07434cam a2200997 i 4500 ocn824686639 OCoLC 20171112124347.0 m o d cr ||||||||||| 130118s2013 nju ob 001 0 eng 2013002485 9781118416990 (epub) 1118416996 (epub) 9781118420591 (pdf) 1118420594 (pdf) 9781118587973 (mobipocket) 1118587979 (mobipocket) 9781118662717 (electronic bk.) 1118662717 (electronic bk.) 1118362411 (cloth) 9781118362419 (cloth) 9781118362419 (cloth) EB00063554 Recorded Books AU@ 000050425560 AU@ 000052282133 AU@ 000052915321 AU@ 000052925769 CHBIS 010026941 CHVBK 306238926 DEBBG BV041634473 DEBBG BV042742505 DEBSZ 397500521 DEBSZ 404319602 DKDLA 820120-katalog:000654298 GBVCP 790206420 NLGGC 356995712 NZ1 15340554 DEBBG BV041776518 DEBBG BV043395311 (OCoLC)824686639 (OCoLC)840466702 (OCoLC)858027988 (OCoLC)864912472 (OCoLC)868031953 (OCoLC)880903975 (OCoLC)961673139 (OCoLC)962595296 (OCoLC)966207725 CL0500000289 Safari Books Online B1569CE7-C0C6-4B05-BC65-F9D3253F7564 OverDrive, Inc. http://www.overdrive.com DLC eng rda pn DLC EBLCP MHW N$T E7B YDXCP DG1 NOC CUS B24X7 UBY MEAUC UMI TEFOD DEBSZ OCLCF DEBBG DKDLA K6U CDX AU@ UKDOC RECBK TEFOD OCLCQ OCLCO OCLCQ OCLCO LOA pcc MAIN HG4529.5 BUS 036000 bisacsh 332.64/2 23 Narang, Rishi K, 1974- Inside the black box : a simple guide to quantitative and high frequency trading / Rishi K. Narang. [electronic resource] Second edition. Hoboken, New Jersey : John Wiley & Sons, Inc., [2013] 1 online resource. text txt rdacontent computer c rdamedia online resource cr rdacarrier Wiley finance series Includes bibliographical references and index. Inside the Black Box; Contents; Preface to the Second Edition; Acknowledgments; Part One The Quant Universe; Chapter 1 Why Does Quant Trading Matter?; The Benefit of Deep Thought; The Measurement and Mismeasurement of Risk; Disciplined Implementation; Summary; Notes; Chapter 2 An Introduction to Quantitative Trading; What Is a Quant?; What Is the Typical Structure of a Quantitative Trading System?; Summary; Notes; Part Two Inside the Black Box; Chapter 3 Alpha Models: How Quants Make Money; Types of Alph a Models: Theory-Driven and Data-Driven; Theory-Driven Alpha Models. Strategies Utilizing Price-Related DataStrategies Utilizing Fundamental Data; Data-Driven Alph a Models; Implementing the Strategies; Forecast Target; Time Horizon; Bet Structure; Investment Universe; Model Definition; Conditioning Variables; Run Frequency; An Explosion of Diversity; Blending Alpha Models; Summary; Notes; Chapter 4 Risk Models; Limiting the Amount of Risk; Limiting by Constraint or Penalty; Measuring the Amount of Risk; Where Limits Can Be Applied; Limiting the Types of Risk; Theory-Driven Risk Models; Empirical Risk Models; How Quants Choose a Risk Model; Summary; Notes. Chapter 5 Transaction Cost ModelsDefining Transaction Costs; Commissions and Fees; Slippage; Market Impact; Types of Transaction Cost Models; Flat Transaction Cost Models; Linear Transaction Cost Models; Piecewise-Linear Transaction Cost Models; Quadratic Transaction Cost Models; Summary; Note; Chapter 6 Portfolio Construction Models; Rule-Based Portfolio Construction Models; Equal Position Weighting; Equal Risk Weighting; Alpha-Driven Weighting; Summary of Rule-Based Portfolio Construction Models; Portfolio Optimizers; Inputs to Optimization; Optimization Techniques. Final Thoughts on OptimizationOutput of Portfolio Construction Models; How Quants Choose a Portfolio Construction Model; Summary; Notes; Chapter 7 Execution; Order Execution Algorithms; Aggressive versus Passive; Other Order Types; Large Order versus Small Order; Where to Send an Order; Trading Infrastructure; Summary; Notes; Chapter 8 Data; The Importance of Data; Types of Data; Sources of Data; Cleaning Data; Storing Data; Summary; Notes; Chapter 9 Research; Blueprint for Research: The Scientific Method; Idea Generation; Testing; In-Sample Testing, a.k.a. Training. What Constitutes a "Good" Model?Overfitting; Out-of-Sample Testing; Assumptions of Testing; Summary; Note; Part Three A Practical Guide for Investors in Quantitative Strategies; Chapter 10 Risks Inherent to Quant Strategies; Model Risk; Inapplicability of Modeling; Model Misspecification; Implementation Errors; Regime Change Risk; Exogenous Shock Risk; Contagion, or Common Investor, Risk; How Quants Monitor Risk; Summary; Notes; Chapter 11 Criticisms of Quant Trading; Trading Is an Art, Not a Science; Quants Cause More Market Volatility by Underestimating Risk; The Market Turmoil of 2008. New edition of book that demystifies quant and algo trading In this updated edition of his bestselling book, Rishi K Narang offers in a straightforward, nontechnical style-supplemented by real-world examples and informative anecdotes-a reliable resource takes you on a detailed tour through the black box. He skillfully sheds light upon the work that quants do, lifting the veil of mystery around quantitative trading and allowing anyone interested in doing so to understand quants and their strategies. This new edition includes information on High Frequency Trading. Offers an updat. Print version record and CIP data provided by publisher. Portfolio management Mathematical models. Investment analysis Mathematical models. Stocks Mathematical models. Portfolio management Mathematical models. Investment analysis Mathematical models. Stocks Mathematical models. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Investment analysis Mathematical models. fast (OCoLC)fst00978187 Portfolio management Mathematical models. fast (OCoLC)fst01072082 Stocks Mathematical models. fast (OCoLC)fst01133724 Portfolio management / Mathematical models. local Investment analysis / Mathematical models. local Stocks / Mathematical models. local Electronic books. Electronic books. local Print version: Narang, Rishi K, 1974- Inside the black box. Second edition. Hoboken, New Jersey : John Wiley & Sons, Inc., [2013] 9781118362419 (DLC) 2012047248 Wiley finance series. http://onlinelibrary.wiley.com/book/10.1002/9781118662717 Wiley Online Library ddc BK 206362 206362