Quantitative trading is something I know almost nothing about, but is a topic that I find interesting. Mixing computers, math and some luck to automate trading strategies just sounds fun.
There are a few things to like about this book. Ernie’s writing style is very no-nonsense. Every chapter has a logical flow to it, and he is crystal clear about the material he is introducing.
The other part I really like is the practical examples. Theory is introduced only as a way of getting to a measurable outcome. Examples are provided in both Excel and Matlab, and could easily be extended to other automation approaches.
Ernie also covers a the wider business aspects of getting setup as an independent quant, such as the trade-offs between retail and proprietary accounts, risk management, finding, tuning and backtesting trading strategies.
At each point, references are made to further material on each topic, such as books, research papers, online articles and implementations. I certainly felt that I had enough knowledge to go about setting up a simple quantitative trading business.
Even though I do not intend to actually set up as a trader, I found it very informative to understand the industry better. It is something I may come back to in a few years.