Quantitative Portfolio Management The Art and Science of Statistical Arbitrage

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English | 2021 | ISBN: 1119821320 | 298 pages | True (PDF EPUB) | 16.15 MB
Discover foundational and advanced techniques in quantitative equity trading from aveteraninsider

InQuantitative Portfolio Management:The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quantDr. MichaelIsichenkodelivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learnpatterns ofasset returns from historical data,generateand combine multiple forecasts, manage risk, build astock portfoliooptimized for risk and trading costs, and execute trades.
In this important book,you'lldiscover:

• Machine learning methodsof forecasting stock returns in efficient financial markets
  
• How to combinemultipleforecasts 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 andpracticalaspects of portfolio construction, including multi-factor risk models,multi-periodtrading costs, and optimal leverage
  

Perfect for investment professionals, like quantitative traders and portfolio managers,Quantitative Portfolio Managementwill 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 datascience, machine learning, and optimizationto the stock market.

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