| Description |
1 online resource (323 pages) |
| Contents |
Cover; Title Page; Copyright; Contents; Preface; Preface (to the Original Edition); Acknowledgments; About the WebSim Website; PART I Introduction; 1 Introduction to Alpha Design; Designing Alphas Based on Data; Defining Quality in Alphas; Alpha Construction, Step By Step; Conclusion; 2 Perspectives on Alpha Research; PHDS on the Street; A New Industry; Statistical Arbitrage; Existence of Alphas; Implementation; Evaluation; Looking Back; The Opportunity; 3 Cutting Losses; How to Apply the Principle of the Unrule to Cutting Losses; Summary; Part II Design and Evaluation; 4 Alpha Design |
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Data Inputs to an AlphaAlpha Universe; Alpha Prediction Frequency; Value of an Alpha; Practical Alpha Evaluation; Future Performance; Conclusion; 5 How to Develop an Alpha: A Case Study; Conclusion; 6 Data and Alpha Design; How we find Data for Alphas; Data Validation; Understand the Data Before Using it; Embrace the Big Data ERA; Conclusion; 7 Turnover; Alpha Horizon; The Cost of a Trade; The Crossing Effect; Controlling Turnover; Examples; Tuning the Turnover; 8 Alpha Correlation; Alpha PnL Correlation; Alpha Value Correlation; Correlation with Alpha Pool; Conclusion |
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9 Backtest -- Signal or Overfitting?Introduction; Statistical Arbitrage; Backtesting; Overfitting; How to Avoid Overfitting; Conclusion; 10 Controlling Biases; Introduction; Categories of Bias; Systematic Biases; Behavioral Biases; Conclusion; 11 The Triple-Axis Plan; The Tap; Implementing TAP; Conclusion; 12 Techniques for Improving the Robustness of Alphas; Introduction; Methods for Robustness Improvement; Conclusion; 13 Alpha and Risk Factors; 14 Risk and Drawdowns; Estimating Risks; Drawdowns; Controlling Risks; Conclusion; 15 Alphas from Automated Search; Efficiency and Scale |
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Input Data Should Not Come from Too Many CategoriesInput Data and Unitless Ratios; Unnecessary Search Space; Intermediate Variables; Seas of Alphas, Not Single Alphas; Simple Alphas; Longer Backtesting Periods; Alpha Batch, Not Single Alpha Performance; Diversify the Alpha Batch; Sensitivity Tests and Significance Tests; Manual Alpha Search; Conclusion; 16 Machine Learning in Alpha Research; Introduction; Machine Learning Methods; Conclusion; 17 Thinking in Algorithms; Digital Filters; Optimization and Loss Function Design; The Bias-Variance Trade-Off; Dimensionality Reduction |
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Shrinkage EstimatorsParameter Optimization; Conclusion; Part III Extended Topics; 18 Equity Price and Volume; Introduction; Seeking Profits Through Price and Volume; Conclusion; 19 Financial Statement Analysis; Basics; The Balance Sheet; The Income Statement; The Cash Flow Statement; Growth; Corporate Governance; Negative Factors; Special Considerations; Factors as Screens; Converting Factors to Alphas; Conclusion; 20 Fundamental Analysis and Alpha Research; Financial Statements; Financial Statement Analysis; Conclusion; 21 Introduction to Momentum Alphas; Conclusion |
| Notes |
22 The Impact of News and Social Media on Stock Returns |
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Print version record |
| Subject |
Investment analysis.
|
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Stock price forecasting.
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Securities -- Prices -- Forecasting
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Investment analysis
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Stock price forecasting
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| Form |
Electronic book
|
| ISBN |
9781119571254 |
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1119571251 |
|
9781119571261 |
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111957126X |
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