Inside the black box : a simple guide to quantitative and high frequency trading /
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...
| Κύριος συγγραφέας: | |
|---|---|
| Μορφή: | Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Hoboken, New Jersey :
John Wiley & Sons, Inc.,
[2013]
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| Έκδοση: | Second edition. |
| Σειρά: | Wiley finance series.
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| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.
- 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.
- 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.
- 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.
- 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.
