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Index
Title Page
Copyright Page
Dedication
Preface
Acknowledgements
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
CHAPTER 2 - An Introduction to Quantitative Trading
WHAT IS A QUANT?
WHAT IS THE TYPICAL STRUCTURE OF A QUANTITATIVE TRADING SYSTEM?
SUMMARY
PART Two - Inside the Black Box
CHAPTER 3 - Alpha Models: How Quants Make Money
TYPES OF ALPHA MODELS: THEORY DRIVEN AND DATA DRIVEN
THEORY-DRIVEN ALPHA MODELS
DATA-DRIVEN ALPHA MODELS
IMPLEMENTING THE STRATEGIES
BLENDING ALPHA MODELS
SUMMARY
CHAPTER 4 - Risk Models
LIMITING THE AMOUNT OF RISK
LIMITING THE TYPES OF RISK
SUMMARY
CHAPTER 5 - Transaction Cost Models
DEFINING TRANSACTION COSTS
TYPES OF TRANSACTION COST MODELS
SUMMARY
CHAPTER 6 - Portfolio Construction Models
RULE-BASED PORTFOLIO CONSTRUCTION MODELS
PORTFOLIO OPTIMIZERS
OUTPUT OF PORTFOLIO CONSTRUCTION MODELS
HOW QUANTS CHOOSE A PORTFOLIO CONSTRUCTION MODEL
SUMMARY
CHAPTER 7 - Execution
ORDER EXECUTION ALGORITHMS
HIGH-FREQUENCY TRADING: BLURRING THE LINE BETWEEN ALPHA AND EXECUTION
TRADING INFRASTRUCTURE
SUMMARY
CHAPTER 8 - Data
THE IMPORTANCE OF DATA
TYPES OF DATA
SOURCES OF DATA
CLEANING DATA
STORING DATA
SUMMARY
CHAPTER 9 - Research
BLUEPRINT FOR RESEARCH: THE SCIENTIFIC METHOD
IDEA GENERATION
TESTING
SUMMARY
PART Three - A Practical Guide for Investors in Quantitative Strategies
CHAPTER 10 - Risks Inherent to Quant Strategies
MODEL RISK
REGIME CHANGE RISK
EXOGENOUS SHOCK RISK
CONTAGION, OR COMMON INVESTOR, RISK
HOW QUANTS MONITOR RISK
SUMMARY
CHAPTER 11 - Criticisms of Quant Trading
TRADING IS AN ART, NOT A SCIENCE
QUANTS CAUSE MORE MARKET VOLATILITY BY UNDERESTIMATING RISK
QUANTS CANNOT HANDLE UNUSUAL EVENTS OR RAPID CHANGES IN MARKET CONDITIONS
QUANTS ARE ALL THE SAME
ONLY A FEW LARGE QUANTS CAN THRIVE IN THE LONG RUN
QUANTS ARE GUILTY OF DATA MINING
SUMMARY
Chapter 12 - Evaluating Quants and Quant Strategies
GATHERING INFORMATION
EVALUATING A QUANTITATIVE TRADING STRATEGY
EVALUATING THE ACUMEN OF QUANTITATIVE TRADERS
THE EDGE
EVALUATING INTEGRITY
HOW QUANTS FIT INTO A PORTFOLIO
SUMMARY
CHAPTER 13 - Looking to the Future of Quant Trading
Notes
About the Author
Index
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