eBook - ePub

Quantitative Portfolio Management

Name: Quantitative Portfolio Management
ISBN: 9781119821212

The Art and Science of Statistical Arbitrage

Michael Isichenko,

English
ePUB (mobile friendly)
Available on iOS & Android

eBook - ePub

Quantitative Portfolio Management

The Art and Science of Statistical Arbitrage

Michael Isichenko,

About this book

Discover foundational and advanced techniques in quantitative equity trading from aveteraninsider

In Quantitative 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 Management will 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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Yes, you can access Quantitative Portfolio Management by Michael Isichenko in PDF and/or ePUB format, as well as other popular books in Business & Investments & Securities. We have over one million books available in our catalogue for you to explore.