"It is easy to make simple ideas complex. It is far more difficult to make complex ideas seem simple. In this book, Ernie has done exactly that. I cannot think of any trader who would not benefit from reading Machine Trading." Euan Sinclair, Partner, Talton Capital Management; author, Volatility Trading
"As with his first two books, Ernie delves into the practical matters of automated trading in Machine Trading. He carefully explains everything from where to find quality data, to which platforms to consider, to timely and topical strategies. In the years since his last book, automation of the investment industry has accelerated, due in large part to the recent Cambrian Explosion in financial technology (FinTech). Ernie has long been teaching the hard–to–find methods of automated trading; now he is also a guide to the dizzying array of new companies, technologies, and services for automated trading. Machine Trading takes you deeper into the field with new concepts, while still delivering Ernie's signature explanation of the concrete steps of pursuing your own passion for automated trading." John Fawcett, CEO and Founder, Quantopian
"Dr. Chan has written another accessible and information–packed book for the quant–minded trader. The book starts with a clear discussion of factor models, advanced time series analysis, and Kalman filters, all of which lead into a detailed description of machine learning and artificial intelligence techniques applied to volatility trading, market microstructure, and even Bitcoins. His focus on finance in a MATLAB context is refreshing and opens the algorithmic trading domain to a whole generation of engineers and quantitative practitioners not familiar with finance but involved in numerate fields like self–driving cars and proteomics. I highly recommend it." Dr. Taha Jaffer, President, OXOBOXO Inc.; formerly Principal at The Carlyle Group
CHAPTER 1 The Basics of Algorithmic Trading 1
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
About the Author 235
ERNEST P. CHAN is the managing member of QTS Capital Management, LLC, a commodity pool operator and trading advisor since 2011. An alumnus of Morgan Stanley and Credit Suisse, he received his PhD in physics from Cornell University, and was a researcher in machine learning at IBM's T. J. Watson Research Center before joining the financial industry. He is the author of Quantitative Trading and Algorithmic Trading. Find out more about Ernie at www.epchan.com.
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