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|a UAMI
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1 |
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|a Tulchinsky, Igor.
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|a Finding Alphas :
|b a Quantitative Approach to Building Trading Strategies.
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| 250 |
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|a 2nd ed.
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| 260 |
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|a Newark :
|b John Wiley & Sons, Incorporated,
|c 2019.
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| 300 |
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|a 1 online resource (323 pages)
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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|a online resource
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|a Print version record.
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|a Cover; Title Page; Copyright; Contents; Preface; Preface (to the Original Edition); Acknowledgments; About the WebSim Website; PART I Introduction; 1 Introduction to Alpha Design; Designing Alphas Based on Data; Defining Quality in Alphas; Alpha Construction, Step By Step; Conclusion; 2 Perspectives on Alpha Research; PHDS on the Street; A New Industry; Statistical Arbitrage; Existence of Alphas; Implementation; Evaluation; Looking Back; The Opportunity; 3 Cutting Losses; How to Apply the Principle of the Unrule to Cutting Losses; Summary; Part II Design and Evaluation; 4 Alpha Design
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| 505 |
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|a Data Inputs to an AlphaAlpha Universe; Alpha Prediction Frequency; Value of an Alpha; Practical Alpha Evaluation; Future Performance; Conclusion; 5 How to Develop an Alpha: A Case Study; Conclusion; 6 Data and Alpha Design; How we find Data for Alphas; Data Validation; Understand the Data Before Using it; Embrace the Big Data ERA; Conclusion; 7 Turnover; Alpha Horizon; The Cost of a Trade; The Crossing Effect; Controlling Turnover; Examples; Tuning the Turnover; 8 Alpha Correlation; Alpha PnL Correlation; Alpha Value Correlation; Correlation with Alpha Pool; Conclusion
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| 505 |
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|a 9 Backtest -- Signal or Overfitting?Introduction; Statistical Arbitrage; Backtesting; Overfitting; How to Avoid Overfitting; Conclusion; 10 Controlling Biases; Introduction; Categories of Bias; Systematic Biases; Behavioral Biases; Conclusion; 11 The Triple-Axis Plan; The Tap; Implementing TAP; Conclusion; 12 Techniques for Improving the Robustness of Alphas; Introduction; Methods for Robustness Improvement; Conclusion; 13 Alpha and Risk Factors; 14 Risk and Drawdowns; Estimating Risks; Drawdowns; Controlling Risks; Conclusion; 15 Alphas from Automated Search; Efficiency and Scale
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|a Input Data Should Not Come from Too Many CategoriesInput Data and Unitless Ratios; Unnecessary Search Space; Intermediate Variables; Seas of Alphas, Not Single Alphas; Simple Alphas; Longer Backtesting Periods; Alpha Batch, Not Single Alpha Performance; Diversify the Alpha Batch; Sensitivity Tests and Significance Tests; Manual Alpha Search; Conclusion; 16 Machine Learning in Alpha Research; Introduction; Machine Learning Methods; Conclusion; 17 Thinking in Algorithms; Digital Filters; Optimization and Loss Function Design; The Bias-Variance Trade-Off; Dimensionality Reduction
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|a Shrinkage EstimatorsParameter Optimization; Conclusion; Part III Extended Topics; 18 Equity Price and Volume; Introduction; Seeking Profits Through Price and Volume; Conclusion; 19 Financial Statement Analysis; Basics; The Balance Sheet; The Income Statement; The Cash Flow Statement; Growth; Corporate Governance; Negative Factors; Special Considerations; Factors as Screens; Converting Factors to Alphas; Conclusion; 20 Fundamental Analysis and Alpha Research; Financial Statements; Financial Statement Analysis; Conclusion; 21 Introduction to Momentum Alphas; Conclusion
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| 500 |
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|a 22 The Impact of News and Social Media on Stock Returns
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| 590 |
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|a ProQuest Ebook Central
|b Ebook Central Academic Complete
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| 650 |
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|a Investment analysis.
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| 650 |
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|a Stock price forecasting.
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| 650 |
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|a Securities
|x Prices
|x Forecasting.
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| 650 |
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|a Analyse financière.
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| 650 |
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6 |
|a Actions (Titres de société)
|x Prix
|x Prévision.
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| 650 |
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|a Valeurs mobilières
|x Prix
|x Prévision.
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| 650 |
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|a Investment analysis
|2 fast
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| 650 |
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7 |
|a Stock price forecasting
|2 fast
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| 758 |
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|i has work:
|a Finding alphas (Text)
|1 https://id.oclc.org/worldcat/entity/E39PCFXXT4qf4DtjJdFhjkmR4y
|4 https://id.oclc.org/worldcat/ontology/hasWork
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| 776 |
0 |
8 |
|i Print version:
|a Tulchinsky, Igor.
|t Finding Alphas : A Quantitative Approach to Building Trading Strategies.
|d Newark : John Wiley & Sons, Incorporated, ©2019
|z 9781119571216
|
| 856 |
4 |
0 |
|u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=5915611
|z Texto completo
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|a Askews and Holts Library Services
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|n AH36298257
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