{"product_id":"quantitative-portfolio-management-the-art-and-science-of-statistical-arbitrage-hardcover","title":"Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage - Hardcover","description":"\u003cp\u003eby \u003cb\u003eMichael Isichenko\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cb\u003eDiscover foundational and advanced techniques in quantitative equity trading from a veteran insider \u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIn \u003ci\u003eQuantitative Portfolio Management: The Art and Science of Statistical Arbitrage\u003c\/i\u003e, 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. \u003c\/p\u003e \u003cp\u003eIn this important book, you'll discover: \u003c\/p\u003e \u003cul\u003e \u003cli\u003eMachine learning methods of forecasting stock returns in efficient financial markets \u003c\/li\u003e \u003cli\u003eHow to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods\u003c\/li\u003e \u003cli\u003eWays of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as \"benign overfitting\" in machine learning \u003c\/li\u003e \u003cli\u003eThe theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage \u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003ePerfect for investment professionals, like quantitative traders and portfolio managers, \u003ci\u003eQuantitative Portfolio Management\u003c\/i\u003e 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. \u003c\/p\u003e \u003cbr\u003e\u003ch3\u003eFront Jacket\u003c\/h3\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eQuantitative trading has become a multi-billion-dollar industry employing thousands of portfolio managers and quantitative analysts (quants) trained in mathematics, physics, and other \"hard\" sciences. Quants trade securities by quickly finding and exploiting mispricing in the market, creating liquidity, and maintaining the efficiency of financial markets.\u003c\/p\u003e \u003cp\u003eIn \u003ci\u003eQuantitative Portfolio Management: The Art and Science of Statistical Arbitrage, \u003c\/i\u003e theoretical physicist and accomplished quantitative portfolio manager Dr. Michael Isichenko delivers a systematic review of the quant equity trading process, also known as statistical arbitrage. \u003c\/p\u003e\u003cp\u003eCovering every major component of the quantitative trading process, the author discusses how to source financial data, learn future asset returns from historical data, generate and combine multiple forecasts, manage risk, build optimal portfolios mindful of risk preferences and trading costs, and execute trades \u003c\/p\u003e\u003cp\u003eThe book balances practical financial insights with mathematical ideas of statistical and machine learning, computational strategies, and examples gleaned from the author's years of experience as a quant portfolio manager. You'll also find a collection of insightful and perplexing questions asked at quant interviews. \u003c\/p\u003e\u003cp\u003eQuantitative Portfolio Management includes discussions of complex topics that remain the subject of active research, like double descent of generalization error in regression and deep learning, forecast combination and its diversification limits, and market-wide elasticity. \u003c\/p\u003e\u003cp\u003eThroughout, the book focuses on the application of machine learning and forecasting techniques to real-world portfolio optimization problems. It offers special closed-form solutions with impact and slippage costs and approximations for efficient algorithmic approaches. \u003c\/p\u003e\u003cp\u003ePerfect for investment professionals, including quants and portfolio managers, \u003ci\u003eQuantitative Portfolio Management\u003c\/i\u003e will also earn a place in the libraries of traders, data scientists, and students of finance, data science, and machine learning seeking a one-stop resource from a recognized expert in quantitative finance.\u003c\/p\u003e\u003ch3\u003eBack Jacket\u003c\/h3\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cb\u003ePraise for QUANTITATIVE PORTFOLIO MANAGEMENT\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\"This is a wonderful book: deep, original, witty, and provocative. It is a survey of the most important ideas and methods of modern quantitative investment that should enthrall both seasoned and junior quants. A must-read that will no doubt become a classic.\" \u003c\/p\u003e\u003cp\u003e\u003cb\u003e--Jean-Philippe Bouchaud, \u003c\/b\u003e Chairman and Chief Scientist, Capital Fund Management; member of the French Academy of Sciences \u003c\/p\u003e\u003cp\u003e\"In his lively and clever style, Isichenko shares from his decades of experience at some of the top quantitative trading shops. Even seasoned veterans will find unfamiliar ideas, as he includes many concepts and models nowhere else in print.\" \u003c\/p\u003e\u003cp\u003e\u003cb\u003e--Colin Rust, \u003c\/b\u003e Quantitative Portfolio Manager, Cubist Systematic Strategies \u003c\/p\u003e\u003cp\u003e\"I encouraged Michael Isichenko not to seek publication of this book, a comprehensive and accurate survey of market structure and data and mathematical and computational approaches and results for systematic trading. I am grateful that he enlarged and extended it beyond a first draft. I now hope that competitors have so much to absorb that they'll misapply much and not eliminate all remaining avenues to profit for my firm.\" \u003c\/p\u003e\u003cp\u003e\u003cb\u003e--Aaron Sosnick, \u003c\/b\u003e Founder, Analytics, Research \u0026amp; Trading Advisors \u003c\/p\u003e\u003cp\u003e\u003cb\u003eAn in-depth and telling handbook for quant portfolio management from a leading industry expert\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003e\u003ci\u003eQuantitative Portfolio Management\u003c\/i\u003e is a complete and up-to-date exploration of the quantitative analysis process. You'll find information about sourcing financial data, alpha generation approaches, dealing with risk, portfolio construction, and trade execution. \u003c\/p\u003e\u003cp\u003eThe book covers both theoretical and algorithmic machine learning subjects in the context of competition-based market efficiency that imposes limits on complexity and performance of quantitative trading models. In addition to foundational subjects that form the basis of quantitative finance, you'll also learn about lesser-known machine learning algorithms and rarely discussed topics, like forecast combining and multi-period portfolio optimization. The author expertly balances practical observations drawn from his years as a practicing portfolio manager with financial and mathematical insights in statistics and machine learning.\u003c\/p\u003e\u003ch3\u003eAuthor Biography\u003c\/h3\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cb\u003eMICHAEL ISICHENKO, PhD, \u003c\/b\u003e is a theoretical physicist and a quantitative portfolio manager who worked at Kurchatov Institute, University of Texas, University of California, SAC Capital Advisors, Société Générale, and Jefferies. He received his doctorate in physics and mathematics from the Moscow Institute of Physics and Technology and is an expert in plasma physics, nonlinear dynamics, and statistical and chaos theory.\u003c\/p\u003e\u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 304\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 0.9 x 9.1 x 6 IN\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e August 31, 2021\u003c\/div\u003e","brand":"Books by splitShops","offers":[{"title":"Default Title","offer_id":51767847616800,"sku":"9781119821328","price":55.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0974\/9764\/5344\/files\/0903d2ec0d16df1bdc23f65b81bad9a3.webp?v=1780318716","url":"https:\/\/ebocreations.com\/products\/quantitative-portfolio-management-the-art-and-science-of-statistical-arbitrage-hardcover","provider":"The E-Book Oasis LLC","version":"1.0","type":"link"}