Ernest P. Chan Books
Ernest P. Chan, PhD, is a quantitative trader and consultant specializing in the development and implementation of statistical trading strategies.
Known for: Quantitative Trading: How to Build Your Own Algorithmic Trading Business, Machine Trading: Deploying Computer Algorithms to Conquer the Markets
Books by Ernest P. Chan
Quantitative Trading: How to Build Your Own Algorithmic Trading Business
What if a small, disciplined trader could compete with large financial institutions using logic, data, and automation rather than intuition alone? In Quantitative Trading, Ernest P. Chan shows that al...
Machine Trading: Deploying Computer Algorithms to Conquer the Markets
Machine Trading is a comprehensive guide to algorithmic trading strategies, focusing on how to design, test, and implement automated systems for financial markets. Ernest P. Chan explains quantitative...
Key Insights from Ernest P. Chan
Systematic Rules Beat Emotional Decision Making
The most expensive mistakes in trading are often not analytical errors but emotional ones. Fear causes traders to exit too early, greed tempts them to overtrade, and hope keeps them in losing positions longer than logic would allow. Chan’s central premise is that a quantitative strategy replaces imp...
From Quantitative Trading: How to Build Your Own Algorithmic Trading Business
A Trading Edge Must Be Testable
A trading idea is not an edge until it survives contact with data. Chan emphasizes that many market beliefs sound plausible but collapse when tested over enough observations. The discipline of quantitative trading is to treat every hypothesis with skepticism. If a pattern cannot be measured, it cann...
From Quantitative Trading: How to Build Your Own Algorithmic Trading Business
Data Quality Determines Strategy Quality
Bad data creates good-looking illusions. One of Chan’s most practical lessons is that quantitative trading depends as much on data integrity as on mathematical skill. A sophisticated model built on incomplete, misaligned, or biased data will produce misleading conclusions, often with dangerous confi...
From Quantitative Trading: How to Build Your Own Algorithmic Trading Business
Backtesting Is Necessary but Never Sufficient
A beautiful backtest can be a dangerous seduction. Chan repeatedly warns that historical simulation is essential, but it is not proof that a strategy will succeed in live markets. Backtests show what would have happened under specific assumptions; they do not guarantee what will happen when uncertai...
From Quantitative Trading: How to Build Your Own Algorithmic Trading Business
Risk Management Keeps Traders in the Game
In trading, survival is a competitive advantage. Chan makes clear that even a strategy with positive expectancy can fail if position sizing, leverage, and drawdown control are neglected. Many traders focus obsessively on entries and exits while underestimating the mathematics of ruin. A profitable m...
From Quantitative Trading: How to Build Your Own Algorithmic Trading Business
Execution Costs Can Destroy Profitability
A strategy that works on paper may fail in the market for one simple reason: trading is not free. Chan emphasizes that commissions, bid-ask spreads, slippage, borrow fees, and market impact are not minor details but core determinants of profitability. Many novice traders discover too late that their...
From Quantitative Trading: How to Build Your Own Algorithmic Trading Business
About Ernest P. Chan
Ernest P. Chan, PhD, is a quantitative trader and consultant specializing in the development and implementation of statistical trading strategies. He has worked with major financial institutions including Morgan Stanley and Credit Suisse, and is the founder of QTS Capital Management, LLC.
Frequently Asked Questions
Ernest P. Chan, PhD, is a quantitative trader and consultant specializing in the development and implementation of statistical trading strategies.
Read Ernest P. Chan's books in 15 minutes
Get AI-powered summaries with key insights from 2 books by Ernest P. Chan.