Inside the Black Box A Simple Guide to Quantitative and High Frequency Trading

ISBN-10: 0470432063

ISBN-13: 9780470432068

Edition: 2009

Authors: Rishi K. Narang

List price: $33.99
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Book details

List price: $33.99
Copyright year: 2009
Publisher: John Wiley & Sons, Limited
Publication date: 9/18/2009
Binding: Hardcover
Pages: 240
Size: 6.25" wide x 9.50" long x 1.00" tall
Weight: 0.924

Foreword
Preface
Acknowledgments
The Quant Universe.
Why Does Quant Trading Matter?
The Benefit of Deep Thought
The Measurement and Mismeasurement of Risk
Disciplined Implementation
Summary
An Introduction to Quantitative Trading
What is a Quant?
What is the Typical Structure of a Quantitative Trading System?
Summary
Inside the Black Box.
How Do Quants Make Money?
Answer: Alpha Models
Types of Alpha Models: Theory-driven and Data-driven
Theory-Driven Alpha Models
Data-Driven Alpha Models
Implementing the Strategies
Blending Alpha Models
Summary
Risk Models
Limiting the Amount of Risk
Limiting the Types of Risk
Summary
Transaction Cost Models
Defining Transaction Costs
Types of Transaction Cost Models
Summary
Portfolio Construction Models
Rule-Based Portfolio Construction Models
Portfolio Optimizers
Output of Portfolio Construction Models
How Quants Choose a Portfolio Construction Model
Summary
Execution
Order Execution Algorithms
High Frequency Trading: Blurring the Line between Alpha and Execution
Trading Infrastructure
Summary
Data
The Importance of Data
Types of Data
Sources of Data
Cleaning Data
Storing Data
Summary
Research
Blueprint for Research: The Scientific Method
Idea Generation
Testing
Summary
A Practical Guide for Investors in Quantitative Strategies.
Risks Inherent to Quant Strategies
Model Risk
Regime Change Risk
Exogenous Shock Risk
Contagion, or Common Investor, Risk
How Quants Monitor Risk
Summary
Criticisms of Quant Trading
Setting the Record Straight
Trading is an Art, Not a Science
Quants Cause More Market Volatility by Underestimating Risk
Quants Cannot Handle Unusual Events or Rapid Changes in Market Conditions
Quants are All the Same
Only a Few Large Quants Can Thrive in the Long Run
Quants are Guilty of Data Mining
Summary
Evaluating Quants and Quant Strategies
Gathering Information
Evaluating a Quantitative Trading Strategy
Evaluating the Acumen of Quantitative Traders
The Edge
Evaluating Integrity
How Quants Fit into a Portfolio
Summary
Looking to the Future of Quant Trading.
Notes
About the Author
Index
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