{"product_id":"quantitative-trading-9781119800064","title":"Quantitative Trading","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePreface to the 2nd Edition xi\u003c\/p\u003e \u003cp\u003ePreface xv\u003c\/p\u003e \u003cp\u003eAcknowledgments xxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1: The Whats, Whos, and Whys of Quantitative Trading 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWho Can Become a Quantitative Trader? 2\u003c\/p\u003e \u003cp\u003eThe Business Case for Quantitative Trading 4\u003c\/p\u003e \u003cp\u003eScalability 5\u003c\/p\u003e \u003cp\u003eDemand on Time 5\u003c\/p\u003e \u003cp\u003eThe Nonnecessity of Marketing 7\u003c\/p\u003e \u003cp\u003eThe Way Forward 8\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2: Fishing for Ideas 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHow to Identify a Strategy that Suits You 14\u003c\/p\u003e \u003cp\u003eYour Working Hours 14\u003c\/p\u003e \u003cp\u003eYour Programming Skills 15\u003c\/p\u003e \u003cp\u003eYour Trading Capital 15\u003c\/p\u003e \u003cp\u003eYour Goal 19\u003c\/p\u003e \u003cp\u003eA Taste for Plausible Strategies and Their Pitfalls 20\u003c\/p\u003e \u003cp\u003eHow Does It Compare with a Benchmark, and How Consistent Are Its Returns? 20\u003c\/p\u003e \u003cp\u003eHow Deep and Long Is the Drawdown? 23\u003c\/p\u003e \u003cp\u003eHow Will Transaction Costs Affect the Strategy? 24\u003c\/p\u003e \u003cp\u003eDoes the Data Suffer from Survivorship Bias? 26\u003c\/p\u003e \u003cp\u003eHow Did the Performance of the Strategy Change over the Years? 27\u003c\/p\u003e \u003cp\u003eDoes the Strategy Suffer from Data-Snooping Bias? 28\u003c\/p\u003e \u003cp\u003eDoes the Strategy “Fly under the Radar” of Institutional Money Managers? 30\u003c\/p\u003e \u003cp\u003eSummary 30\u003c\/p\u003e \u003cp\u003eReferences 31\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3: Backtesting 33\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCommon Backtesting Platforms 34\u003c\/p\u003e \u003cp\u003eExcel 34\u003c\/p\u003e \u003cp\u003eMATLAB 34\u003c\/p\u003e \u003cp\u003ePython 36\u003c\/p\u003e \u003cp\u003eR 38\u003c\/p\u003e \u003cp\u003eQuantConnect 40\u003c\/p\u003e \u003cp\u003eBlueshift 40\u003c\/p\u003e \u003cp\u003eFinding and Using Historical Databases 40\u003c\/p\u003e \u003cp\u003eAre the Data Split and Dividend Adjusted? 41\u003c\/p\u003e \u003cp\u003eAre the Data Survivorship-Bias Free? 44\u003c\/p\u003e \u003cp\u003eDoes Your Strategy Use High and Low Data? 46\u003c\/p\u003e \u003cp\u003ePerformance Measurement 47\u003c\/p\u003e \u003cp\u003eCommon Backtesting Pitfalls to Avoid 57\u003c\/p\u003e \u003cp\u003eLook-Ahead Bias 58\u003c\/p\u003e \u003cp\u003eData-Snooping Bias 59\u003c\/p\u003e \u003cp\u003eTransaction Costs 72\u003c\/p\u003e \u003cp\u003eStrategy Refinement 77\u003c\/p\u003e \u003cp\u003eSummary 78\u003c\/p\u003e \u003cp\u003eReferences 79\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4: Setting Up Your Business 81\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBusiness Structure: Retail or Proprietary? 81\u003c\/p\u003e \u003cp\u003eChoosing a Brokerage or Proprietary Trading Firm 85\u003c\/p\u003e \u003cp\u003ePhysical Infrastructure 87\u003c\/p\u003e \u003cp\u003eSummary 89\u003c\/p\u003e \u003cp\u003eReferences 91\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5: Execution Systems 93\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat an Automated Trading System Can Do for You 93\u003c\/p\u003e \u003cp\u003eBuilding a Semiautomated Trading System 95\u003c\/p\u003e \u003cp\u003eBuilding a Fully Automated Trading System 98\u003c\/p\u003e \u003cp\u003eMinimizing Transaction Costs 101\u003c\/p\u003e \u003cp\u003eTesting Your System by Paper Trading 103\u003c\/p\u003e \u003cp\u003eWhy Does Actual Performance Diverge from Expectations? 104\u003c\/p\u003e \u003cp\u003eSummary 107\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6: Money and Risk Management 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOptimal Capital Allocation and Leverage 109\u003c\/p\u003e \u003cp\u003eRisk Management 120\u003c\/p\u003e \u003cp\u003eModel Risk 124\u003c\/p\u003e \u003cp\u003eSoftware Risk 125\u003c\/p\u003e \u003cp\u003eNatural Disaster Risk 125\u003c\/p\u003e \u003cp\u003ePsychological Preparedness 125\u003c\/p\u003e \u003cp\u003eSummary 130\u003c\/p\u003e \u003cp\u003eAppendix: A Simple Derivation of the Kelly Formula when Return Distribution Is Gaussian 131\u003c\/p\u003e \u003cp\u003eReferences 132\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7: Special Topics in Quantitative Trading 133\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMean-Reverting versus Momentum Strategies 134\u003c\/p\u003e \u003cp\u003eRegime Change and Conditional Parameter Optimization 137\u003c\/p\u003e \u003cp\u003eStationarity and Cointegration 147\u003c\/p\u003e \u003cp\u003eFactor Models 160\u003c\/p\u003e \u003cp\u003eWhat Is Your Exit Strategy? 169\u003c\/p\u003e \u003cp\u003eSeasonal Trading Strategies 174\u003c\/p\u003e \u003cp\u003eHigh-Frequency Trading Strategies 186\u003c\/p\u003e \u003cp\u003eIs it Better to Have a High-Leverage versus a High-Beta Portfolio? 188\u003c\/p\u003e \u003cp\u003eSummary 190\u003c\/p\u003e \u003cp\u003eReferences 192\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8: Conclusion 193\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eNext Steps 197\u003c\/p\u003e \u003cp\u003eReferences 198\u003c\/p\u003e \u003cp\u003eAppendix: A Quick Survey of MATLAB 199\u003c\/p\u003e \u003cp\u003eBibliography 205\u003c\/p\u003e \u003cp\u003eAbout the Author 209\u003c\/p\u003e \u003cp\u003eIndex 211\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":48866416853335,"sku":"9781119800064","price":38.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781119800064.jpg?v=1722278542","url":"https:\/\/bookcurl.com\/products\/quantitative-trading-9781119800064","provider":"Book Curl","version":"1.0","type":"link"}