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Finding alphas : a quantitative approach to building trading strategies

Author: Igor Tulchinsky; et al
Publisher: Chichester, West Sussex : Wiley, [2020]
Edition/Format:   eBook : Document : English : Second editionView all editions and formats

Previous edition entered under: Igor Tulchinsky


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Genre/Form: Electronic books
Additional Physical Format: Print version:
Finding alphas
Chichester, West Sussex : Wiley, 2020.
(DLC) 2019021400
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Igor Tulchinsky; et al
ISBN: 9781119571278 1119571278 1119571251 9781119571261 111957126X 9781119571254
OCLC Number: 1104918080
Notes: Previous edition entered under: Igor Tulchinsky.
Description: 1 online resource (xviii, 302 pages)
Contents: Preface xi Preface (to the Original Edition) xiii Acknowledgments xv About the WebSim Website xvii Part I Introduction 1 1 Introduction to Alpha Design 3By Igor Tulchinsky 2 Perspectives on Alpha Research 7By Geoffrey Lauprete 3 Cutting Losses 17By Igor Tulchinsky Part II Design and Evaluation 23 4 Alpha Design 25By Scott Bender and Yongfeng He 5 How to Develop an Alpha: A Case Study 31By Pankaj Bakliwal and Hongzhi Chen 6 Data and Alpha Design 43By Weijia Li 7 Turnover 49By Pratik Patel 8 Alpha Correlation 61By Chinh Dang and Crispin Bui 9 Backtest - Signal or Overfitting? 69By Zhuangxi Fang and Peng Yan 10 Controlling Biases 77By Anand Iyer and Aditya Prakash 11 The Triple-Axis Plan 83By Nitish Maini 12 Techniques for Improving the Robustness of Alphas 89By Michael Kozlov 13 Alpha and Risk Factors 95By Peng Wan 14 Risk and Drawdowns 101By Hammad Khan and Rebecca Lehman 15 Alphas from Automated Search 111By Yu Huang and Varat Intaraprasonk 16 Machine Learning in Alpha Research 121By Michael Kozlov 17 Thinking in Algorithms 127By Sunny Mahajan Part III Extended Topics 133 18 Equity Price and Volume 135By Cong Li and Huaiyu Zhou 19 Financial Statement Analysis 141By Paul A. Griffin and Sunny Mahajan 20 Fundamental Analysis and Alpha Research 149By Xinye Tang and Kailin Qi 21 Introduction to Momentum Alphas 155By Zhiyu Ma, Arpit Agarwal, and Laszlo Borda 22 The Impact of News and Social Media on Stock Returns 159By Wancheng Zhang 23 Stock Returns Information from the Stock Options Market 169By Swastik Tiwari and Hardik Agarwal 24 Institutional Research 101: Analyst Reports 179By Benjamin Ee, Hardik Agarwal, Shubham Goyal, Abhishek Panigrahy, and Anant Pushkar 25 Event-Driven Investing 195By Prateek Srivastava 26 Intraday Data in Alpha Research 207By Dusan Timotity 27 Intraday Trading 217By Rohit Kumar Jha 28 Finding an Index Alpha 223By Glenn DeSouza 29 ETFs and Alpha Research 231By Mark YikChun Chan 30 Finding Alphas on Futures and Forwards 241By Rohit Agarwal, Rebecca Lehman, and Richard Williams Part IV New Horizon - Websim 251 31 Introduction to WebSim 253By Jeffrey Scott Part V A Final Word 263 32 The Seven Habits of Highly Successful Quants 265By Richard Hu and Chalee Asavathiratham References 273 Index 291
Responsibility: edited by Igor Tulchinsky et al., WorldQuant Virtual Research Center.


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