Algorithmic trading and Direct Market Access (DMA) are important tools helping both buy and sell-side traders to achieve best execution. This book starts from the ground up to provide detailed explanations of both these techniques: - An introduction to the different types of execution is followed by a review of market microstructure theory. Throughout the book examples from empirical studies bridge the gap between the theory and practice of trading. - Orders are the fundamental building blocks for any strategy. Market, limit, stop, hidden, iceberg, peg, routed and immediate-or-cancel orders are all described with illustrated examples. - Trading algorithms are explained and compared using charts to show potential trading patterns. TWAP, VWAP, Percent of Volume, Minimal Impact, Implementation Shortfall, Adaptive Shortfall, Market On Close and Pairs trading algorithms are all covered, together with common variations. - Transaction costs can have a significant effect on investment returns. An in-depth example shows how these may be broken down into constituents such as market impact, timing risk, spread and opportunity cost and other fees. - Coverage includes all the major asset classes, from equities to fixed income, foreign exchange and derivatives. Detailed overviews for each of the world's major markets are provided in the appendices. - Order placement and execution tactics are covered in more detail, as well as potential enhancements (such as short-term forecasts), for those interested in the specifics of implementing these strategies. - Cutting edge applications such as portfolio and multi-asset trading are also considered, as are handling news and data mining/artificial intelligence.

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).

以光速旅行，决胜于分秒之间 揭开量化投资的黑匣子，洞悉机构投资者的秘诀 量化投资方法正越来越受到广大的机构投资投资者的关注，其代表者吉姆·西蒙斯在股市下行的2008年中将25亿美元的收益收入囊中。高频交易作为量化投资的重要方法，也引起了海内外投资界的广泛兴趣。据不完全统计，2008年，采用传统低频交易的投资者有70%处于亏损，而高频交易基金经理几乎都在当年实现了盈利。 那么究竟何为高频交易？高频交易背后的原理是什么？量化投资者又是怎样利用这一工具实现惊人的收益呢？ 本书作者站在专业的高度，用平实的语言和丰富的图表，带我们走进量化投资的黑匣子，向我们展示了这台复杂的“金融仪器”是如何运作的。书中的内容涵盖了高频交易的方方面面——从形成想法并开发交易系统，到投入资金并进行表现评估——这些详实的信息将让你在如今风云诡谲的市场上更具竞争优势。

By some estimates, quantitative (or algorithmic) trading now accounts for over one-third of trading volume in the United States. While institutional traders continue to implement this highly effective approach, many independent traders—with limited resources and less computing power—have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, author Dr. Ernest Chan, a respected independent trader and consultant, will show you how. Whether you're an independent "retail" trader looking to start your own quantitative trading business or an individual who aspires to work as a quantitative trader at a major financial institution, this practical guide contains the information you need to succeed. Organized around the steps you should take to start trading quantitatively, this book skillfully addresses how to: * Find a viable trading strategy that you're both comfortable with and confident in * Backtest your strategy—with MATLAB®, Excel, and other platforms—to ensure good historical performance * Build and implement an automated trading system to execute your strategy * Scale up or wind down your strategies depending on their real-world profitability * Manage the money and risks involved in holding positions generated by your strategy * Incorporate advanced concepts that most professionals use into your everyday trading activities * And much more While Dr. Chan takes the time to outline the essential aspects of turning quantitative trading strategies into profits, he doesn't get into overly theoretical or sophisticated theories. Instead, he highlights the simple tools and techniques you can use to gain a much-needed edge over today's institutional traders. And for those who want to keep up with the latest news, ideas, and trends in quantitative trading, you're welcome to visit Dr. Chan's blog, epchan.blogspot.com, as well as his premium content Web site, epchan.com/subscriptions, which you'll have free access to with purchase of this book. As an independent trader, you're free from the con-straints found in today's institutional environment—and as long as you adhere to the discipline of quantitative trading, you can achieve significant returns. With this reliable resource as your guide, you'll quickly discover what it takes to make it in such a dynamic and demanding field.

《史丹•温斯坦称傲牛熊市的秘密》是一部不可思议的著作。是有史以来最棒的交易手册。一个人要经历多少次牛熊市，才能被称为“华尔街神童”？ 一个人要看过多少个市场的起伏变幻，才能准确预测股市行情？ 一个人要有什么样的智慧，才能授人以渔？ 华尔街首席交易大师，启蒙全球无数投资者的阶段分析法的创始人——史丹•温斯坦与您分享其纵横华尔街数十载的宝贵经验。