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008 130118s2013 nju ob 001 0 eng
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050 0 0 _aHG4529.5
072 7 _aBUS
_x036000
_2bisacsh
082 0 0 _a332.64/2
_223
049 _aMAIN
100 1 _aNarang, Rishi K,
_d1974-
245 1 0 _aInside the black box :
_ba simple guide to quantitative and high frequency trading /
_cRishi K. Narang.
250 _aSecond edition.
264 1 _aHoboken, New Jersey :
_bJohn Wiley & Sons, Inc.,
_c[2013]
300 _a1 online resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aWiley finance series
504 _aIncludes bibliographical references and index.
588 0 _aPrint version record and CIP data provided by publisher.
505 0 _aInside 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.
505 8 _aStrategies 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.
505 8 _aChapter 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.
505 8 _aFinal 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.
505 8 _aWhat 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.
520 _aNew 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.
650 0 _aPortfolio management
_xMathematical models.
650 0 _aInvestment analysis
_xMathematical models.
650 0 _aStocks
_xMathematical models.
650 4 _aPortfolio management
_xMathematical models.
650 4 _aInvestment analysis
_xMathematical models.
650 4 _aStocks
_xMathematical models.
650 7 _aBUSINESS & ECONOMICS
_xInvestments & Securities
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_2bisacsh
650 7 _aInvestment analysis
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650 7 _aPortfolio management
_xMathematical models.
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650 7 _aStocks
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_0(OCoLC)fst01133724
650 7 _aPortfolio management / Mathematical models.
_2local
650 7 _aInvestment analysis / Mathematical models.
_2local
650 7 _aStocks / Mathematical models.
_2local
655 4 _aElectronic books.
655 7 _aElectronic books.
_2local
776 0 8 _iPrint version:
_aNarang, Rishi K, 1974-
_tInside the black box.
_bSecond edition.
_dHoboken, New Jersey : John Wiley & Sons, Inc., [2013]
_z9781118362419
_w(DLC) 2012047248
830 0 _aWiley finance series.
856 4 0 _uhttp://onlinelibrary.wiley.com/book/10.1002/9781118662717
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