Inside the Black Box

A Simple Guide to Systematic Investing

AvRishi K. Narang

Inbunden, Engelska, 2024

Del i serien Wiley Finance

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Master the basics and intricacies of quant and high-frequency trading with the latest edition of this accessible and widely-read guide In the newly revised third edition of Inside the Black Box: A Simple Guide to Systematic Investing, veteran practitioner and investor Rishi K Narang delivers another insightful discussion of how quantitative and algorithmic trading strategies work in non-mathematical terms. As with prior editions, this third edition is full of timeless concepts and timely updates. Supplemented by compelling anecdotes and real-world stories, the book explains the most relevant developments in the discipline since the publication of the second edition in 2013. You'll find out about the explosion in machine learning for alphas, signal mixing, data extraction, and execution, as well as the proliferation of alt data and a discussion of how to use it appropriately. You'll also discover: Updated discussions of approaches to researchNewer and more effective approaches to portfolio optimizationThe frontiers of quantitative investingAn essential and accessible treatment of a complicated and of-the-moment topic, Inside the Black Box remains the gold standard for non-mathematicians seeking to understand the ins and outs of one of the most fascinating and lucrative trading strategies, as well as quants from disciplines outside of finance looking for a conceptual framework on which to build profitable systematic trading strategies.

Produktinformation

Utgivningsdatum:2024-07-08
Mått:160 x 231 x 31 mm
Vikt:544 g
Format:Inbunden
Språk:Engelska
Serie:Wiley Finance
Antal sidor:368
Upplaga:3
Förlag:John Wiley & Sons Inc
ISBN:9781119931898

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Finansiering inom Ekonomi och Ledarskap

Mer om författaren

RISHI K NARANG is the Founding Principal of T2AM and manages the firm’s investment activities. Rishi began his career as a Global Investment Strategist for Citibank Alternative Investment in 1996. He then co-founded Tradeworx, Inc., a quantitative hedge fund manager, in 1999 and acted as its President until his departure in 2002. For three years, he was the Co-Portfolio Manager and a Managing Director at Santa Barbara Alpha Strategies before founding T2AM, LLC in 2005. He is Chair of the Board of Directors of Village Health Works, and has acted as an Advisor to DARPA, Planet Labs, AngelList, and numerous others. Mr. Narang completed his BA in Economics from the University of California at Berkeley.

Innehållsförteckning

Foreword xi Preface to the Third Edition xiiiAcknowledgments xvPART ONE The Quant UniverseCHAPTER 1 Why Does Quant Trading Matter? 31.1 The Benefit of Deep Thought 81.2 The Measurement and Mismeasurement of Risk 91.3 Disciplined Implementation 101.4 Summary 11Notes 11CHAPTER 2 An Introduction to Quantitative Trading 132.1 What Is a Quant? 142.2 What Is the Typical Structure of a Quantitative Trading System? 172.3 Summary 20Notes 20PART TWO Inside the Black BoxCHAPTER 3 Alpha Models: How Quants Make Money 233.1 Types of Alpha Models: Theory-Driven and Data-Driven 253.2 Theory-Driven Alpha Models 283.3 Data-Driven Alpha Models 473.4 Implementing the Strategies 523.5 Blending Alpha Models 643.6 Summary 68Notes 69CHAPTER 4 Risk Models 714.1 Limiting the Amount of Risk 734.2 Limiting the Types of Risk 764.3 Risk Management, Outside of Risk Models 814.4 Summary 82Notes 84CHAPTER 5 Transaction Cost Models 855.1 Defining Transaction Costs 865.2 Types of Transaction Cost Models 915.3 Summary 96Notes 97CHAPTER 6 Portfolio Construction Models 996.1 Rule-Based Portfolio Construction Models 1006.2 Portfolio Optimizers 1046.3 Output of Portfolio Construction Models 1216.4 How Quants Choose a Portfolio Construction Model 1236.5 Summary 123Notes 125CHAPTER 7 Execution 1277.1 Order Execution Algorithms 1297.2 Trading Infrastructure 1387.3 Summary 140Notes 141CHAPTER 8 Data 1438.1 The Importance of Data 1448.2 Types of Data 1468.3 Sources of Data 1498.4 Cleaning Data 1528.5 Storing Data 1588.6 Summary 159Notes 160CHAPTER 9 Research 1619.1 Blueprint for Research: The Scientific Method 1619.2 Idea Generation 1639.3 Testing 1669.4 Summary 186Note 187PART THREE A Practical Guide for Investors in Quantitative StrategiesCHAPTER 10 Risks Inherent to Quant Strategies 19110.1 Model Risk 19110.2 Regime Change Risk 19610.3 Exogenous Shock Risk 20010.4 Contagion, or Common Investor, Risk 20210.5 How Quants Monitor Risk 20910.6 Summary 211Notes 211CHAPTER 11 Criticisms of Quant Trading 21311.1 Trading Is an Art, Not a Science 21411.2 Quants Cause More Market Volatility by Underestimating Risk 21511.3 Quants Cannot Handle Unusual Events or Rapid Changes in Market Conditions 22111.4 Quants Are All the Same 22311.5 Only a Few Large Quants Can Thrive in the Long Run 22411.6 Quants Are Guilty of Data Mining 22811.7 Summary 231Notes 231CHAPTER 12 Evaluating Quants and Quant Strategies 23312.1 Gathering Information 23412.2 Evaluating a Quantitative Trading Strategy 23612.3 Evaluating the Acumen of Quantitative Traders 23912.4 The Edge 24112.5 Evaluating Integrity 24412.6 How Quants Fit into a Portfolio 24612.7 Summary 249Notes 251PART FOUR High-Speed and High-Frequency TradingCHAPTER 13 An Introduction to High-Speed and High-Frequency Trading 255Notes 259CHAPTER 14 High-Speed Trading 26114.1 Why Speed Matters 26214.2 Sources of Latency 27014.3 Summary 280Notes 281CHAPTER 15 High-Frequency Trading 28315.1 Contractual Market Making 28315.2 Non-Contractual Market Making 28815.3 Arbitrage 28915.4 Fast Alpha 29115.5 HFT Risk Management and Portfolio Construction 29315.6 Summary 295Note 296CHAPTER 16 Looking to the Future of Quant Trading 29716.1 Business Models 29716.2 Machine Learning and Artificial Intelligence 30116.3 Expansion into More Asset Classes and Markets 30216.4 Digitalization and Datasets 30316.5 Man and Machine 30416.6 Conclusion 305Appendix: Controversy Regarding High-Frequency Trading 307A.1 Does HFT Create Unfair Competition? 308A.2 Does HFT Lead to Front-Running or Market Manipulation? 311A.3 Does HFT Lead to Greater Volatility or Structural Instability? 317A.4 Does HFT Lack Social Value? 324A.5 Regulatory Considerations 325A.6 Summary 327Notes 328About the Author 329Index 331