machine trading: deploying computer algorithms to conquer the markets

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Ernest P. Chan 的三部曲的第三部。 Machine Trading is a practical guide to building your algorithmic trading business. Written by a recognized trader with major institution expertise, this book provides step-by-step instruction on quantitative trading and the latest technologies available even outside the Wa
MACHINE TRADING Founded in 1807, John Wiley sons is the oldest independent pub- lishing company in the United States. With offices in North america, Europe, Australia, and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers' professional and personal knowledge and understanding The Wiley trading series features books by traders who have sur- vived the market's ever-changing temperament and have prospered- some by reinventing systems, others by getting back to basics Whether a novice trader, professional, or somewhere in between, these books will provide the advice and strategies needed to prosper today and well into the future Formoreonthisseriesvisitourwebsiteatwww.Wileytrading.com MACHINE TRADING Deploying Computer Algorithms to Conquer the markets Ernest P. Chan WILEY Copyright C 2017 by Ernest P. Chan. All rights reserved Published by john Wiley Sons, InC, Hoboken, New Jersey Published simultaneously in Canada No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc, 222 Rosewood Drive, Danvers Mao1923,(978)750-8400,fax(978)646-8600,orontheWebatwww.copyright.comRequests to the Publisher for permission should be addressed to the Permissions Department, John Wiley Sons, Inc, 111 River Street, Hoboken, NJ, (201)748-6011, fax(201)748-6008, or online athttp://www.wileycom/go/permissions Limit of liability /Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages For general information on our other products and services or for technical support, please contact our Customer Care Department within the united States at (800)762-2974, outside the united States a(317)572-3993, or fax(317)572-4002 Wiley publishes in a variety of print and electronic formats and by print-on-demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand. If this book refers to media such as a Cd or dVd that is not included in the versionyoupurchasedyoumaydownloadthismaterialathttp://booksupport.wiley.com.fo moreinformationaboutWileyproductsvisitwww.wiley.com Library of Congress Cataloging-in-Publication Data is available isBn 978-1-119-21960-6(Hardcover) ISBN978-1-11921967-5(ePDF) ISBN978-1-11921965-1(ePub) Cover Images: Wave C kdrkara90/Shutterstock; Abstract background C Marina Koven/Shutterstock: Fractal Realms C agsandrew/Shutterstock Printed in the united States of america 10987654321 To my mom, Ch SP Ben, and to the memor of my beloved father, Hung Yip CONTENTS P CHAPTER 1 The Basics of Algorithmic Trading CHAPTER 2 Factor Models 27 CHAPTER 3 Time-Series Analysis 59 CHAPTER 4 Artificial Intelligence Techniques 83 CHAPTER 5 Options Strategies 119 CHAPTER 6 Intraday trading and market Microstructure 159 ChAPTER 7 Bitcoins 201 CHAPTER 8 Algorithmic Trading Is good for body and soul 215 Bibliography 227 about the author 235 ndex 237 【实例截图】
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