Narang Inside the Black Box

A Simple Guide to Quantitative and High Frequency Trading
2. Auflage 2013
ISBN: 978-1-118-42059-1
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 336 Seiten, E-Book

Reihe: Wiley Finance Editions

New edition of book that demystifies quant and algo trading
In this updated edition of his bestselling book, Rishi K Narangoffers in a straightforward, nontechnical style--supplementedby real-world examples and informative anecdotes--a reliableresource takes you on a detailed tour through the black box. Heskillfully sheds light upon the work that quants do, lifting theveil of mystery around quantitative trading and allowing anyoneinterested in doing so to understand quants and their strategies.This new edition includes information on High FrequencyTrading.
* Offers an update on the bestselling book for explaining innon-mathematical terms what quant and algo trading are and how theywork
* Provides key information for investors to evaluate the besthedge fund investments
* Explains how quant strategies fit into a portfolio, why theyare valuable, and how to evaluate a quant manager
This new edition of Inside the Black Box explains quantinvesting without the jargon and goes a long way toward educatinginvestment professionals.

Autoren/Hrsg.

Narang, Rishi K.

Inhaltsverzeichnis

Foreword
Preface to the Second Edition
Acknowledgments
Part I: The Quant Universe
Chapter 1: Why Does Quant Trading Matter?
The Benefit of Deep Thought
The Measurement and Mis-measurement of Risk
Disciplined Implementation
Summary
Notes
Chapter 2: An Introduction to Quantitative Trading
What is a Quant?
What is the Typical Structure of a Quantitative Trading System?
Summary
Notes
Part II: 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
Notes
Chapter 4: Risk Models
Limiting the Amount of Risk
Limiting the Types of Risk
Summary
Notes
Chapter 5: Transaction Cost Models
Defining Transaction Costs
Types of Transaction Cost Models
Summary
Notes
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
Notes
Chapter 7: Execution
Order Execution Algorithms
Trading Infrastructure
Summary
Notes
Chapter 8: Data
The Importance of Data
Types of Data
Sources of Data
Cleaning Data
Storing Data
Summary
Notes
Chapter 9: Research
Blueprint for Research: The Scientific Method
Idea Generation
Testing
Summary
Notes
Part III: 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
Notes
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
Notes
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
Notes
Part IV: High Speed and High Frequency Trading
Chapter 13: An Introduction to High Speed and High Frequency Trading* Notes
Chapter 14: High Speed Trading
Why Speed Matters
Sources of Latency
Summary
Notes
Chapter 15: High Frequency Trading
Contractual Market Making
Non-Contractual Market Making
Arbitrage
Fast Alpha
HFT Risk Management and Portfolio Construction
Summary
Notes
Chapter 16: Controversy Regarding High Frequency Trading
Does HFT Create Unfair Competition?
Does HFT Lead to Front-running or Market Manipulation?
Does HFT Lead to Greater Volatility or Structural Instability?
Does HFT Lack Social Value?
Regulatory Considerations
Summary
Notes
Chapter 17: Looking to the Future of Quant Trading
About the Author
Index

Über Autor(innen)

Rishi K. Narang is the Founding Principal of TelesisCapital LLC, which invests in quantitative trading strategies.Previously, he was managing director and co-portfolio managerat Santa Barbara Alpha Strategies. Narang cofounded and waspresident of Tradeworx, Inc., a quantitative hedge fund manager,from 1999-2002. He has been involved in the hedge fundindustry, with a focus on quantitative trading strategies, since1996. Narang graduated from the University of California, Berkeley,with a BA in economics.