Browse Articles by Ernest Chan, Ph.D.



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

Ernest Chan, Ph.D. - August 02, 2010
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. Read More >>

Do Factor Models Work in the Short Term?

Ernest Chan, Ph.D. - December 26, 2006
Besides pair-trading, "factor model" is the most popular workhorse of the statistical arbitrageur... Read More >>

Maximizing compounded rate of return

Ernest Chan, Ph.D. - November 16, 2006
A simple formula that few traders utilize... Read More >>

Cointegration is not the same as correlation

Ernest Chan, Ph.D. - November 13, 2006
Cointegration is the foundation upon which pairs trading ("statistical arbitrage") is built. Read More >>

Gold vs. gold-miners: another arbitrage opportunity?

Ernest Chan, Ph.D. - November 08, 2006
GLD , GDX
Recently, there has been mounting interest in buying gold... Read More >>

How much leverage should you use?

Ernest Chan, Ph.D. - November 06, 2006
Many hedge fund disasters come not from making the wrong bets, but from making too big a bet by overleveraging... Read More >>

An arbitrage trade between energy stocks and futures

Ernest Chan, Ph.D. - November 03, 2006
XLE , USO
With a lesson costing $6 billion, Amaranth has taught us an, albeit disastrous, arbitrage trading technique in energy futures... Read More >>

A 'Highly Improbable' event?

Ernest Chan, Ph.D. - November 01, 2006
LONG
A historical analysis of the natural gas spread trade that bought down Amaranth... Read More >>