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Expert real-world insight on the intricacies of quantitative trading before, during, and after the trade
The Elements of Quantitative Investing is a comprehensive guide to quantitative investing, covering everything readers need to know from inception of a strategy, to execution, to post-trade analysis, with insight into all the quantitative methods used throughout the investment process. This book describes all the steps of quantitative modeling, including statistical properties of returns, factor model, portfolio management, and more. The inclusion of each topic is determined by real-world applicability. Divided into three parts, each corresponding to a phase of the investment process, this book focuses on well-known factor models, such as PCA, but with essential grounding in financial context. This book encourages the reader to think deeply about simple things.
The author, Giuseppe Paleologo, has held senior quantitative research and risk management positions at three of the four biggest hedge fund platforms in the world, and at one of the top three proprietary trading firms. Currently, he serves as the Head of Quantitative Research at Balyasny Asset Management with $21 billion in assets under management. He has held teaching positions at Cornell University and New York University and holds a Ph.D. and two M.S. from Stanford University. This book answers questions that every quantitative investor has asked at some point in their career, including:
How do I model multivariate returns?How do I test these models, either developed by me or by commercial vendors?How do I incorporate asset-specific data in my model?How do I convert risk appetite and expected returns into a portfolio?How do I account for transaction costs in portfolio management?
The Elements of Quantitative Investing earns a well-deserved spot on the bookshelves of financial practitioners seeking expert insight from a leading financial executive on quantitative investment topics―knowledge which is usually accessible to few and transmitted by one-on-one apprenticeship.
From the Publisher
Questions Addressed in The Elements of Quantitative Investing
Dependencies Among Chapters in The Elements of Quantitative Investing
Each chapter is organized like an onion. The first sections convey the essential ideas using simple quantitative methods and are aimed at a broad audience. Sections marked with a star are more advanced and can be skipped on a first reading. Proofs of new results or basic technical material are relegated to the appendices at the end of the chapters. The goal is not to disrupt the flow of learning.
Publisher : Wiley
Publication date : April 22, 2025
Edition : 1st
Language : English
Print length : 400 pages
ISBN-10 : 139426545X
ISBN-13 : 978-1394265459
Item Weight : 1.65 pounds
Dimensions : 6.3 x 1.1 x 9.1 inches
Best Sellers Rank: #92,452 in Books (See Top 100 in Books) #28 in Business Investments #627 in Investing (Books)
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