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- Author: Ernie Chan (陈佳平)
The book "Algorithmic Trading: Winning Strategies and Their Rationale" is written by Ernie Chan, a senior quantitative trader and financial engineer. It provides an in-depth discussion of algorithmic trading strategies and the principles behind them. This book is unique in that it emphasizes practical examples rather than just theory, illustrating concepts through real trading strategies and detailing the development, implementation, and coding process of each strategy.
The book covers a variety of algorithmic trading strategies, including mean reversion and momentum strategies, and explains in detail the principles, testing methods, improvement methods, and problems that may be encountered in implementation of each strategy. In addition, the book emphasizes the key role of risk management in algorithmic trading, discussing various risk measurement and control methods, as well as the impact of changes in market mechanisms on strategies. This book is designed to help readers create their own systematic trading strategies and provide financial professionals with the knowledge they need to communicate more deeply with quantitative managers. It balances theory and practice and is suitable for both beginners and experienced professionals who wish to develop and implement their own trading strategies.
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