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" Quantitative trading : "
Xin Guo, Tze Leung Lai, Howard Shek & Samuel Po-Shing Wong.
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BL
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| Record Number
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554348
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b382876
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| Main Entry
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Xin Guo
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| Title & Author
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Quantitative trading : : algorithms, analytics, data, models, optimization\ Xin Guo, Tze Leung Lai, Howard Shek Samuel Po-Shing Wong.
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| Publication Statement
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Boca Raton : Chapman & Hall/CRC,, 2017.
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illustrations (colour)
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| ISBN
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1498706495
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: 9781498706490
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| Contents
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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
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| Abstract
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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.
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Electronic books
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Howard Shek
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Samuel Po-Shing Wong
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T L Lai
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