Table of Contents 1
Cover
5
Preface to the 2nd Edition
REFERENCES
6
Preface
WHO IS THIS BOOK FOR?
WHAT KIND OF BACKGROUND DO YOU NEED?
WHAT WILL YOU FIND IN THIS BOOK?
REFERENCES
8
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
9
CHAPTER 2: Fishing for Ideas
HOW TO IDENTIFY A STRATEGY THAT SUITS YOU
A TASTE FOR PLAUSIBLE STRATEGIES AND THEIR PITFALLS
SUMMARY
REFERENCES
10
CHAPTER 3: Backtesting
COMMON BACKTESTING PLATFORMS
FINDING AND USING HISTORICAL DATABASES
PERFORMANCE MEASUREMENT
COMMON BACKTESTING PITFALLS TO AVOID
TRANSACTION COSTS
STRATEGY REFINEMENT
SUMMARY
REFERENCES
NOTE
11
CHAPTER 4: Setting Up Your Business
BUSINESS STRUCTURE: RETAIL OR PROPRIETARY?
CHOOSING A BROKERAGE OR PROPRIETARY TRADING FIRM
PHYSICAL INFRASTRUCTURE
SUMMARY
REFERENCES
12
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
13
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
REFERENCES
NOTES
14
CHAPTER 7: Special Topics in Quantitative Trading
MEAN-REVERTING VERSUS MOMENTUM STRATEGIES
REGIME CHANGE AND CONDITIONAL PARAMETER OPTIMIZATION
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
REFERENCES
15
CHAPTER 8: Conclusion
NEXT STEPS
REFERENCES
16
APPENDIX: A Quick Survey of MATLAB
17
Bibliography
19
Index
20
End
