Machine Trading by Ernest P. Chan

This text is from the book Machine Trading by Ernest P. Chan, published by Wiley. The book provides an overview of algorithmic trading, covering topics from data acquisition and analysis to strategy development and risk management. It explores various quantitative techniques, including time-series analysis, factor models, and machine learning, and demonstrates their application to different asset classes like stocks, futures, options, and even Bitcoin. The text also discusses practical aspects of trading infrastructure and market microstructure, along with considerations for managing one's own trading business and potentially handling other people's money. Ultimately, it offers insights into the intellectual challenges and potential rewards of algorithmic trading, while also acknowledging its inherent risks and the ever-evolving nature of profitable strategies.