Price: $67.82
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Unearth both the fundamental and sophisticated strategies of quantitative equity trading with a seasoned expert in “Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage”. Esteemed physicist-turned-quant, Dr. Michael Isichenko, presents an exhaustive analysis of statistical arbitrage, the quantitative trading of equities. The book equips you with the skills to procure financial data, decipher patterns of asset returns from historical data, compile and amalgamate multiple forecasts, manage risk, build a stock portfolio tailored for risk and trading costs, and execute trades.
In this insightful book, you’ll learn about:
– The application of machine learning in predicting stock returns in efficient financial markets.
– The intricate process of consolidating multiple forecasts into a single model by utilizing auxiliary machine learning, dimensionality reduction, and more.
– Strategies to circumvent the challenges of overfitting and the curse of dimensionality, including emergent research areas such as “benign overfitting” in machine learning.
– The theoretical and applied aspects of portfolio construction encompassing multi-factor risk models, multi-period trading costs, and optimal leverage.
This book is a must-have for investment professionals such as quantitative traders and portfolio managers. “Quantitative Portfolio Management” will also be a valuable addition to the bookshelves of data scientists and students across various statistical and quantitative disciplines. It serves as an essential guide for anyone seeking to enhance their comprehension of applying data science, machine learning, and optimization in the stock market.