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The Resource Quantitative portfolio management : the art and science of statistical arbitrage, Michael Isichenko

Quantitative portfolio management : the art and science of statistical arbitrage, Michael Isichenko

Label
Quantitative portfolio management : the art and science of statistical arbitrage
Title
Quantitative portfolio management
Title remainder
the art and science of statistical arbitrage
Statement of responsibility
Michael Isichenko
Creator
Subject
Language
eng
Summary
"Quantitative trading of financial securities is a multi-billion dollar business employing thousands of portfolio managers and quantitative analysts ("quants") trained in mathematics, physics, or other "hard" sciences. The quants trade stocks and other instruments creating liquidity for investors and competing, as best they can, at finding and exploiting any mispricings. The result is highly efficient financial markets not immune to occasional events of crowding, bubbling, and liquidation panic. This book covers all the major parts of the quantitative trading process starting with sourcing financial data, learning future asset returns from historical data, generating and combining multiple forecasts, dealing with risk, building optimal portfolio of stocks subject to risk preferences and trading costs, and executing trades. The exposition seeks a balance between financial insight, mathematical ideas of statistical and machine learning, practical computational aspects, actual events and thoughts "from the trenches", as observed by a quantitative portfolio manager, and even actual questions asked at countless quant interviews. The intended audience includes practicing quants who will encounter things both familiar and novel (such lesser known ML algorithms or multi-period portfolio optimization), students and scientists thinking of joining the quant workforce (and wondering if it's worth it), and the general public interested in quantitative and algorithmic trading from a broad scientific, and occasionally ironic, standpoint"--
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Isichenko, Michael
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Portfolio management
  • Arbitrage
Label
Quantitative portfolio management : the art and science of statistical arbitrage, Michael Isichenko
Instantiates
Publication
Bibliography note
Includes bibliographical references and indexes
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
on1237395968
Dimensions
24 cm
Extent
xxxi, 261 pages
Isbn
9781119821328
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)1237395968
Label
Quantitative portfolio management : the art and science of statistical arbitrage, Michael Isichenko
Publication
Bibliography note
Includes bibliographical references and indexes
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
on1237395968
Dimensions
24 cm
Extent
xxxi, 261 pages
Isbn
9781119821328
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)1237395968

Library Locations

    • Badia FiesolanaBorrow it
      Via dei Roccettini 9, San Domenico di Fiesole, 50014, IT
      43.803074 11.283055
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