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Home » Archives for Ernest Chan, Ph.D.

Bias-Free Backtesting: The Big Saturday Interview with Trader Ernest Chan

December 24, 2009 by Ernest Chan, Ph.D.

Noted Dr. Ernest Chan has spent years applying his understanding of statistics and probability to the high-intensity world of stock and futures trading. Here he discusses the role and importance of backtesting trading systems and strategies.

Filed Under: Big Saturday Interview, Recent Tagged With: backtest, backtesting, backtests, Big Saturday Interview, Ernest Chan, famous traders, risk management and strategy, trader inteviews

Do Factor Models Work in the Short Term?

December 26, 2006 by Ernest Chan, Ph.D.

Besides pair-trading, “factor model” is the most popular workhorse of the statistical arbitrageur…

Filed Under: Commentary, Recent

Maximizing compounded rate of return

November 16, 2006 by Ernest Chan, Ph.D.

A simple formula that few traders utilize…

Filed Under: Commentary, Recent

Cointegration is not the same as correlation

November 13, 2006 by Ernest Chan, Ph.D.

Cointegration is the foundation upon which pairs trading (“statistical arbitrage”) is built.

Filed Under: Commentary, Recent

Gold vs. gold-miners: another arbitrage opportunity?

November 8, 2006 by Ernest Chan, Ph.D.

Recently, there has been mounting interest in buying gold…

Filed Under: Commentary, Recent

How much leverage should you use?

November 6, 2006 by Ernest Chan, Ph.D.

Many hedge fund disasters come not from making the wrong bets, but from making too big a bet by overleveraging…

Filed Under: Commentary, Recent

An arbitrage trade between energy stocks and futures

November 3, 2006 by Ernest Chan, Ph.D.

With a lesson costing $6 billion, Amaranth has taught us an, albeit disastrous, arbitrage trading technique in energy futures…

Filed Under: Commentary, Recent

A ‘Highly Improbable’ event?

November 1, 2006 by Ernest Chan, Ph.D.

A historical analysis of the natural gas spread trade that bought down Amaranth…

Filed Under: Commentary, Recent

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