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Design more successful trading systems with this practical guide to identifying alphas

Finding Alphas seeks to teach you how to do one thing and do it well: design alphas. Written by experienced practitioners from WorldQuant, including its founder and CEO Igor Tulchinsky, this book provides detailed insight into the alchemic art of generating trading signals, and gives you access to the tools you need to practice and explore. Equally applicable across regions, this practical guide provides you with methods for uncovering the hidden signals in your data. A collection of essays provides diverse viewpoints to show the similarities, as well as unique approaches, to alpha design, covering a wide variety of topics, ranging from abstract theory to concrete technical aspects. You'll learn the dos and don'ts of information research, fundamental analysis, statistical arbitrage, alpha diversity, and more, and then delve into more advanced areas and more complex designs. The companion website, www.worldquantchallenge.com, features alpha examples with formulas and explanations. Further, this book also provides practical guidance for using WorldQuant's online simulation tool WebSim® to get hands-on practice in alpha design.

Alpha is an algorithm which trades financial securities. This book shows you the ins and outs of alpha design, with key insight from experienced practitioners.

• Learn the seven habits of highly effective quants
• Understand the key technical aspects of alpha design
• Use WebSim® to experiment and create more successful alphas

Finding Alphas is the detailed, informative guide you need to start designing robust, successful alphas.

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HOW TO IDENTIFY POTENTIAL PROFIT OPPORTUNITIES FROM MARKET BEHAVIORS OTHERS HAVE BEEN UNABLE TO QUANTIFY

Finding Alphas seeks to teach you how to do one thing and do it well – design alphas. For financial engineers, quantitative researchers, investment analysts, and those aspiring to be quants, this is the guidebook for reliable, up-to-date coverage on the ins and outs of alpha design.

The collection of essays inside explores how to hone and retain a cutting-edge when trying to make sense of the ever-increasing amount of quantifiable changes happening during trading. From abstract theory to concrete technical methods, Finding Alphas illuminates basic techniques as well as unique approaches to alpha design, helping you to develop your own design style. A fascinating range of methods for uncovering the signals in data are explored. On your way to mastering alpha design, this robust training tool will equip you with:

• The seven habits of highly-effective quants.
• A full treatment of all the key technical aspects of alpha design.
• The know-how to develop a disciplined process for alpha discovery and securities trading.
• A web-based simulator, WebSim ^®, for creating and fine-tuning successful alphas.

As the amount of data continues to grow in the financial industry, the advantage will go to the trader who can see the whole picture, who can combine millions and billions of subtle and illusive signals, and who has honed their skill set with the information provided by Finding Alphas.

정보제공 :

Preface xi
 
Acknowledgments xiii
 
About the WebSim? Website xv
 
Part I Introduction 1
 
1 Introduction to Alpha Design 3
 
By Igor Tulchinsky
 
2 Alpha Genesis Life-Cycle of a Quantitative
 
Model Financial Price Prediction 7
 
By Geoffrey Lauprete
 
3 Cutting Losses 13
 
By Igor Tulchinsky
 
Part II Design and Evaluation 19
 
4 Alpha Design 21
 
By Scott Bender/Yongfeng He
 
5 How to Develop an Alpha. I: Logic with an Example 27
 
By Pankaj Bakliwal
 
6 How to Develop an Alpha. II: A Case Study 31
 
By Hongzhi Chen
 
7 Fundamental Analysis 43
 
By Xinye Tang/Kailin Qi
 
8 Equity Price and Volume 49
 
By Cong Li
 
9 Turnover 51
 
By Pratik Patel
 
10 Backtest ? Signal or Overfitting 55
 
By Peng Yan
 
11 Alpha and Risk Factors 61
 
By Peng Wan
 
12 The Relationship between Alpha and Portfolio Risk 65
 
By Ionut Aron
 
13 Risk and Drawdowns 71
 
By Hammad Khan
 
14 Data and Alpha Design 79
 
By Weijia Li
 
15 Statistical Arbitrage, Overfitting, and Alpha Diversity 85
 
By Zhuangxi Fang
 
16 Techniques for Improving the Robustness of Alphas 89
 
By Michael Kozlov
 
17 Alphas from Automated Search 93
 
By Yu Huang
 
18 Algorithms and Special Techniques in Alpha Research 97
 
By Sunny Mahajan
 
Part III Extended Topics 101
 
19 Impact of News and Social Media on Stock Returns 103
 
By Wancheng Zhang
 
20 Stock Returns Information from the Stock Options Market 109
 
By Swastik Tiwari
 
21 Introduction to Momentum Alphas 117
 
By Zhiyu Ma
 
22 Financial Statement Analysis 119
 
By Paul A. Griffin
 
23 Institutional Research 101 127
 
By Benjamin Ee
 
24 Introduction to Futures Trading 145
 
By Rohit Agarwal
 
25 Alpha on Currency Forwards and Futures 151
 
By Richard Williams
 
Part IV New Horizon WebSim 155
 
26 Introduction to WebSim 157
 
By Jeffrey Scott
 
27 Alphas and WebSim Fundamentals 165
 
28 Understanding How WebSim Works 169
 
29 API Reference 179
 
30 Interpreting Results and Alpha Repository 187
 
31 Alpha Tutorials 199
 
32 FAQs 211
 
33 Suggested Reading 223
 
Part V - A Final Word 229
 
34 The Seven Habits of Highly Successful Quants 231
 
By Richard Hu
 
References 235
 
Index 245

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