Intro
Table of Contents
About the Author
About the Technical Reviewer
Chapter 1: Quantitative Trading: An Introduction
Overview of Quantitative Trading
Model Development Workflow
Institutional Algorithmic Trading
Being a Quant Trader
Major Asset Classes and Derivatives
Grouping Tradable Assets
Common Trading Avenues and Steps
Market Structures
Major Types of Buy-Side Stock Investors
Market Making
Scalping
Portfolio Rebalancing
Getting Started with Financial Data Analysis
Summarizing Stock Prices
Downloading Stock Price Data

Visualizing Stock Price Data
Summary
Exercises
Chapter 2: Electronic Market
Introducing Electronic Market
Electronic Order
Proprietary and Agency Trading
Order Matching Systems
Market Order
Limit Order
Limit Order Book
Display vs. Non-display Orders
Stop Order
Stop-Limit Order
Pegged Order
Trailing Stop Order
Market If Touched Order
Summarizing Major Types of Orders
More Order Types: Limit and Cancelation
Price Impact
Order Flow
Working with LOB Data
Understanding Label Distribution
Understanding Price-Volume Data

Visualizing Price Movement
Summary
Exercises
Chapter 3: Forward and Futures Contracts
Introducing Forward and Futures Contracts
Parameters of a Futures Contract
Hedging and Speculation
Obligations at Maturity
Leverage in a Futures Contract
Clearing House
Mark-to-Market
Pricing Forward Contract
Pricing Futures Contract
Contango and Backwardation
Working with Futures Data
Adding Technical Indicators
Summary
Exercises
Chapter 4: Understanding Risk and Return
Risk and Return Trade-Off
Analyzing Returns
Working with Dummy Returns

The 1+R Format
The Terminal Return
Stock Return with Dividends
Multiperiod Return
Annualizing Returns
Calculating Single-Period Returns from Price Data
Calculating Two-Period Terminal Return
Calculating Annualized Returns
Analyzing Risk
Introducing Variance and Standard Deviation
Annualizing Volatility
Combining Risk and Return via the Sharpe Ratio
Working with Stock Price Data
Calculating the Mean, Variance, and Standard Deviation
Calculating the Annualized Volatility
Calculating the Annualized Returns
Calculating the Sharpe Ratio
Summary

Exercises
Chapter 5: Trend-Following Strategy
Working with Log Returns
Analyzing Stock Prices Using Log Returns
Introducing Trend Trading
Understanding Technical Indicators
Introducing Moving Averages
Delving into Simple Moving Averages
Delving into Exponential Moving Averages
Implementing the Trend-Following Strategy
Summary
Exercises
Chapter 6: Momentum Trading Strategy
Introducing Momentum Trading
Diving Deeper into Momentum Trading
Contrasting with the Trend-Following Strategy
Observing the Role of Lookback Windows
More on Trend Following

Implementing the Momentum Trading Strategy