作者：ErnieChan
出版社：Wiley
副标题：WinningStrategiesandTheirRationale
出版年：2013-5-28
页数：224
定价：USD75.00
装帧：Hardcover
ISBN：9781118460146
内容简介
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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, CFA, CAIA, FSA, Managing Director, Manager Selection & Portfolio Construction, 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 level of detail. His discussions of how regime changes affect strategies, and of risk management, are invaluable bonuses." (Roger Hunter, Mathematician and Algorithmic Trader).
评论 ······
还不错啊。写的挺认真的。不能指望读书就能找到秘籍。
始终没有读最后两章，但前面的部分已经很好了//基本把前一大半的代码及思路过了一遍，都是些simple but essential的内容。但作者关于weight updating的做法有问题，实际上我们组合都是daily updated，他那种静态算法和实际结果有偏差的//基本看过第一章就知道这书的质量如何了
必读之一
To the point, informative, illustrative and easy to read.
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