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Business Management Book Store > Business Management books beginning with Q
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Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading) |
Author: Ernie Chan
Published: 2008-11-17 |
List price: $60.00
Our price: $37.80
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As of: September 10th, 2010 06:50:02 AM
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Customer comments on this selection.
 Great Intro to Stat Arb If You Like Matlab
I think this is a great book and being an engineer with 10+ years of Matlab I thought the code was very helpful. I can't imagine it being very helpful if you don't know Matlab or another matrix language. The book is a good introduction to quantitative trading for people unfamiliar with the subject. The author is also very active and keeps a blog and provides new material to people have purchased the book. The book has a lot of great refrences that I have turned to get more in-depth knowledge as well. I would buy this book again.
 Basic Narrative
offers Basic introduction on how to do your own trading (setting up accounts ..), Dull and Basic.
No math, No analysis, Just narrative With Web and Brokerage references.
Too pricey..
Completely agree with a previous customer review that the book is priced improperly. This is an ok read - very little specific advise on any front and too verbose for such a short book. Should be sold for 10bucks max.
Conflicted
I have mixed feelings about this book, but overall, it was underwhelming. First, it really should be emphasized that this is targeted at beginners. Anyone with even a small amount of portfolio management experience will probably be familiar with the techniques discussed. Second, there is a strong emphasis on leverage and Kelly sizing (although he does suggest scaling back, eg half Kelly). Neither of these two statements are negative by themselves, but the combination seems a little dangerous. The type of person who would benefit from the information he presents probably shouldn't be taking large leveraged bets. Admittedly there are plenty of exceptions to that statement, but I think it holds in general. A good first step? Perhaps. A How-to guide for building a trading business? No way.
There doesn't seem to have been much original research conducted for the purposes of the book. He basically talks about the programs, brokerages, etc. he has used in the past and gives his opinions on a few. This is valuable to some extent, but in a book targeted at starting up a new business, I would have expected him to survey the landscape a little more. Just as an example, his code is in Matlab which he admits is probably outside the price range for many startups. Why not show the code in R? Or one of the cheaper/free Matlab clones he mentions?
There were a few technical areas I thought he breezed over too nonchalantly (assuming strategy return independence in the Kelly formula for example) that could be dangerous, but as the book is targeted at beginners, I won't hit him for those.
As a final point, the book is completely overpriced. Large font + small book + not much more than 150 pages (many of which are either code or modified entries from his blog) = where's the beef? Again, that's OK, but not in the context of a (ridiculous) $60 sticker price. Even the ~$40 at Amazon is about 2x what I believe is justified.
The Best and Most Practical Trading Book I Have Read
This is the first trading book which has pleasantly surprised me. The author does not waste time speaking to "trading psychology" or other vague concepts. He seeks to outline the issues a serious, individual trader faces -- from gathering data, to selecting trading strategies, to backtesting, to choosing a good trading platform. Plenty (prob. a bit too much) Matlab code is offered, to illustrate how to translate strategies into actual backtests. The advantage this text has, in my opinion, is that everything the author mentions is supported by specific recommendations for pursuing further. E.g., he lists specific web sites for market data and trading ideas. My only real complaint is that I would like to see a few of the topics expanded.
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