Algorithmic Trading: Winning Strategies and Their Rationale

great book

not as per my expectations. And it too pricey...

El libro profundiza aun más que su primer libro de Trading Cuantitativo en el Trading Algorítmico planteando estrategias concretas para probarlas.

This is certainly a worthwhile book. Importantly, it is rare in its integration of insights into market dynamics with a discussion of their most appropriate accompanying statistical tools. As the first reviewer accurately described, "in effect it is an ideal primer for the quant newbie". To that end, it is important to zero in on "primer" and "newbie". Many experienced investors and traders understand the pitfalls and benefits of algorithmic trading. Unfortunately, many newbie quants seem to have little idea of the biases and unrealistic results in their approaches. This makes it difficult for experienced portfolio managers to communicate their insights about markets and securities and relate it to the mathematical and statistical framework of their quant teams. To that end, I'd expand the first reviewer's definition and say that this is a very valuable primer for highly experienced market professionals who are looking to expand their quantitative framework. Algorithmic Trading: Winning Strategies and Their Rationale makes this process easier through its unique combination of broad generalizations and specific examples. As such, it can be a point of discussion and specific statistical work on algorithmic strategies. Chen has done a great job of building a bridge for communication, testing, and discussion of trading strategies. This book provides the foundation blocks for approaching and understanding mean reversion strategies in a quantitative framework.

This book hits all the major important points and issues related to Algorithmic trading. If you don't have personal experience with this type of trading it will certainly fast track your knowledge. Second book I've read from Ernst, looking forward to reading the 3rd.

Clearly explained concepts, along with code snippets to apply the strategies straight away. The best book I have read on the topic. Highly recommended!

Excellent explanation of quant strategies, with accompanying theoretical background and matlab coding