BOOK: Algorithmic Trading: Winning Strategies and Their Rationale

  • Author: Ernest P. Chan
  • John Wiley & Sons
  • 28-May-2013
  • Business & Economics
  • 224 pages

Algorithmic Trading: Winning Strategies and Their Rationale

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, but they are also 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, CFA, CAIA, FSA, President, and Chief Investment Officer, University of Toronto Asset Management

“Using an excellent selection of mean reversion and momentum strategies, Ernie explains the rationale behind each one, shows how to test it, how to improve it, and discusses implementation issues. His book is a careful, detailed exposition of the scientific method applied to strategy development. For serious retail traders, I know of no other book that provides this range of examples and levels of detail. His discussions of how regime changes affect strategies, and of risk management, are invaluable bonuses.”

—Roger Hunter, Mathematician and Algorithmic Trader

About the author (2013)

ERNEST P. CHAN is the Managing Member of QTS Capital Management, LLC. He has worked for various investment banks (Morgan Stanley, Credit Suisse, Maple) and hedge funds (Mapleridge, Millennium Partners, MANE) since 1997. Chan received his Ph.D. in physics from Cornell University and was a member of IBM’s Human Language Technologies group before joining the financial industry. He was a co-founder and principal of EXP Capital Management, LLC, a Chicago-based investment firm. Chan is also the author of Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley) and a popular financial blogger at Find out more about him at

Bibliographic information

  • Title Algorithmic Trading: Winning Strategies and Their Rationale
  • Volume 625 of Wiley Trading
  • Author Ernie Chan
  • Edition illustrated
  • Publisher John Wiley & Sons, 2013
  • ISBN 1118460146, 9781118460146
  • Length: 224 pages
  • Subjects Business & Economics › Finance › General

Algorithmic Trading: Winning Strategies and Their RationaleQR code for Algorithmic Trading

Source: Google Books