Lien ebook : https://bibliotheque.univ-catholille.fr/Default/doc/nlebk/30...

eISBN : 9781119821212

Sommaire : Introduction

1 Market Data
1.1 Tick and bar data
1.2 Corporate actions and adjustment factor
1.3 Linear vs log returns

2 Forecasting
2.1 Data for forecasts
2.2 Technical forecasts
2.3 Basic concepts of statistical learning
2.4 Machine learning
2.5 Dynamical modeling
2.6 Alternative reality
2.7 Timeliness-significance tradeoff
2.8 Grouping
2.9 Conditioning
2.10 Pairwise predictors
2.11 Forecast for securities from their linear combinations
2.12 Forecast research vs simulation

3 Forecast Combining
3.1 Correlation and diversification
3.2 Portfolio combining
3.3 Mean-variance combination of forecasts
3.4 Combining features vs combining forecasts
3.5 Dimensionality reduction
3.6 Synthetic security view
3.7 Collaborative filtering
3.8 Alpha pool management

4 Risk
4.1 Value at risk and expected shortfall
4.2 Factor models
4.3 Types of risk factors
4.4 Return and risk decomposition
4.5 Weighted PCA
4.6 PCA transformation
4.7 Crowding and liquidation
4.8 Liquidity risk and short squeeze
4.9 Forecast uncertainty and alpha risk

5 Trading Costs
5.1 Slippage
5.2 Impact
5.3 Cost of carry

6 Portfolio Construction
6.1 Hedged allocation
6.2 Single-period vs multi-period mean-variance utility
6.3 Single-name multi-period optimization
6.4 Multi-period portfolio optimization
6.5 Portfolio capacity
6.6 Portfolio optimization with forecast revision
6.7 Portfolio optimization with forecast uncertainty
6.8 Kelly criterion and optimal leverage
6.9 Intraday optimization and execution

7 Simulation
7.1 Simulation vs production
7.2 Simulation and overfitting
7.3 Research and simulation efficiency
7.4 Paper trading
7.5 Bugs
Afterword: Economic and Social Aspects of Quant Trading

Appendix
A1 Secmaster mappings
A2 Woodbury matrix identities
A3 Toeplitz matrix

Index
Questions index
Quotes index
Stories index

Langue : Anglais

Lieu d'édition : TORONTO

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque