Inside the Black Box: A Simple Guide to Quantitative and High-Frequency TradingJohn Wiley & Sons, 2013/03/20 - 336 ページ New edition of book that demystifies quant and algo trading In this updated edition of his bestselling book, Rishi K Narang offers in a straightforward, nontechnical style—supplemented by real-world examples and informative anecdotes—a reliable resource takes you on a detailed tour through the black box. He skillfully sheds light upon the work that quants do, lifting the veil of mystery around quantitative trading and allowing anyone interested in doing so to understand quants and their strategies. This new edition includes information on High Frequency Trading.
This new edition of Inside the Black Box explains quant investing without the jargon and goes a long way toward educating investment professionals. |
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actually adverse selection allocation alpha model alpha strategies approach asset classes behavior best bid bets black box broker Chapter common companies correlation data mining discretionary traders example exchanges execution algorithms expected return exposure firms forecast fundamental future given hedge fund high-frequency trading idea implement inputs instruments investment investors kinds leverage limit order liquidity machine learning market impact mean reversion measure Model Risk offer optimizer out-of-sample overfitting P/E ratio parameters passive orders percent portfolio construction model position predict problem profit quantitative trading quants ratio reasonable Reg NMS relative risk models sector sell share Sharpe ratio short signal significant simply slippage statistical arbitrage stocks systematic target portfolio techniques tend testing theory theory-driven tion trading strategies trading system transaction cost models trend following trend-following strategy types U.S. equity utilize various versus volatility weighting yield