Inside the Black Box

Rishi K. Narang 지음

Wiley 2013년 03월 20일 출간

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책소개

New edition of book that demystifies quant and algo tradingIn this updated edition of his bestselling book, Rishi K Narang offers in a straightforward, nontechnical style-supplemented by real-world examples and informative anecdotes-a reliable resource takes you on a detailed tour through the black box. He skillfully sheds light upon the work that quants do, lifting the veil of mystery around quantitative trading and allowing anyone interested in doing so to understand quants and their strategies. This new edition includes information on High Frequency Trading.Offers an update on the bestselling book for explaining in non-mathematical terms what quant and algo trading are and how they workProvides key information for investors to evaluate the best hedge fund investmentsExplains how quant strategies fit into a portfolio, why they are valuable, and how to evaluate a quant managerThis new edition of Inside the Black Box explains quant investing without the jargon and goes a long way toward educating investment professionals.

목차

Preface to the Second Edition xiiiAcknowledgments xviiPart ONE The Quant UniverseChapter 1 Why Does Quant Trading Matter? 3The Benefit of Deep Thought 8The Measurement and Mismeasurement of Risk 9Disciplined Implementation 10Summary 11Notes 11Chapter 2 An Introduction to Quantitative Trading 13What Is a Quant? 14What Is the Typical Structure of a Quantitative Trading System? 16Summary 19Notes 20Part two Inside the Black BoxChapter 3 Alpha Models: How Quants Make Money 23Types of Alpha Models: Theory-Driven and Data-Driven 24Theory-Driven Alpha Models 26Data-Driven Alpha Models 42Implementing the Strategies 45Blending Alpha Models 56Summary 62Notes 64Chapter 4 Risk Models 67Limiting the Amount of Risk 69Limiting the Types of Risk 72Summary 76Notes 78Chapter 5 Transaction Cost Models 79Defining Transaction Costs 80Types of Transaction Cost Models 85Summary 90Note 91Chapter 6 Portfolio Construction Models 93Rule-Based Portfolio Construction Models 94Portfolio Optimizers 98Output of Portfolio Construction Models 112How Quants Choose a Portfolio Construction Model 113Summary 113Notes 115Chapter 7 Execution 117Order Execution Algorithms 119Trading Infrastructure 128Summary 130Notes 131Chapter 8 Data 133The Importance of Data 133Types of Data 135Sources of Data 137Cleaning Data 139Storing Data 144Summary 145Notes 146Chapter 9 Research 147Blueprint for Research: The Scientific Method 147Idea Generation 149Testing 151Summary 170Note 171Part three A Practical Guide for Investors in Quantit

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저자(글) Rishi K. Narang

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Rishi K. Narang is the Founding Principal of Telesis Capital LLC, which invests in quantitative trading strategies. Previously, he was managing director and co#150;portfolio manager at Santa Barbara Alpha Strategies. Narang cofounded and was president of Tradeworx, Inc., a quantitative hedge fund manager, from 1999#150;2002. He has been involved in the hedge fund industry, with a focus on quantitative trading strategies, since 1996. Narang graduated from the University of California, Berkeley, with a BA in economics.