[金融计量学] 【原版】如何构建自己的量化交易系统 [推广有奖]

0关注
6粉丝

硕士生

50%

还不是VIP/贵宾

威望: 0 级
论坛币: 17654 个
通用积分: 19.7450
学术水平: 4 点
热心指数: 6 点
信用等级: 3 点
经验: 3431 点
帖子: 185
精华: 0
在线时间: 132 小时
注册时间: 2007-12-11
最后登录: 2024-4-23

楼主

agodman 发表于 2014-4-3 15:34:25 |只看作者 |坛友微信交流群|倒序 |AI写论文

相似文件

换一批

是否 +2 论坛币

k人参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

原版教材，介绍如何建立自己的量化交易系统的入门读物。

目录如下：

CHAPTER1 The Whats,Whos,and Whys of Quantitative Trading
               Who Can Be come a Quantitative Trader?
               The Business Case for Quantitative Trading
               Scalability
               Demand on Time
            The Nonnecessity of Marketing
            The Way  Forward
CHAPTER2 Fishing  for Ideas
            How  to I dentify a Strategy That Suits You
            Your Working Hours
            Your Programming Skills
            Your Trading  Capital
            Your  Goal
      A  Taste for Plausible Strategies and Their Pitfalls
            How Does It Compare with a Benchmark and How Consistent Are Its Returns?
            How Deep and Long Is the Drawdown?
            How Will Transaction Costs Aﬀectthe Strategy?
            Does the Data Suﬀer from Survivor ship Bias?
            How Did the Performance of the Strategy Change over the Years?
            Does the Strategy Suﬀer from Data-Snooping Bias?
            Does the Strategy “Fly under the Radar" of Institutional Money Managers?
            Summary

CHAPTER3 Backtesting
            Common  Backtesting Platforms
                        Excel
                        MATLAB
                     TradeStation
                        High-End Backtesting Platforms
         Finding and Using Historical Databases
         Are the Data Split and Dividend Adjusted?
         Are the Data Survivorship BiasFree?
         Does Your Strategy Use High and Low Data?
      Performance Measurement
      Common Backtesting Pitfalls to Avoid
                  Look-Ahead Bias
                  Data-Snooping Bias
                  Transaction Costs
                  Strategy Reﬁnement
      Summary
CHAPTER4    Setting Up Your Business
            Business Structure:Retail or Proprietary?
                     Choosing a Brokerage or Proprietary Trading Firm
                     Physical In frastructure
            Summary
CHAPTER5 Execution Systems
            What an Automated Trading System Can Do for You
               Building a Semiautomated Trading System
               Building a FullyAutomated Trading System
               Minimizing Transaction Costs
            Testing Your System by Paper Trading
            Why Does Actual Performance Diverge from Expectations?
               Summary
CHAPTER6    Money and Risk Management
               Optimal Capital Allocation and Leverage
               Risk Management
               Psychological Preparedness
               Summary
               Appendix :A Simple Derivation of the Kelly Formula when Return Distribution Is Gaussian
CHAPTER7 Special Topic sinQuantitative Trading
               Mean-Revertingversus Momentum Strategies
               RegimeSwing
            Stationarity and Cointegration
            Factor Models
            What Is Your ExitStrategy?
            Seasonal Trading  Strategies
            High-Frequency Trading Strategies
            Is It Better to Have a High-Leverageversus a High-Beta Portfolio?
      Summary
CHAPTER8 Conclusion: Can Independent Traders Succeed?
            Next Steps
            Appendix A Quick Survey of MATLAB