English | 2021 | ISBN: 1119821320 | 298 pages | True (PDF EPUB) | 16.15 MB

Discover foundational and advanced techniques in quantitative equity trading from a*veteran*insider
InQuantitative Portfolio Management:*The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant*Dr. Michael*Isichenko*delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn*patterns of*asset returns from historical data,*generate*and combine multiple forecasts, manage risk, build a*stock portfolio*optimized for risk and trading costs, and execute trades.
In this important book,*you'll*discover:
  • Machine learning methods*of forecasting stock returns in efficient financial markets
  • How to combine*multiple*forecasts 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 and*practical*aspects of portfolio construction, including multi-factor risk models,*multi-period*trading costs, and optimal leverage


Perfect for investment professionals, like quantitative traders and portfolio managers,Quantitative Portfolio Managementwill 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 data*science, machine learning, and optimization*to the stock market.
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