rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Inside the black box
    sub title: a simple guide to quantitative and high frequency trading
  name:
    name part: Narang, Rishi K
    name part: 1974-
    role:
      role term: creator
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: nju
    date issued: 2013
    edition: Second edition.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource.
  abstract: New edition of book that demystifies quant and algo trading In this updated edition of his bestselling book, Rishi K Narang offers in a straightforward, nontechnical style-supplemented by real-world examples and informative anecdotes-a reliable resource takes you on a detailed tour through the black box. He skillfully sheds light upon the work that quants do, lifting the veil of mystery around quantitative trading and allowing anyone interested in doing so to understand quants and their strategies. This new edition includes information on High Frequency Trading. Offers an updat.
  table of contents: Inside the Black Box; Contents; Preface to the Second Edition; Acknowledgments; Part One The Quant Universe; Chapter 1 Why Does Quant Trading Matter?; The Benefit of Deep Thought; The Measurement and Mismeasurement of Risk; Disciplined Implementation; Summary; Notes; Chapter 2 An Introduction to Quantitative Trading; What Is a Quant?; What Is the Typical Structure of a Quantitative Trading System?; Summary; Notes; Part Two Inside the Black Box; Chapter 3 Alpha Models: How Quants Make Money; Types of Alph a Models: Theory-Driven and Data-Driven; Theory-Driven Alpha Models.
  table of contents: Strategies Utilizing Price-Related DataStrategies Utilizing Fundamental Data; Data-Driven Alph a Models; Implementing the Strategies; Forecast Target; Time Horizon; Bet Structure; Investment Universe; Model Definition; Conditioning Variables; Run Frequency; An Explosion of Diversity; Blending Alpha Models; Summary; Notes; Chapter 4 Risk Models; Limiting the Amount of Risk; Limiting by Constraint or Penalty; Measuring the Amount of Risk; Where Limits Can Be Applied; Limiting the Types of Risk; Theory-Driven Risk Models; Empirical Risk Models; How Quants Choose a Risk Model; Summary; Notes.
  table of contents: Chapter 5 Transaction Cost ModelsDefining Transaction Costs; Commissions and Fees; Slippage; Market Impact; Types of Transaction Cost Models; Flat Transaction Cost Models; Linear Transaction Cost Models; Piecewise-Linear Transaction Cost Models; Quadratic Transaction Cost Models; Summary; Note; Chapter 6 Portfolio Construction Models; Rule-Based Portfolio Construction Models; Equal Position Weighting; Equal Risk Weighting; Alpha-Driven Weighting; Summary of Rule-Based Portfolio Construction Models; Portfolio Optimizers; Inputs to Optimization; Optimization Techniques.
  table of contents: Final Thoughts on OptimizationOutput of Portfolio Construction Models; How Quants Choose a Portfolio Construction Model; Summary; Notes; Chapter 7 Execution; Order Execution Algorithms; Aggressive versus Passive; Other Order Types; Large Order versus Small Order; Where to Send an Order; Trading Infrastructure; Summary; Notes; Chapter 8 Data; The Importance of Data; Types of Data; Sources of Data; Cleaning Data; Storing Data; Summary; Notes; Chapter 9 Research; Blueprint for Research: The Scientific Method; Idea Generation; Testing; In-Sample Testing, a.k.a. Training.
  table of contents: What Constitutes a "Good" Model?Overfitting; Out-of-Sample Testing; Assumptions of Testing; Summary; Note; Part Three A Practical Guide for Investors in Quantitative Strategies; Chapter 10 Risks Inherent to Quant Strategies; Model Risk; Inapplicability of Modeling; Model Misspecification; Implementation Errors; Regime Change Risk; Exogenous Shock Risk; Contagion, or Common Investor, Risk; How Quants Monitor Risk; Summary; Notes; Chapter 11 Criticisms of Quant Trading; Trading Is an Art, Not a Science; Quants Cause More Market Volatility by Underestimating Risk; The Market Turmoil of 2008.
  note: Rishi K. Narang.
  note: Includes bibliographical references and index.
  subject:
    topic: Portfolio management
    topic: Mathematical models
  subject:
    topic: Investment analysis
    topic: Mathematical models
  subject:
    topic: Stocks
    topic: Mathematical models
  subject:
    topic: Portfolio management
    topic: Mathematical models
  subject:
    topic: Investment analysis
    topic: Mathematical models
  subject:
    topic: Stocks
    topic: Mathematical models
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Investments & Securities
    topic: General
  subject:
    topic: Investment analysis
    topic: Mathematical models
  subject:
    topic: Portfolio management
    topic: Mathematical models
  subject:
    topic: Stocks
    topic: Mathematical models
  subject:
    topic: Portfolio management / Mathematical models
  subject:
    topic: Investment analysis / Mathematical models
  subject:
    topic: Stocks / Mathematical models
  classification: HG4529.5
  classification: 332.64/2
  related item:
    title info:
      title: Inside the black box
    name:
      name part: Narang, Rishi K, 1974-
    origin info:
      publisher: Hoboken, New Jersey : John Wiley & Sons, Inc., [2013]
      edition: Second edition.
    identifier: (DLC) 2012047248
  related item:
    title info:
      title: Wiley finance series
  identifier: 9781118416990
  identifier: 1118416996
  identifier: 9781118420591
  identifier: 1118420594
  identifier: 9781118587973
  identifier: 1118587979
  identifier: 9781118662717
  identifier: 1118662717
  identifier: 1118362411
  identifier: 9781118362419
  identifier: 2013002485
  identifier: EB00063554 Recorded Books
  identifier: CL0500000289 Safari Books Online
  identifier: B1569CE7-C0C6-4B05-BC65-F9D3253F7564 OverDrive, Inc.
  identifier: https://doi.org/10.1002/9781118662717
  record info:
    record content source: DLC
    record creation date: 130118
    record change date: 20170124070200.1
    record identifier: ocn824686639
    language of cataloging:
      language term: eng