Ernie’s third and latest book Machine Trading: Deploying Computer Algorithms To Conquer the Markets covers a variety of advanced quantitative trading and investment techniques from state space models to machine learning, applicable to a variety of instruments from ETF’s to options. Readers will find most of the materials quite accessible to anyone who has some experience in a quantitative field.

This book can be treated as a continuation of my first two books, with coverage on topics that I have not discussed
before, but it can also be read independently. Software codes for all the described strategies can be found on The userid and password can be found in Box 1.1 of the book.

Praise for Machine Trading:

“It is easy to make simple ideas complex. It is far more difficult to make complex ideas seem simple. In this book, Ernie has done exactly that. I cannot think of any trader who would not benefit from reading Machine Trading”   – Euan Sinclair, partner at Talton Capital Management and author of “Volatility Trading”.

Available for order now at


Ernie’s second book  Algorithmic Trading: Winning Strategies and Their Rationale is an in-depth study of two types of strategies: mean reverting and momentum. It delves into the reasons certain markets display either mean reversion or momentum, and describes the common techniques that can exploit these profit opportunities. Numerous strategy examples are drawn from stocks, ETFs, futures, and currencies.

Praise for Algorithmic Trading:

“Algorithmic Trading is an insightful book on quantitative trading written by a seasoned practitioner. What sets this book apart from many others in the space is the emphasis on real examples as opposed to just theory. Concepts are not only described, they are brought to life with actual trading strategies, which give the reader insight into how and why each strategy was developed, how it was implemented, and even how it was coded. This book is a valuable resource for anyone looking to create their own systematic trading strategies and those involved in manager selection, where the knowledge contained in this book will lead to a more informed and nuanced conversation with managers.” – Daren Smith, Managing Director, Manager Selection & Portfolio Construction, University of Toronto Asset Management.

Readers of Algorithmic Trading: Winning Strategies and Their Rationale can find the password to the Matlab codes for this book on page 199.


Dr. Chan’s first book Quantitative Trading is addressed to traders who are new to the field. It covers basics such as how to find and evaluate trading strategies, the practice and common pitfalls of backtesting, example strategies such as mean reversion of ETF pairs and seasonal futures trading, and optimal leverage and asset allocation through Kelly’s formula.

Praise for Quantitative Trading:

As technology has evolved, so has the ease in developing trading strategies. Ernest Chan does all traders, current and prospective, a real service by succinctly outlining the tremendous benefits, but also some of the pitfalls, in utilizing many of the recently implemented quantitative trading techniques.” – Peter Borish, Chairman and CEO, Computer Trading Corporation, founding partner of Tudor Investment Corporation.

Readers of  Quantitative Trading can find the password to the Matlab codes associated with this book and other premium content in the last paragraph of page 34.