Quantitative Portfolio Management The Art and Science of Statistical Arbitrage
Michael Isichenko
Informasi Umum
Kode
21.21.3093
Klasifikasi
658.57 - Research and Development Management (R and D)
Jenis
Buku - Elektronik (E-Book)
Subjek
Management - Research.
No. Rak
Tel-U Gedung Manterawu Lantai 5 : Rak 21
Tel-U Purwokerto : Rak 8
Dilihat
628 kali
Informasi Lainnya
Abstraksi
In Quantitative 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 Management will 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.
Koleksi & Sirkulasi
Tersedia 1 dari total 1 Koleksi
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Pengarang
| Nama | Michael Isichenko |
| Jenis | Perorangan |
| Penyunting | |
| Penerjemah |
Penerbit
| Nama | John Wiley & Sons, Inc. |
| Kota | Hoboken, New Jersey |
| Tahun | 2021 |
Sirkulasi
| Harga sewa | IDR 0,00 |
| Denda harian | IDR 1.000,00 |
| Jenis | Non-Sirkulasi |
