Algorithmic Trading: Winning Strategies and Their Rationale
Ernest P. Chan, QTS Capital Management, LLC
John Wiley & Sons, Inc., 2013
ISBN: 978-1-118-46014-6;
Language: English
Written for undergraduate and graduate students, Algorithmic Trading provides a practical guide to algorithmic trading strategies that can be readily implemented by both retail and institutional traders. Topics include backtesting, mean reversion trading, momentum trading, risk management, and algorithmic trading.
MATLAB, Econometrics Toolbox, and Statistics and Machine Learning Toolbox are used to solve numerous examples in the book.
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A supplemental set of MATLAB code files is available for download on the author's site (sign in required).
