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Full Description
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(R) 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(R) to experiment and create more successful alphas Finding Alphas is the detailed, informative guide you need to start designing robust, successful alphas.
Contents
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
