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Quantitative trading : algorithms, analytics, data, models, optimization /
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Boca Raton :
Chapman & Hall/CRC,
2017.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Half Title; Title Page; Copyright Page; Dedication; Contents; Preface; List of Figures; List of Tables; 1 Introduction; 1.1 Evolution of trading infrastructure; 1.2 Quantitative strategies and time-scales; 1.3 Statistical arbitrage and debates about EMH; 1.4 Quantitative funds, mutual funds, hedge funds; 1.5 Data, analytics, models, optimization, algorithms; 1.6 Interdisciplinary nature of the subject and how the book can be used; 1.7 Supplements and problems; 2 Statistical Models and Methods for Quantitative Trading; 2.1 Stylized facts on stock price data.
- 2.1.1 Time series of low-frequency returns2.1.2 Discrete price changes in high-frequency data; 2.2 Brownian motion models for speculative prices; 2.3 MPT as a ""walking shoe"" down Wall Street; 2.4 Statistical underpinnings of MPT; 2.4.1 Multifactor pricing models; 2.4.2 Bayes, shrinkage, and Black-Litterman estimators; 2.4.3 Bootstrapping and the resampled frontier; 2.5 A new approach incorporating parameter uncertainty; 2.5.1 Solution of the optimization problem; 2.5.2 Computation of the optimal weight vector; 2.5.3 Bootstrap estimate of performance and NPEB.
- 2.6 From random walks to martingales that match stylized facts2.6.1 From Gaussian to Paretian random walks; 2.6.2 Random walks with optional sampling times; 2.6.3 From random walks to ARIMA, GARCH; 2.7 Neo-MPT involving martingale regression models; 2.7.1 Incorporating time series effects in NPEB; 2.7.2 Optimizing information ratios along efficient frontier; 2.7.3 An empirical study of neo-MPT; 2.8 Statistical arbitrage and strategies beyond EMH; 2.8.1 Technical rules and the statistical background; 2.8.2 Time series, momentum, and pairs trading strategies.
- 2.8.3 Contrarian strategies, behavioral finance, and investors' cognitive biases2.8.4 From value investing to global macro strategies; 2.8.5 In-sample and out-of-sample evaluation; 2.9 Supplements and problems; 3 Active Portfolio Management and Investment Strategies; 3.1 Active alpha and beta in portfolio management; 3.1.1 Sources of alpha; 3.1.2 Exotic beta beyond active alpha; 3.1.3 A new approach to active portfolio optimization; 3.2 Transaction costs, and long-short constraints; 3.2.1 Cost of transactions and its components; 3.2.2 Long-short and other portfolio constraints.
- 3.3 Multiperiod portfolio management3.3.1 The Samuelson-Merton theory; 3.3.2 Incorporating transaction costs into Merton's problem; 3.3.3 Multiperiod capital growth and volatility pumping; 3.3.4 Multiperiod mean-variance portfolio rebalancing; 3.3.5 Dynamic mean-variance portfolio optimization; 3.3.6 Dynamic portfolio selection; 3.4 Supplementary notes and comments; 3.5 Exercises; 4 Econometrics of Transactions in Electronic Platforms; 4.1 Transactions and transactions data; 4.2 Models for high-frequency data; 4.2.1 Roll's model of bid-ask bounce.