EXIT STRATEGY?
SEASONAL TRADING STRATEGIES
HIGH-FREQUENCY TRADING STRATEGIES
IS IT BETTER TO HAVE A HIGH-LEVERAGE VERSUS A HIGH-BETA PORTFOLIO?
SUMMARY
Chapter 8: Conclusion: Can Independent Traders Succeed?
NEXT STEPS
Appendix: A Quick Survey of MATLAB
Bibliography
About the Author
Index
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