Any good book on statistics side of system building?

Quote from richardyu301:

I am looking for such a book. I don't want to end up buying just another book telling me what MACD or RSI is. Any advice? thx.
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I read Tushar Chande's "Beyond Technical Analysis" a few years back and thought it was pretty good.

Concentrate on how he formulates and statistically tests the systems rather than whether the sample systems covered in the book still work or not.
 
Quote from nitro:

Yes.

nitro
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Thank you. In fact, I doubt anyone will disclose his/her research if it really works in the market (well, except possibly Andy Lo of MIT).
 
Quote from pepper_john:

Thank you. In fact, I doubt anyone will disclose his/her research if it really works in the market (well, except possibly Andy Lo of MIT).
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Yes, I agree. Much of the best stuff is by some academics. However, in my experience many academic research edges rarely make it to book form until that edge has been well worn.

If you want access to those edges, you have to subscribe to the academic journals imo.

nitro
 
one of the reasons might be that a paper is done in weeks, while a book takes months. i doubt book writing in computerised trading is really an interesting business perspective. how many copies do you sell from a decent quant trading book?
 
Quote from nitro:

If you want access to those edges, you have to subscribe to the academic journals imo.
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Academic journals and research papers are good (for ideas) but the real deal is knowing & throwing the useless ones and then "implementing" the best of the rest.
 
Quote from man:

one of the reasons might be that a paper is done in weeks, while a book takes months. i doubt book writing in computerised trading is really an interesting business perspective. how many copies do you sell from a decent quant trading book?
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Well, I am talking years between the book form and the research paper.

I think that most people are getting smarter about it now and subscribe to the Journals, or simply hire someone that is up on these things and with a team of programmers and traders, try to come up with new ideas.

It is no accident that places like Rentec, Citadel, etc have a team of science Phds on hand.

nitro
 
Quote from nbates:

Academic journals and research papers are good (for ideas) but the real deal is knowing & throwing the useless ones and then "implementing" the best of the rest.
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To be frank, I think that most of them are good and give good market insight, and the really good ones are obvious. But that may be personal prejiduce.

nitro
 
Quote from nitro:

Yes, I agree. Much of the best stuff is by some academics. However, in my experience many academic research edges rarely make it to book form until that edge has been well worn.

If you want access to those edges, you have to subscribe to the academic journals imo.

nitro
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Nitro, can you recommend any journals or where to find them?
 
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