Quantitative Trading. Ernest P. Chan

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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.

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       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 2^nd Edition

      When I first started thinking about writing the 2^nd 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 1^st 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,