Ernie Chan's book, "Quantitative Trading: How to Build Your Own Algorithmic Trading Business ", is a good starting point. It's a nice blend of theory and pragma

Ernie Chan's book, "Quantitative Trading: How to Build Your Own Algorithmic Trading Business ", is a good starting point. It's a nice blend of theory and pragmatic practice. Chan provides example implementations in Matlab to help readers get started. http://www.amazon.com/Quantitative-Trading-Build-Algorithmic-Business/dp/0470284889 http://www.amazon.com/Quantitative-Trading-Build-Algorithmic... Chan's blog is informative as well, http://epchan.blogspot.com/ http://epchan.blogspot.com/