Quantitative trading strategies using Python : technical analysis, statistical testing, and machine learning /

"Build and implement trading strategies using Python. This book will introduce you to the fundamental concepts of quantitative trading and shows how to use Python and popular libraries to build trading models and strategies from scratch. It covers practical trading strategies coupled with step-...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Liu, Peng (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Berkeley, CA] : Apress, [2023]
Temas:
Electronic trading of securities.
Python (Computer program language)
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Intro
  • Table of Contents
  • About the Author
  • About the Technical Reviewer
  • Chapter 1: Quantitative Trading: An Introduction
  • Overview of Quantitative Trading
  • Model Development Workflow
  • Institutional Algorithmic Trading
  • Being a Quant Trader
  • Major Asset Classes and Derivatives
  • Grouping Tradable Assets
  • Common Trading Avenues and Steps
  • Market Structures
  • Major Types of Buy-Side Stock Investors
  • Market Making
  • Scalping
  • Portfolio Rebalancing
  • Getting Started with Financial Data Analysis
  • Summarizing Stock Prices
  • Downloading Stock Price Data
  • Visualizing Stock Price Data
  • Summary
  • Exercises
  • Chapter 2: Electronic Market
  • Introducing Electronic Market
  • Electronic Order
  • Proprietary and Agency Trading
  • Order Matching Systems
  • Market Order
  • Limit Order
  • Limit Order Book
  • Display vs. Non-display Orders
  • Stop Order
  • Stop-Limit Order
  • Pegged Order
  • Trailing Stop Order
  • Market If Touched Order
  • Summarizing Major Types of Orders
  • More Order Types: Limit and Cancelation
  • Price Impact
  • Order Flow
  • Working with LOB Data
  • Understanding Label Distribution
  • Understanding Price-Volume Data
  • Visualizing Price Movement
  • Summary
  • Exercises
  • Chapter 3: Forward and Futures Contracts
  • Introducing Forward and Futures Contracts
  • Parameters of a Futures Contract
  • Hedging and Speculation
  • Obligations at Maturity
  • Leverage in a Futures Contract
  • Clearing House
  • Mark-to-Market
  • Pricing Forward Contract
  • Pricing Futures Contract
  • Contango and Backwardation
  • Working with Futures Data
  • Adding Technical Indicators
  • Summary
  • Exercises
  • Chapter 4: Understanding Risk and Return
  • Risk and Return Trade-Off
  • Analyzing Returns
  • Working with Dummy Returns
  • The 1+R Format
  • The Terminal Return
  • Stock Return with Dividends
  • Multiperiod Return
  • Annualizing Returns
  • Calculating Single-Period Returns from Price Data
  • Calculating Two-Period Terminal Return
  • Calculating Annualized Returns
  • Analyzing Risk
  • Introducing Variance and Standard Deviation
  • Annualizing Volatility
  • Combining Risk and Return via the Sharpe Ratio
  • Working with Stock Price Data
  • Calculating the Mean, Variance, and Standard Deviation
  • Calculating the Annualized Volatility
  • Calculating the Annualized Returns
  • Calculating the Sharpe Ratio
  • Summary
  • Exercises
  • Chapter 5: Trend-Following Strategy
  • Working with Log Returns
  • Analyzing Stock Prices Using Log Returns
  • Introducing Trend Trading
  • Understanding Technical Indicators
  • Introducing Moving Averages
  • Delving into Simple Moving Averages
  • Delving into Exponential Moving Averages
  • Implementing the Trend-Following Strategy
  • Summary
  • Exercises
  • Chapter 6: Momentum Trading Strategy
  • Introducing Momentum Trading
  • Diving Deeper into Momentum Trading
  • Contrasting with the Trend-Following Strategy
  • Observing the Role of Lookback Windows
  • More on Trend Following
  • Implementing the Momentum Trading Strategy

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