Books

Dr. Chan’s first book Quantitative Trading is addressed to traders who are new to the field. It covers basics such as how to find and evaluate trading strategies, the practice and common pitfalls of backtesting, example strategies such as mean reversion of ETF pairs and seasonal futures trading, and optimal leverage and asset allocation through Kelly’s formula.

Praise for Quantitative Trading:

“Ernie’s timely update to his classic Quantitative Trading is extraordinary in that, despite the modernization of the content, all the fundamentals remain unchanged and have clearly stood the test of time since the first edition. If you want to be a competitive swimmer, you need to learn the fundamentals of swimming first. Trading is no different; Ernie makes the fundamentals as simple as possible, but no simpler (as Einstein would say) and strikes the perfect balance between intuition and technical depth. Those specifically interested in trading, and anyone generically interested in understanding how modern financial markets work, will benefit from reading the Second Edition of Quantitative Trading.” Craig Betts, mathematician and founder of Solace.

“As technology has evolved, so has the ease in developing trading strategies. Ernest Chan does all traders, current and prospective, a real service by succinctly outlining the tremendous benefits, but also some of the pitfalls, in utilizing many of the recently implemented quantitative trading techniques.” – Peter Borish , Chairman and CEO, Computer Trading Corporation, founding partner of Tudor Investment Corporation.

“Often the hardest part of getting started is simply knowing what questions to ask. This holds especially true for fields like quantitative trading, which are shrouded in mystery and protected by impenetrable jargon. Readers of this book will not only learn the foundations of research and strategy development, but also gain pragmatic insight into the operational sides of the business. Dr. Chan has written the ideal guide for those looking to go from zero-to-one in their quantitative trading journey. ” Corey Hoffstein, co-founder & CIO at Newfound Research.

Readers of Quantitative Trading can find the password to the Matlab, Python, and R codes associated with this book and other premium content in the last paragraph of page of page 38 (at the end of Example 3.1 using Python).

Ernie’s second book Algorithmic Trading: Winning Strategies and Their Rationale is an in-depth study of two types of strategies: mean reverting and momentum. It delves into the reasons certain markets display either mean reversion or momentum, and describes the common techniques that can exploit these profit opportunities. Numerous strategy examples are drawn from stocks, ETFs, futures, and currencies.

Praise for Algorithmic Trading:

“Algorithmic Trading is an insightful book on quantitative trading written by a seasoned practitioner. What sets this book apart from many others in the space is the emphasis on real examples as opposed to just theory. Concepts are not only described, they are brought to life with actual trading strategies, which give the reader insight into how and why each strategy was developed, how it was implemented, and even how it was coded. This book is a valuable resource for anyone looking to create their own systematic trading strategies and those involved in manager selection, where the knowledge contained in this book will lead to a more informed and nuanced conversation with managers.” – Daren Smith, CIO, Abu Dhabi Investment Council.

Readers of Algorithmic Trading: Winning Strategies and Their Rationale can find the password to the Matlab and Python codes for this book on page 199.

Ernie’s third and latest book Machine Trading: Deploying Computer Algorithms To Conquer the Markets covers a variety of advanced quantitative trading and investment techniques from state space models to machine learning, applicable to a variety of instruments from ETF’s to options. Readers will find most of the materials quite accessible to anyone who has some experience in a quantitative field.

This book can be treated as a continuation of my first two books, with coverage on topics that I have not discussed before, but it can also be read independently. Software codes for all the described strategies can be found on epchan.com/book3. The userid and password can be found in Box 1.1 of the book.

Praise for Machine Trading:

“It is easy to make simple ideas complex. It is far more difficult to make complex ideas seem simple. In this book, Ernie has done exactly that. I cannot think of any trader who would not benefit from reading Machine Trading” – Euan Sinclair, partner at Talton Capital Management and author of “Volatility Trading”.

Available for order now at Amazon.com.