不错的入门书籍
2014-09-14
# Overview
很不错的入门书籍.
# Review
以下评论[1]
Quantitative Trading by Ernest Chan - This is one of my favourite finance books. Dr. Chan provides a great overview of the process of setting up a "retail" quantitative trading system, using MatLab or Excel. He makes the subject highly approachable and gives the impression that "anyone can do it". Although there are plenty of details that are skipped over (mainly for brevity), the book is a great introduction to how algorithmic trading works. He discusses alpha generation ("the trading model"), risk management, automated execution systems and certain strategies (particularly momentum and mean reversion). This book is the place to start.
书本源码下载: http://wiki.dreamrunner.org/public_html/Books%20Review/Quantitative-Trading-How-to-Build-Your-Own-Algorithmic-Trading-Business/files/QuantitativeTrading.tar.gz
# More
Algorithmic Trading by Ernest Chan[2] - This is the second book by Dr. Chan. In the first book he eluded to momentum, mean reversion and certain high frequency strategies. This book discusses such strategies in depth and provides significant implementation details, albeit with more mathematical complexity than in the first (e.g. Kalman Filters, Stationarity/Cointegration, CADF etc). The strategies, once again, make extensive use of MatLab but the code can be easily modified to C++, Python/pandas or R for those with programming experience. It also provides updates on the latest market behaviour, as the first book was written a few years back.
[1] http://www.quantstart.com/articles/Top-5-Essential-Beginner-Books-for-Algorithmic-Trading
[2] http://book.douban.com/subject/20559989/