Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage - Couverture rigide

Isichenko, Michael

 
9781119821328: Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage
Couverture rigide
ISBN 10 : 1119821320 ISBN 13 : 9781119821328
Editeur : John Wiley & Sons Inc, 2021

Synopsis

Discover foundational and advanced techniques in quantitative equity trading from a veteran insider

In Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades.

In this important book, you'll discover:

  • Machine learning methods of forecasting stock returns in efficient financial markets
  • How to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods
  • Ways of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as "benign overfitting" in machine learning
  • The theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage

Perfect for investment professionals, like quantitative traders and portfolio managers, Quantitative Portfolio Management will also earn a place in the libraries of data scientists and students in a variety of statistical and quantitative disciplines. It is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market.


Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

MICHAEL ISICHENKO, PhD, is a theoretical physicist and a quantitative portfolio manager who worked at Kurchatov Institute, University of Texas, University of California, SAC Capital Advisors, Société Générale, and Jefferies. He received his doctorate in physics and mathematics from the Moscow Institute of Physics and Technology and is an expert in plasma physics, nonlinear dynamics, and statistical and chaos theory.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
John Wiley & Sons Inc
Date d'édition
2021
Langue
anglais
ISBN 10 
1119821320
ISBN 13 
9781119821328
Reliure
Relié
Numéro d'édition
1
Nombre de pages
304
Coordonnées du fabricant
JOSSEY-BASS
https://www.wiley.com/en-us

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