ENGLISH

Quantitative Trading: How to Build Your Own Algorithmic Trading Business

By Ernie Chan

Book information

Publisher
Wiley
Year
2008
ISBN
9780470284889, 0470284889, 9780470411148
LCC
HG4529 .C445 2009
Open Library ID
OL16842964M
Language
english
Format
PDF
Filesize
4 MB (3714990 bytes)
Series
Wiley Trading
Pages
204\204
Topic
Economy
Library
Kolxo3
Time added
2010-05-17 00:23:50
Финансово-экономические дисциплины;Биржевая торгов

Description

The book brings up key topics in developing quantitative models such as problems of overfitting and regime shifts. However, I doubt anything in the book would result in consistent profits. The author puts forth cointegation as a useful way too model price behavior; however, his metric in analyzing whether time series are cointegrated doesn't look right. Nevertheless, it is a good primer to developing quantitative trading models.

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