Quantitative trading how to build yourown algorithmic trading business
| Otros Autores: | |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
John Wiley & Sons, Inc
[2021]
|
| Edición: | Second edition |
| Colección: | Wiley Trading
|
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009631829106719 |
Tabla de Contenidos:
- Cover
- Title Page
- Copyright Page
- Contents
- Preface to the 2nd Edition
- Preface
- Acknowledgments
- Chapter 1 The Whats, Whos, and Whys of Quantitative Trading
- Who Can Become a Quantitative Trader?
- The Business Case for Quantitative Trading
- Scalability
- Demand on Time
- The Nonnecessity of Marketing
- The Way Forward
- Chapter 2 Fishing for Ideas
- How to Identify a Strategy that Suits You
- Your Working Hours
- Your Programming Skills
- Your Trading Capital
- Your Goal
- A Taste for Plausible Strategies and Their Pitfalls
- How Does It Compare with a Benchmark, and How Consistent Are Its Returns?
- How Deep and Long Is the Drawdown?
- How Will Transaction Costs Affect the Strategy?
- Does the Data Suffer from Survivorship Bias?
- How Did the Performance of the Strategy Change over the Years?
- Does the Strategy Suffer from Data-Snooping Bias?
- Does the Strategy "Fly under the Radar" of Institutional Money Managers?
- Summary
- References
- Chapter 3 Backtesting
- Common Backtesting Platforms
- Excel
- MATLAB
- Python
- R
- QuantConnect
- Blueshift
- Finding and Using Historical Databases
- Are the Data Split and Dividend Adjusted?
- Are the Data Survivorship-Bias Free?
- Does Your Strategy Use High and Low Data?
- Performance Measurement
- Common Backtesting Pitfalls to Avoid
- Look-Ahead Bias
- Data-Snooping Bias
- Transaction Costs
- Strategy Refinement
- Summary
- References
- Chapter 4 Setting Up Your Business
- Business Structure: Retail or Proprietary?
- Choosing a Brokerage or Proprietary Trading Firm
- Physical Infrastructure
- Summary
- References
- Chapter 5 ExecutionSystems
- What an Automated Trading System Can Do for You
- Building a Semiautomated Trading System
- Building a Fully Automated Trading System
- Minimizing Transaction Costs.
- Testing Your System by Paper Trading
- Why Does Actual Performance Diverge from Expectations?
- Summary
- Chapter 6 Money and Risk Management
- Optimal Capital Allocation and Leverage
- Risk Management
- Model Risk
- Software Risk
- Natural Disaster Risk
- Psychological Preparedness
- Summary
- Appendix: A Simple Derivation of the Kelly Formula when Return Distribution Is Gaussian
- References
- Chapter 7 Special Topics in Quantitative Trading
- Mean-Reverting versus Momentum Strategies
- Regime Change and Conditional Parameter Optimization
- Stationarity and Cointegration
- Factor Models
- What Is Your Exit Strategy?
- Seasonal Trading Strategies
- High-Frequency Trading Strategies
- Is It Better to Have a High-Leverage versus a High-Beta Portfolio?
- Summary
- References
- Chapter 8 Conclusion: Can Independent Traders Succeed?
- Next Steps
- References
- A Quick Surveyof MATLAB
- Bibliography
- About the Author
- Index
- EULA.
