Finding Alphas: A Quantitative Approach to Building Trading Strategies

ISBN-13: 9781119571216 / Angielski / Twarda / 2019 / 320 str.

Igor Tulchinsky

Spis treści

Preface xiPreface (to the Original Edition) xiiiAcknowledgments xvAbout the WebSim Website xviiPart I Introduction 11 Introduction to Alpha Design 3By Igor Tulchinsky2 Perspectives on Alpha Research 7By Geoffrey Lauprete3 Cutting Losses 17By Igor TulchinskyPart II Design and Evaluation 234 Alpha Design 25By Scott Bender and Yongfeng He5 How to Develop an Alpha: A Case Study 31By Pankaj Bakliwal and Hongzhi Chen6 Data and Alpha Design 43By Weijia Li7 Turnover 49By Pratik Patel8 Alpha Correlation 61By Chinh Dang and Crispin Bui9 Backtest - Signal or Overfitting? 69By Zhuangxi Fang and Peng Yan10 Controlling Biases 77By Anand Iyer and Aditya Prakash11 The Triple-Axis Plan 83By Nitish Maini12 Techniques for Improving the Robustness of Alphas 89By Michael Kozlov13 Alpha and Risk Factors 95By Peng Wan14 Risk and Drawdowns 101By Hammad Khan and Rebecca Lehman15 Alphas from Automated Search 111By Yu Huang and Varat Intaraprasonk16 Machine Learning in Alpha Research 121By Michael Kozlov17 Thinking in Algorithms 127By Sunny MahajanPart III Extended Topics 13318 Equity Price and Volume 135By Cong Li and Huaiyu Zhou19 Financial Statement Analysis 141By Paul A. Griffin and Sunny Mahajan20 Fundamental Analysis and Alpha Research 149By Xinye Tang and Kailin Qi21 Introduction to Momentum Alphas 155By Zhiyu Ma, Arpit Agarwal, and Laszlo Borda22 The Impact of News and Social Media on Stock Returns 159By Wancheng Zhang23 Stock Returns Information from the Stock Options Market 169By Swastik Tiwari and Hardik Agarwal24 Institutional Research 101: Analyst Reports 179By Benjamin Ee, Hardik Agarwal, Shubham Goyal, Abhishek Panigrahy, and Anant Pushkar25 Event-Driven Investing 195By Prateek Srivastava26 Intraday Data in Alpha Research 207By Dusan Timotity27 Intraday Trading 217By Rohit Kumar Jha28 Finding an Index Alpha 223By Glenn DeSouza29 ETFs and Alpha Research 231By Mark YikChun Chan30 Finding Alphas on Futures and Forwards 241By Rohit Agarwal, Rebecca Lehman, and Richard WilliamsPart IV New Horizon - Websim 25131 Introduction to WebSim 253By Jeffrey ScottPart V A Final Word 26332 The Seven Habits of Highly Successful Quants 265By Richard Hu and Chalee AsavathirathamReferences 273Index 291

O autorze

IGOR TULCHINSKY is the Founder, Chairman, and CEO of WorldQuant, a global quantitative asset management firm, based in Old Greenwich, Connecticut, that he established in 2007 following 12 years as a statistical arbitrage portfolio manager at Millennium Management. Before joining Millennium, Tulchinsky was a venture capitalist, scientist at AT&T Bell Laboratories, video game programmer, and author. He holds a master's degree in Computer Science from the University of Texas, Austin, completed in a then-record nine months, and an MBA in Finance and Entrepreneurship from the Wharton School at the University of Pennsylvania. A strong believer in education, Tulchinsky is the founder of WorldQuant University, which offers an entirely free online MSc degree in financial engineering and an applied data science module.