052: Ernie Chan – How quant strategies are created, scrutinized and introduced to the market

This week I had the great pleasure of speaking with Dr Ernest Chan, from Toronto (Canada).

While many traders in the quantitative arena will already be familiar with Ernie, here’s a brief intro…

You could say, Ernie had somewhat of an unconventional introduction to trading – he started out on a research team at IBM, using machine learning and artificial intelligence techniques, teaching computers to understand human languages – before joining a prop trading group.

Today, Ernie has upwards of 15 years applying similar techniques to the domain of finance and trading – working with multiple prop firms and hedge funds across his career. And currently, Ernie is the managing member of QTS Capital Management.

Just to top it off, Ernie has written two books ‘Quantitative Trading’ and ‘Algorithmic Trading’, and also regularly speaks at conferences.

Some of the topics we cover during this episode are; diversification, capital allocation, generating strategy ideas, back-testing and a much more.