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Preface to the Second Edition | |
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Acknowledgments | |
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The Quant Universe | |
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Why Does Quant Trading Matter? | |
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The Benefit of Deep Thought | |
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The Measurement and Mismeasurement of Risk | |
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Disciplined Implementation | |
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Summary | |
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Notes | |
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An Introduction to Quantitative Trading | |
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What Is a Quant? | |
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What Is the Typical Structure of a Quantitative Trading System? | |
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Summary | |
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Notes | |
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Inside the Black Box | |
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Alpha Models: How Quants Make Money | |
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Types of Alpha Models: Theory-Driven and Data-Driven | |
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Theory-Driven Alpha Models | |
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Data-Driven Alpha Models | |
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Implementing the Strategies | |
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Blending Alpha Models | |
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Summary | |
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Notes | |
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Risk Models | |
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Limiting the Amount of Risk | |
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Limiting the Types of Risk | |
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Summary | |
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Notes | |
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Transaction Cost Models | |
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Defining Transaction Costs | |
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Types of Transaction Cost Models | |
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Summary | |
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Note | |
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Portfolio Construction Models | |
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Rule-Based Portfolio Construction Models | |
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Portfolio Optimizers | |
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Output of Portfolio Construction Models | |
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How Quants Choose a Portfolio Construction Model | |
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Summary | |
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Notes | |
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Execution | |
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Order Execution Algorithms | |
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Trading Infrastructure | |
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Summary | |
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Notes | |
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Data | |
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The Importance of Data | |
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Types of Data | |
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Sources of Data | |
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Cleaning Data | |
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Storing Data | |
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Summary | |
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Notes | |
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Research | |
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Blueprint for Research: The Scientific Method | |
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Idea Generation | |
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Testing | |
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Summary | |
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Note | |
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A Practical Guide fop Investors in Quantitative Strategies | |
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Risks Inherent to Quant Strategies | |
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Model Risk | |
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Regime Change Risk | |
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Exogenous Shock Risk | |
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Contagion, or Common Investor, Risk | |
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How Quants Monitor Risk | |
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Summary | |
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Notes | |
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Criticisms of Quant Trading | |
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Trading Is an Art, Not a Science | |
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Quants Cause More Market Volatility by Underestimating Risk | |
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Quants Cannot Handle Unusual Events or Rapid Changes in Market Conditions | |
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Quants Are All the Same | |
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Only a Few Large Quants Can Thrive in the Long Run | |
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Quants Are Guilty of Data Mining | |
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Summary | |
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Notes | |
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Evaluating Quants and Quant Strategies | |
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Gathering Information | |
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Evaluating a Quantitative Trading Strategy | |
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Evaluating the Acumen of Quantitative Traders | |
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The Edge | |
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Evaluating Integrity | |
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How Quants Fit into a Portfolio | |
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Summary | |
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Note | |
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High-Speed and High-Frequency Trading | |
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An Introduction to High-Speed and High-Frequency Trading* | |
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Notes | |
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High-Speed Trading | |
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Why Speed Matters | |
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Sources of Latency | |
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Summary | |
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Notes | |
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High-Frequency Trading | |
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Contractual Market Making | |
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Noncontractual Market Making | |
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Arbitrage | |
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Fast Alpha | |
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HFT Risk Management and Portfolio Construction | |
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Summary | |
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Note | |
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Controversy Regarding High-Frequency Trading | |
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Does HFT Create Unfair Competition? | |
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Does HFT Lead to Front-Running or Market Manipulation? | |
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Does HFT Lead to Greater Volatility or Structural Instability? | |
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Does HFT Lack Social Value? | |
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Regulatory Considerations | |
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Summary | |
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Notes | |
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Looking to the Future of Quant Trading | |
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About the Author | |
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Index | |